787 search results for "finance"

Review: Kölner R Meeting 6 July 2012

July 10, 2012
By
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 ...

Read more »

Bubble Plots (ggplot2)

July 8, 2012
By
Bubble Plots (ggplot2)

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

Read more »

A practical introduction to garch modeling

July 6, 2012
By
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...

Read more »

Applying a function successively in R

July 3, 2012
By
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...

Read more »

Graphics Artifacts from Quarterly Commentary

July 2, 2012
By
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...

Read more »

My first competition at Kaggle

July 2, 2012
By
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

Read more »

Random portfolios versus Monte Carlo

July 2, 2012
By
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...

Read more »

New R User Groups in Ankara, Toronto

June 25, 2012
By

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),...

Read more »

Actuarial models with R, Meielisalp

June 23, 2012
By
Actuarial models with R, Meielisalp

I will be giving a short course in Switzerland next week, at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The long...

Read more »

Framing investing as a decision-making process

June 23, 2012
By
Framing investing as a decision-making process

Brian Peterson and I had a chance to visit the University of Washington a couple of weeks ago at the behest of Doug Martin, where we gave a seminar covering various R packages we’ve written. Here are the slides we used. We also had quite a bit of time that we spent with Doug, Eric

Read more »