779 search results for "finance"

Expected Shortfall Portfolio Optimization in R using nloptr

July 14, 2012
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Expected Shortfall Portfolio Optimization in R using nloptr

I have previously done examples of QP optimization in for financial portfolios.  I am not a huge fan of variance optimization in finance.  Return distributions are not normal, are often skewed, and are usually leptokurtic.  In plain spea...

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Applications of R at Google

July 13, 2012
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At a talk I saw at the useR!2012 conference last month, Googler Karl Millar estimated that there are at least 200 active R users at Google, plus another 300+ occasional users participating in Google's internal R support list. But what are all these Google employees doing with R? A post from the Google Research team published on Google+ yesterday...

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Review: Kölner R Meeting 6 July 2012

July 10, 2012
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Review: Kölner R Meeting 6 July 2012

The second Cologne R user meeting took place last Friday, 6 July 2012, at the Institute of Sociology. Thanks to Bernd Weiß, who provided the meeting room, we didn't have to worry about the infrastructure, like we did at our first gathering. Again, we ...

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Bubble Plots (ggplot2)

July 8, 2012
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Bubble Plots (ggplot2)

1 Introduction Rarely have I seen a three dimension graph including time, value, and volatility. It is essenti

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A practical introduction to garch modeling

July 6, 2012
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A practical introduction to garch modeling

We look at volatility clustering, and some aspects of modeling it with a univariate GARCH(1,1) model. Volatility clustering Volatility clustering — the phenomenon of there being periods of relative calm and periods of high volatility — is a seemingly universal attribute of market data.  There is no universally accepted explanation of it. GARCH (Generalized AutoRegressive … Continue reading...

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Applying a function successively in R

July 3, 2012
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Applying a function successively in R

At the R in Finance conference Paul Teetor gave a fantastic talk about Fast(er) R Code. Paul mentioned the common higher-order function Reduce, which I hadn't used before. Reduce allows me to apply a function successively over a vector. What does that...

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Graphics Artifacts from Quarterly Commentary

July 2, 2012
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Graphics Artifacts from Quarterly Commentary

For my Q2 2012 commentary, I tried multiple graphs to illustrate the disconnect of the US stock markets with the rest of the world.  I think I finally settled on this simple Excel bar graph populated by Bloomberg data, but I thought some might lik...

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My first competition at Kaggle

July 2, 2012
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My first competition at Kaggle

For me Kaggle becomes a social network for data scientist, as stackoverflow.com or github.com for programmers. If you are data scientist, machine learner or statistician you better off to have a profile there, otherwise you do not exist. Nevertheless, I won’t bet on rosy future for data scientist as journalists suggest (sexy job for next

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Random portfolios versus Monte Carlo

July 2, 2012
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Random portfolios versus Monte Carlo

What is the difference between Monte Carlo — as it is usually defined in finance — and random portfolios? The meaning of “Monte Carlo” The idea of “Monte Carlo” is very simple.  It is a fancy word for “simulation”. As usual, it is all too possible to find incredibly muddied explanations of such a simple … Continue reading...

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New R User Groups in Ankara, Toronto

June 25, 2012
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Two new local R user groups to report this week. In Turkey, the Ankara R Users Group has just started up. No meetings are scheduled yet, so be sure to suggest a meeting time/location when you sign up. The Toronto-based R Matlab Users group focuses on financial services applications. Created by Bryan Downing (who also produces the QuantLabs blog),...

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