353 search results for "quantmod"

Automatic ARMA/GARCH selection in parallel

March 24, 2013
By

In the original ARMA/GARCH post I outlined the implementation of the garchSearch function. There have been a few requests for the code so … here it is. Quite easy to use too: After the last code line above, fit contains the best (according to the AIC statistic) model, which is the return value of garchFit.

Read more »

Maximum Sharpe Portfolio

March 21, 2013
By
Maximum Sharpe Portfolio

Maximum Sharpe Portfolio or Tangency Portfolio is a portfolio on the efficient frontier at the point where line drawn from the point (0, risk-free rate) is tangent to the efficient frontier. There is a great discussion about Maximum Sharpe Portfolio or Tangency Portfolio at quadprog optimization question. In general case, finding the Maximum Sharpe Portfolio

Read more »

High Frequency GARCH: The multiplicative component GARCH (mcsGARCH) model

March 20, 2013
By
High Frequency GARCH: The multiplicative component GARCH (mcsGARCH) model

The interest in high frequency trading and models has grown exponentially in the last decade. While I have some doubts about the validity of any signals emerging from all the noise at higher and higher frequencies, I have nevertheless decided to look at the statistical modelling of intraday returns using GARCH models. Unlike daily and

Read more »

R, where should I start?

March 17, 2013
By

This is a dynamic post which I will continue to update whenever I find something new. Hope you will find the following links useful.Online Courses for Learning the R languageTry R from Code Schoole-Books for Learning the R LanguageR for Beginners ...

Read more »

Calender Heatmap with Google Analytics Data

March 15, 2013
By
Calender Heatmap with Google Analytics Data

As data analytics consulting firm, we think we are fortunate that we keep finding problems to find. Recently my team mate found a glaring problem of not having any connector for R with Google. With the inspiration from Michael, Ajay O, it soon become a worth problem to solve. With RGoogleAnalytics package now, we have

Read more »

Calender Heatmap with Google Analytics Data

March 15, 2013
By
Calender Heatmap with Google Analytics Data

As data analytics consulting firm, we think we are fortunate that we keep finding problems to find. Recently my team mate found a glaring problem of not having any connector for R with Google. With the inspiration from Michael, Ajay O, it soon become a worth problem to solve. With RGoogleAnalytics package now, we have

Read more »

Cluster Risk Parity back-test

March 4, 2013
By
Cluster Risk Parity back-test

In the Cluster Portfolio Allocation post, I have outlined the 3 steps to construct Cluster Risk Parity portfolio. At each rebalancing period: Create Clusters Allocate funds within each Cluster using Risk Parity Allocate funds across all Clusters using Risk Parity I created a helper function distribute.weights() function in strategy.r at github to automate these steps.

Read more »

Measuring the Intensity of Historical Crises with VaR

March 3, 2013
By
Measuring the Intensity of Historical Crises with VaR

Adam Duncan, December 2012Also avilable on R-bloggers.comPreludeThese posts are written with dual purpose: 1) Hopefully provide some insight or inspiration into a topical issue in finance from a practioners perspective, and 2) show how to use R to craft an analysis and produce nice output. The posts are written in a “walkthrough” style. All of the source...

Read more »

The Financial Crisis on Tape Part I

February 23, 2013
By
The Financial Crisis on Tape Part I

Hello and welcome to Joe's Data Diner's first ever post!Today, I will touch on both R and Finance, but I'll try and make it accesible for those with an interest in either and not just Quants like myself!Almost everyone is now aware that asset correlati...

Read more »

Change fonts in ggplot2, and create xkcd style graphs

February 17, 2013
By
Change fonts in ggplot2, and create xkcd style graphs

Installing and changing fonts in your plots comes now easy with the extrafonts-package. There is a excellent tutorial on the extrafonts github site, still I will shortly demonstrate how it worked for me. First, install the package and load it. You can now install the desired system fonts (at the moment only TrueType fonts): The

Read more »