896 search results for "Finance"

In case you missed it: May 2013 Roundup

June 10, 2013
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In case you missed them, here are some articles from May of particular interest to R users: Billions of geotagged Tweets create a beautiful map of the world when plotted with the ggmap package. A review of Ryan Sheftel's talk at R/Finance, on how he uses R on the trading desk at Credit Suisse. Also, a quick take on...

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How old is the oldest person you know?

June 4, 2013
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How old is the oldest person you know?

Last week, we had a discussion with some colleagues about the fact that – in order to prepare for the SOA exams – we did not have time (so far) to mention results on extreme values in our actuarial program. I did gave an introduction in my nonlife actuarial models class, but it was only an introduction, in three...

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Value at Risk and Expected Shortfall, and other upcoming events

June 4, 2013
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Value at Risk and Expected Shortfall, and other upcoming events

Highlighted Value at Risk and Expected Shortfall A two-day course exploring Value at Risk and Expected Shortfall, and their role in risk management. 2013 June 25 & 26, London. Lead by Patrick Burns. Details at the CFP Events site. New Events Thalesians — San Francisco 2013 June 5. Jesse Davis on “Risk Model Imposed Manager-to-Manager … Continue reading...

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Ryan Sheftel: "R on the Trading Desk"

May 30, 2013
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by Joseph Rickert In a post last week, I offered some first impressions about R/Finance 2013. Apparently, I was way off in estimating that 30% of the attendees were academics. The R/Finance organizers were quick to point out that percentage of academics attending the conference has been a constant 10% over the years; and this year was no different....

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Value at Risk with exponential smoothing

May 28, 2013
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Value at Risk with exponential smoothing

More accurate than historical, simpler than garch. Previously We’ve discussed exponential smoothing in “Exponential decay models”. The same portfolios were submitted to the same sort of analysis in “A look at historical Value at Risk”. Issue Markets experience volatility clustering.  As the previous post makes clear, historical VaR suffers dramatically from this.  An alternative is … Continue reading...

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7th R/Rmetrics workshop in Switzerland, June 30-July 4

May 23, 2013
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The 7th annual R/Rmetrics Workshop om Computational Finance and Financial Engineering will take place June 30-July 4 in the beatiful alpine setting of Lake Thune, Switzerland. This is an intimate workshop limited to around 50 participants, and features tutorials from leading practitioners in finance with R, with a special focus on the Rmetrics suite of R packages. This year's...

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Investment Portfolio Analysis with R Language

May 22, 2013
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R has a wide application in finance analysis areas such as time series analysis, portfolio management, and risk management, with its basic functions and many professional packages in Finance. In this article, we will demonstrate how to

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Revolution Newsletter: May 2013

May 17, 2013
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The most recent edition of the Revolution Newsletter is out. The news section is below, and you can read the full May edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Gaming Analytics FTW! Join us on 13Jun13 at 10:00 AM PDT for our webinar...

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Innovation Will Never Be At The Push Of A Button

May 17, 2013
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@randyzwitch @benjamingaines @usujason I am envisioning the data science equivalent of an autonomous vehicle pileup. — Todd Belcher (@toddmetrics) May 16, 2013   Recently, I’ve been getting my blood pressure up reading (marketing) articles about “big data” and “data science”.  What saddens me about the whole discussion is that there is the underlying premise that Innovation Will Never...

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Even More JGB Yield Charts with R lattice

May 15, 2013
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Even More JGB Yield Charts with R lattice

See the last post for all the details. I just could not help creating a couple more. Variations on Favorite Plot - Time Series Line of JGB Yields by Maturity p2 <- xyplot(value ~ date | indexname, data = jgb.melt, type = "l", layout = c(length(unique(jgb.melt$indexname)), ...

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