Alliterations aside, here is a preview of something I’ve been tinkering with. My goal is to be able to run …Continue reading »

Revolution Analytics is hosting several hands-on R training classes over the next few months, with in-person instruction from two leading package authors and experts from the R community. Diethelm Würtz from ETH Zurich will give a two-day master class on Portfolio Selection and Optimization in Practice. Prof Würtz leads the Rmetrics project, and will provide in-depth instruction on using...

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...

(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...

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