730 search results for "finance"

Quality of Historical Stock Prices from Yahoo Finance

April 7, 2014
By
Quality of Historical Stock Prices from Yahoo Finance

I recently looked at the strategy that invests in the components of S&P/TSX 60 index, and discovered that there are some abnormal jumps/drops in historical data that I could not explain. To help me spot these points and remove them, I created a helper function data.clean() function in data.r at github. Following is an example

Read more »

R / Finance 2014 Open for Registration

March 29, 2014
By

The annoucement below just went to the R-SIG-Finance list. More information is as usual at the R / Finance page: Now open for registrations: R / Finance 2014: Applied Finance with R May 16 and 17, 2014 Chicago, IL, USA The reg...

Read more »

R/Finance 2014 Registration Open

March 29, 2014
By

As announced on the R-SIG-Finance mailing list, registration for R/Finance 2014 is now open! The conference will take place May 17 and 18 in Chicago.Building on the success of the previous conferences in 2009-2013, we expect more than 250 attendees fro...

Read more »

Slopegraphs | rCharts –> maybe finance versions

March 28, 2014
By

Back in 2011, Charlie Park did two very thorough posts on Edward Tufte’s table graphics or slopegraphs. http://charliepark.org/slopegraphs/ http://charliepark.org/a-slopegraph-update/ These type graphics can provide very effective visualizations of ...

Read more »

Introduction to R for Quantitative Finance Introduction to R for Quantitative Finance (Book Review)

March 2, 2014
By
Introduction to R for Quantitative Finance Introduction to R for Quantitative Finance (Book Review)

Last November 2013, PACKT Publishing launched the Introduction to R for Quantitative Finance. The book around  which is around 164 pages (including cover page and back pages) discuss the implementation different quantitative methods used in financ...

Read more »

Quantitative Finance Applications in R – 4: Using the Generalized Lambda Distribution to Simulate Market Returns

February 25, 2014
By
Quantitative Finance Applications in R – 4:  Using the Generalized Lambda Distribution to Simulate Market Returns

by Daniel Hanson, QA Data Scientist, Revolution Analytics Introduction As most readers are well aware, market return data tends to have heavier tails than that which can be captured by a normal distribution; furthermore, skewness will not be captured either. For this reason, a four parameter distribution such as the Generalized Lambda Distribution (GLD) can give us a more...

Read more »

Quantitative Finance Applications in R – 3: Plotting xts Time Series

January 28, 2014
By
Quantitative Finance Applications in R – 3: Plotting xts Time Series

by Daniel Hanson, QA Data Scientist, Revolution Analytics Introduction and Data Setup Last time, we included a couple of examples of plotting a single xts time series using the plot(.) function (ie, said function included in the xts package). Today, we’ll look at some quick and easy methods for plotting overlays of multiple xts time series in a single...

Read more »

Introduction to R for Quantitative Finance – Book Review

January 10, 2014
By
Introduction to R for Quantitative Finance – Book Review

I used some spare time I had over the christmas break to review a book I came across: Introduction to R for Quantitative Finance. An introduction to the book by the authors can be found here. The book targets folks with some finance knowledge but no or little experience with R. Each chapter is organised around a

Read more »

Quantitative Finance Applications in R – 2

January 9, 2014
By
Quantitative Finance Applications in R – 2

by Daniel Hanson QA Data Scientist, Revolution Analytics Some Applications of the xts Time Series Package In our previous discussion, we looked at accessing financial data using the quantmod and Quandl R packages. As noted there, the data series returned by quantmod comes in the form of an xts time series object, and Quandl provides a parameter that sets...

Read more »

Quantitative Finance Applications in R

December 27, 2013
By
Quantitative Finance Applications in R

by Daniel Hanson, QA Data Scientist, Revolution Analytics Extracting Financial Data from Internet Source Using R (first in a series) Earlier this month, a colleague and I attended a presentation on Computational Finance in R, given by Guy Yollin of the University of Washington Applied Mathematics faculty, at a meeting of the Seattle useR Group. The first among several...

Read more »