GSoC Project #2 for 2012

February 23, 2012

(This article was first published on tradeblotter » R, and kindly contributed to R-bloggers)

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 with Bob Litterman, and again at UIC’s Quant Fridays). He is also the chief risk officer at Kepos Capital LP.

He is also a thought leader in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), and Copula-Marginal Algorithm (algorithm to generate panic copulas).

Attillio is somewhat rare in the world of financial research, in that he regularly posts code along with his working papers – a characteristic that I deeply appreciate.

Unfortunately for me and the broader finance community for R, he prefers to code in Matlab. Some of that code requires Matlab’s additional Optimization Toolkit. I’d like us to, during the course of the summer, convert some subset of his Matlab code to R to make it more widely assessible.

Beyond the initial conversion, we will functionalize key aspects of that code and consider including functions in PerformanceAnalytics, PortfolioAnalytics, or developing a package around one or more of the concepts described above, starting with the Effective Number of Bets.

Take a look at the project idea, where I’ve listed a couple of his papers that have links to the original Matlab code. If you’re a student who is interested and think you’re qualified (or even just have questions), please drop me a line.

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