We're getting ready for this year's R/Finance conference. Here's the call for papers. I hope to see you there!R/Finance 2014: Applied Finance with RMay 16 and 17, 2014University of Illinois at ChicagoThe sixth annual R/Finance conference fo...

We're getting ready for this year's R/Finance conference. Here's the call for papers. I hope to see you there!R/Finance 2014: Applied Finance with RMay 16 and 17, 2014University of Illinois at ChicagoThe sixth annual R/Finance conference fo...

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Even though the route might be circuitous, my seemingly random journeys all seem to lead back to finance. My fun with rCharts sankey diagrams (Exploring Networks with Sankey) has led me into an exploration of the PIMCO network. Although PIMCO is best known for its fixed income products, PIMCO has broadened its product offerings...

A few basics about the stable distribution. Previously “The distribution of financial returns made simple” satirized ideas about the statistical distribution of returns, including the stable distribution. Origin As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter … Continue reading...

It's been one week since the 5th Annual R/Finance conference, and I finally feel sufficiently recovered enough to share my thoughts. The conference is a two-day whirlwind of applied quantitative finance, fantastic networking, and general geekery.The comments below are based on my personal experience. If I don't comment on a seminar or presentation, it doesn't mean I...

The fifth internation R/Finance conference was held last weekend. As one of the founding co-organizers, I may well be accussed of a little bias, but we think we once again pulled off a very nice and successful weekend-long event. Participants had ki...

I have just returned from the R/Finance conference and want to share with you my slides and examples. The Cluster Risk Parity portfolio allocation method is an example of Cluster Portfolio Allocation methods that focuses on diversification or more specifically diversification of your risk bets. (i.e. portfolio that distributes risk equally both within clusters and

Paradigm4 presents a webinar about using SciDB for scalable financial analytics. You’ll see how SciDB reaches Big Data scale without forcing you to become a computer scientist—no mapping, no reducing, no concocting parallel algorithms by hand. The webinar will also demonstrate SciDB-R, an R package that lets you remain an R programmer while enjoying the scalable