Blog Archives

Backtesting in Excel and R

February 17, 2011
By

This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R.  The impetus for this series started with this tweet by Jared Woodard at Condor Options.  After Soren Macbeth introduced us, Jare...

Read more »

Backtesting in Excel and R

February 17, 2011
By

This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R.  The impetus for this series started with this tweet by Jared Woodard at Condor Options.  After Soren Macbeth introduced us, Jare...

Read more »

Stack Exchange: Quantitative Finance in public beta

February 14, 2011
By
Stack Exchange: Quantitative Finance in public beta

The Quantitative Finance Stack Exchange community entered public beta last week.  To quote the FAQ: The Quantitative Finance Stack Exchange is intended specifically for professionals and traders working in investment banking, and aca...

Read more »

R/Finance 2011 Call for Papers

December 26, 2010
By

The 2011 R/Finance conference has an updated call for papers.  Dirk Eddelbuettel announced it to the R-SIG-Finance mailing list.  I've reproduced his email in its entirety below.  Let me know if you plan on attending.Subject: R/Finance 2...

Read more »

R/Finance 2011 Call for Papers

December 26, 2010
By

The 2011 R/Finance conference has an updated call for papers.  Dirk Eddelbuettel announced it to the R-SIG-Finance mailing list.  I've reproduced his email in its entirety below.  Let me know if you plan on attending.Subject: R/Finance 2...

Read more »

Why Use R?

December 14, 2010
By

I use R very frequently and take for granted much that it has to offer.  I forget how R is different from similar tools, so I have trouble communicating the benefits of using R.  The goal of this post is to highlight R's main strengths, but first... my story.How I got started with RI was introduced...

Read more »

Why Use R?

December 14, 2010
By

I use R very frequently and take for granted much that it has to offer.  I forget how R is different from similar tools, so I have trouble communicating the benefits of using R.  The goal of this post is to highlight R's main strengths, but first... my story.How I got started with RI was introduced...

Read more »

Build RQuantLib on 32-bit Windows

December 7, 2010
By

Before you start, note that there is now a Windows binary of RQuantLib is available on CRAN.Due to a change in how R-2.12.0 is built, CRAN maintainers could no longer provide a Windows binary of RQuantLib with the QuantLib library they had been using....

Read more »

Build RQuantLib on 32-bit Windows

December 7, 2010
By

Before you start, note that there is now a Windows binary of RQuantLib is available on CRAN.Due to a change in how R-2.12.0 is built, CRAN maintainers could no longer provide a Windows binary of RQuantLib with the QuantLib library they had been using....

Read more »

Risk-Opportunity Analysis

November 12, 2010
By
Risk-Opportunity Analysis

I will be attending Ralph Vince's risk-opportunity analysis workshop in Tampa this weekend.  Drop me a note if you're in the area and would like to meet for coffee / drinks.

Read more »