894 search results for "finance"

Revolution Newsletter: April 2013

April 26, 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 April edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Now Available: Revolution R Enterprise 6.2. Released today, this update further enhances the performance,...

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The Financial Crisis on Tape Part II

April 26, 2013
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The Financial Crisis on Tape Part II

EDIT: I am aware of some browsers failing to load the github code below. I will try to improve this as soon as possible. Until then it may work better on www.joesdatadiner.com than at http://www.r-bloggers.com/. Finally all the code is availa...

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GSoC 2013: At the starting line

April 18, 2013
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GSoC 2013: At the starting line

Google Summer of Code will be open for students on Monday, April 22.  The R Project has once again been selected as a mentoring organization , and a variety of mentors have proposed a number of projects for students to work on during this summer.  Here’s a bit about the program, and more on the

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Banging on the JGBs

April 17, 2013
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Since I have not posted in quite a while, I wanted to let everyone know that I am still alive and kicking.  The resurrection of excitement (opportunity) in the markets, quarterly reporting cycle, and the overwhelming number of unbelievable R/javascript releases have kept me from writing something good enough to justify a post.   In the markets, Japan and gold...

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Classification Tree Models

Classification Tree Models

On March 26, I attended the Connecticut R Meetup in New Haven, which featured a talk by Illya Mowerman on decision trees in R.  I have gone to these Meetups before, and I have always found them to be interesting and informative.  Attendees range from those who are just starting to explore R to those who have multiple CRAN...

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R and social media

April 10, 2013
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R is a piece of software, but it is also a community. Help community The most visible aspect of the R community is help.  This is also the most useful to new users.  The initial sense of cooperation with R was driven mainly by people helping each other. You don’t need to actively participate in The post R...

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Gradient Boosting: Analysis of LendingClub’s Data

April 8, 2013
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Gradient Boosting: Analysis of LendingClub’s Data

An old 5.75% CD of mine recently matured and seeing that those interest rates are gone forever, I figured I’d take a statistical look at LendingClub’s data. Lending Club is the first peer-to-peer lending company to register its offerings as securities with the Securities and Exchange Commission (SEC). Their operational statistics are public and available for download. The latest

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Measuring the Intensity of Historical Crises with VaR (Part 2)

April 4, 2013
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Measuring the Intensity of Historical Crises with VaR (Part 2)

Adam Duncan, December 2012Also avilable on R-bloggers.com If you missed the first part of this analysis, be sure to check it out on gtog.github.com.In this part of the analyis, I’m going to look at the actual 1 day negative returns / VaR estimates (“VaR breaks”) across a numnber of different asset classes. The hope is to arrive at...

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“Building ractives is so addictive it should be illegal!”

March 27, 2013
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clickme is an amazing R package. I was not sure what to expect when I first saw Nacho Caballero's announcement. I actually was both skeptical and intimidated, but neither reaction was justified. The examples prove its power, and his wiki tutorials ease...

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High Frequency GARCH: The multiplicative component GARCH (mcsGARCH) model

March 20, 2013
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High Frequency GARCH: The multiplicative component GARCH (mcsGARCH) model

The interest in high frequency trading and models has grown exponentially in the last decade. While I have some doubts about the validity of any signals emerging from all the noise at higher and higher frequencies, I have nevertheless decided to look at the statistical modelling of intraday returns using GARCH models. Unlike daily and

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