735 search results for "Finance"

New Rcpp master classes scheduled for New York and San Francisco

August 4, 2011
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Together with Revolution Analytics, I will be offering two more one-day classes on the Rcpp package for seamless integration of R and C++. The format will follow the workshop Romain and I gave during the tutorial day preceding this year's R/Financ...

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Creating Financial Instrument metadata in R

July 27, 2011
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(This is a guest post by Ilya Kipnis)When trading stocks in a single currency, instrument metadata can be safely ignored because the multiplier is 1 and the currencies are all the same.  When doing analysis on fixed income products, options, futures, or other complex derivative instruments, the data defining the properties of these instruments becomes critical to tasks...

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A Currency Graph

July 27, 2011
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A Currency Graph

Here's a graph in which nodes (and edges) represent currencies (and exchange rates):library(igraph)currencies <- factor(c("EUR", "USD", "JPY", "GBP"))df <- subset(expand.grid(from=currencies, to=currencies), from != to)GetExchangeRate...

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How big block trades affect stock market prices?

July 27, 2011
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How big block trades affect stock market prices?

I will be giving a presentation on “Optimal transaction cost” in Vilnius on  16  August. While preparing the presentation and looking for an optimal execution solution, a natural question arises: does the size of the trade affect stock market price? I’m sure, you would say 100 % yes. Well, you would be right, but what is

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The R-Files: Jeff Ryan

July 25, 2011
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The R-Files: Jeff Ryan

"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Jeff Ryan Profession: Owner/Principal at Lemnica; Committee Member at R/Finance Nationality: American Years Using R: 8 Known for: R/Finance Conference, quantmod and xts packages Jeffrey Ryan is a Chicago-based quantitative software analyst and avid R user. He is perhaps best...

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Shorting Mebane Faber

July 19, 2011
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Shorting Mebane Faber

Although I do not personally know Mebane Faber, I know enough that I do not want to short him. However, I thought it would be insightful to see how the short side of his “A Quantitative Approach To Tactical Asset Allocation” might look.  Once ...

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Review: Financial Risk Forecasting – The Theory and Practice of Forecasting Market Risk, with Implementation in R and MATLAB by Jon Danielsson

July 16, 2011
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Guest post to R-bloggers by Dr Kris Boudt. ——————– R has always been my favorite language to forecast financial risk in my research and consulting. But, I have been reluctant to use it in my lectures on financial risk. It is certainly not the absence of appropriate R packages that refrained me. On the contrary, there is a large...

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Revolution Newsletter: July 2011

July 14, 2011
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The most recent edition of the Revolution Newsletter is out. The news section is below, and you read the full July edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Beta Test Revolution R Enterprise 5.0. Are you running R in a Microsoft environment? Revolution...

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A surprising(?) prediction about the S&P 500

July 12, 2011
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A surprising(?) prediction about the S&P 500

Financial analyst Greg Troccoli was a lone wolf when he predicted in July 2010 that “If the Index held at or above our proprietary support zone (1000.00- 950.00 region), it would eventually trade to a new historical high within 12 - 18 months (July- December 2011 timeframe)”. For reference, the S&P500 all-time high was 1565.15, and it closed...

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Drawdown Control Can Also Determine Ending Wealth

July 11, 2011
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Drawdown Control Can Also Determine Ending Wealth

As an extension to yesterday’s post Just Arriving is Not Enough, I wanted to show how minimizing drawdown is a much better technique to help control comfort and potentially increase ending wealth.  CHTTX was one of the best performers of the fou...

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