735 search results for "finance"

Dr Sanjiv Das presents "Using R for Analyzing Loans, Portfolios and Risk"

March 5, 2012
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In a free webinar tomorrow at 10AM Pacific, Professor of Finance Dr Sanjiv Das will present, "Using R for Analyzing Loans, Portfolios and Risk: From Academic Theory to Financial Practice". I saw a version of Dr Das's talk a couple of months ago at the Bay Area R User Group meeting, and it was outstanding. I particularly recall his...

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The shadows and light of models

March 5, 2012
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The shadows and light of models

How wide is the darkness? Uses of models The main way models are used is to: shine light on the “truth” We create and use a model to learn how some part of the world works. But there is a another use of models that is unfortunately rare — a use that should be common … Continue reading...

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Boxplots and Day of Week Effects

March 4, 2012
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Boxplots and Day of Week Effects

THIS BLOG DOES NOT CONSTITUTE INVESTMENT ADVICE. ACTING ON IT WILL MOST LIKELY BE DETRIMENTAL TO YOUR FINANCIAL HEALTH.After following some R-related quant finance blogs like Timely Portfolio, Systematic Investor or Quantitative tho...

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GSoC Project #2 for 2012

February 23, 2012
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GSoC Project #2 for 2012

In my prior post, I discussed the origins of the first GSoC project I posted this year. The second GSoC project I’ve proposed is around the writing and code of Attilio Meucci, an adjunct professor at Baruch College – CUNY and an excellent speaker (I saw him at the University of Chicago when he spoke

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A Heartfelt Thank You and the Resulting GSoC Project

February 21, 2012
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A Heartfelt Thank You and the Resulting GSoC Project

PerformanceAnalytics has long enjoyed contributions from users who would like to see specific functionality included. Diethelm Wuertz at ETHZ, who is the author and sponsor of all the various R/Metrics packages is one of those contributors. I first met Diethelm when he hosted a conference on high-frequency data in the early 1990′s (where we fretted

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What does ‘passive investing’ really mean?

February 20, 2012
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What does ‘passive investing’ really mean?

We know the words but what do they mean? Some definitions Here are some definitions of “passive investment management”. Investopedia says: A style of management associated with mutual and exchange-traded funds (ETF) where a fund’s portfolio mirrors a market index. Wikipedia says: Passive management (also called passive investing) is a financial strategy in which an investor (or … Continue reading...

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Live Rolling Correlation Plot

February 19, 2012
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Open source is amazing! I cannot even start to imagine the amount of work invested in R, in firefox browser (Mozilla), or Rstudio IDE, all of which are used extensively around the globe, free. Not free as in: free sample … Continue reading →

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R for Quants, Part III (A)

February 18, 2012
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R for Quants, Part III (A)

This is the third part in a three part series on teaching R to MFE students at CUNY Baruch. The …Continue reading »

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MAT8886 reducing dimension using factors

February 16, 2012
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MAT8886 reducing dimension using factors

First, let us recall a standard result from linear algebra: "real symmetric matrices are diagonalizable by orthogonal matrices". Thus, any variance-covariance matrix can be written since a variance-covariance matrix is also definite positive. In ...

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The BurStFin R package

February 16, 2012
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The BurStFin R package

Version 1.01 of BurStFin is now on CRAN. It is written entirely in R, and meant to be compatible with S+. Functionality The package is aimed at quantitative finance, but the variance estimation functions could be of use in other applications as well. Also of general interest is threeDarr which creates a three-dimensional array out … Continue reading...

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