902 search results for "Finance"

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

March 20, 2013
By
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

Read more »

Upcoming events

March 14, 2013
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Upcoming events

Highlighted LondonR is soon — see the “Previously Announced” section. New Events Thirsty Quants 2013 March 21, London. Some thirsty quants will be going for a drink on the 21st of March as of 18.30 at the Lamb Tavern in Leadenhall Market. http://www.lambtavernleadenhall.com/ Rethinking the Economics of Pensions 2013 March 21 & 22 in London. … Continue reading...

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