You might remember a second proposal I put forward for this summer’s Google Summer of Code (GSoC). This project was ambitious, looking to convert a subset of Attillio Meucci’s MatLab code to R. Thankfully, Brian Peterson took the lead mentor position for this particular project. Coincidently, the day before GSoC started we received a very 
Another Google Summer of Code (GSoC) project this summer focused on creating functions for doing returns-based performance attribution. I’ve always been a little puzzled about why this functionality wasn’t covered already, but I think that most analysts do this kind of work in Excel. That, of course, has its own perils. But beyond the workflow 
I’m sure that Carl Bacon sighs deeply when he reads such headlines, but it is clearly appropriate in this case. Perhaps you remember that I proposed a Google Summer of Code project for 2012 around a considerable code contribution to PerformanceAnalytics from Diethelm Wuertz at ETHZ. That code was focused on adding a large number 
Brian Peterson and I had a chance to visit the University of Washington a couple of weeks ago at the behest of Doug Martin, where we gave a seminar covering various R packages we’ve written. Here are the slides we used. We also had quite a bit of time that we spent with Doug, Eric 
In our pre-conference workshop, Brian Peterson and I worked with the EDHEC hedge fund indexes as a way to demonstrate how to use PortfolioAnalytics within the context of long-term allocation problems. Although they are not investible, these indexes are probably more representative than most given that they are, in fact, meta-indexes. Other indexes might be 
Another succeessful* year of R/Finance is behind us. It was certainly more: a larger crowd, a longer session, more seminars, more presentations, more sponsors – perhaps even to the point where we’ve reaching a certain capacity. What began as an interesting idea among a few friends has more than credible momentum – it’s now more 
Registration has been open for a while, but I wanted to point out the pre-conference seminars. Registrations are strong this year, so if you’re interested you’ll need to sign up before they sell out. Register here… As you probably know by now, the fourth annual R/Finance conference for applied finance using R will be held 
Here is another data downloading and parsing script, this one for the Dow Jones/UBS Commodities Indexes. Compared to the last post, this parser deals with multiple sheets and multiple columns in each sheet. It also constructs monthly series from the daily data, and stores it using a different symbol. Finally, it’s a good example of 
This is the first post of a series that describes how to download and parse specific data sets into R. These kinds of scripts can be functionalized further, but I doubt that these will ever find their way into a formal package. They are intended to be helpful to those facing similar tasks, but as 
In my prior post, I discussed the origins of the first GSoC project I posted this year. The second GSoC project I’ve proposed is around the writing and code of Attilio Meucci, an adjunct professor at Baruch College – CUNY and an excellent speaker (I saw him at the University of Chicago when he spoke 
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
