721 search results for "finance"

Quantitative Finance applications in R – 7: Constructing a Term Structure of Interest Rates Using R (part 2 of 2)

July 1, 2014
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Quantitative Finance applications in R – 7: Constructing a Term Structure of Interest Rates Using R (part 2 of 2)

by Daniel Hanson Recap and Introduction Last time in part 1 of this topic, we used the xts and lubridate packages to interpolate a zero rate for every date over the span of 30 years of market yield curve data. In this article, we will look at how we can implement the two essential functions of a term structure:...

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R/Finance 2014 Review

June 30, 2014
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It's been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I'm writing this over two days during my train to and from Chicago).The comments below are based on my personal ex...

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Quantitative Finance Applications in R – 6: Constructing a Term Structure of Interest Rates Using R (Part 1)

June 10, 2014
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Quantitative Finance Applications in R – 6:   Constructing a Term Structure of Interest Rates Using R (Part 1)

by Daniel Hanson Introduction Last time, we used the discretization of a Brownian Motion process with a Monte Carlo method to simulate the returns of a single security, with the (rather strong) assumption of a fixed drift term and fixed volatility. We will return to this topic in a future article, as it relates to basic option pricing methods,...

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R / Finance 2014: Packaged Takeaways

May 29, 2014
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R / Finance 2014: Packaged Takeaways

by Joseph Rickert I was very happy to have been able to attend R / Finance 2014 which wrapped up a couple of weeks ago. In general, the talks were at a very high level of play, some dealing with brand new ideas and many presented at a significant level of technical or mathematical sophistication. Fortunately, most of the...

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Chicago, May 2014 – Meet us at R-in-Finance

May 19, 2014
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(This article was first published on Rmetrics blogs, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on his blog: Rmetrics blogs. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web...

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R and Finance

May 8, 2014
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by Joseph Rickert R/Finance 2014 is just about a week away. Over the past four or five years this has become my favorite conference. It is small (300 people this year), exceptionally well-run, and always offers an eclectic mix of theoretical mathematics, efficient, practical computing, industry best practices and trading “street smarts”. This clip of Blair Hull delivering a...

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Quantitative Finance Applications in R – 5: an Introduction to Monte Carlo Simulation

April 15, 2014
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Quantitative Finance Applications in R – 5: an Introduction to Monte Carlo Simulation

by Daniel Hanson Last time, we looked at the four-parameter Generalized Lambda Distribution, as a method of incorporating skew and kurtosis into an estimated distribution of market returns, and capturing the typical fat tails that the normal distribution cannot. Having said that, however, the Normal distribution can be useful in constructing Monte Carlo simulations, and it is still commonly...

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Quality of Historical Stock Prices from Yahoo Finance

April 7, 2014
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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

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R / Finance 2014 Open for Registration

March 29, 2014
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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...

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R/Finance 2014 Registration Open

March 29, 2014
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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...

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