720 search results for "finance"

Week in Review 021211 R Language

Week in Review 021211 R Language

Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week's review is highly concentrated on

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C++ is dead. Long live C++

December 1, 2011
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C++ is dead. Long live C++

During the summer I was contacted by a hedge fund from Bahamas. The fund was looking for someone with R language skills on-site and insisted for phone interview. Besides obvious questions about finance, statistics, coding and how many tennis balls can fit in Boeing 747 (ok, this question was omitted), they wanted to know if

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Alpha decay in portfolios

November 30, 2011
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Alpha decay in portfolios

How does the effect of our expected returns change over time?  This is not academic  curiosity, we want to know in the context of our portfolio if we can.  And we can — we visualize the effect of expected returns in situ. First step The idea is to look at the returns of portfolios that … Continue reading...

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Course: Financial Data Modeling and Analysis in R

November 28, 2011
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The University of Washington is holding a web-based course which will be of interest to anyone who wants to learn about financial modeling with R: Financial Data Modeling and Analysis in R (AMATH 542) is a comprehensive introduction to the R statistical programming language for computational finance offered by the University of Washington Computational Finance program and taught by...

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Dealing with Non-Positive Definite Matrices in R

November 27, 2011
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Last time we looked at the Matrix package and dug a little into the chol(), Cholesky Decomposition, function.  I noted that often in finance we do not have a positive definite (PD) matrix.  The chol() function in both the Base and Matrix...

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ConPA uses cloudnumbers.com as calculation backend

November 25, 2011
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ConPA uses cloudnumbers.com as calculation backend

ConPA is an asset allocation application using the classic Markowitz approach. For the calculations the open-source statistical programming language R is used. R scripts are executed on cloudnumbers.com’s computer clusters in the Cloud and the results are displayed by ConPA frontend. ConPA allows to set the investment date of the portfolio, the target return and

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Introduction to Backtesting library in the Systematic Investor Toolbox

November 24, 2011
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Introduction to Backtesting library in the Systematic Investor Toolbox

I wrote a simple Backtesting library to evaluate and analyze Trading Strategies. I will use this library to present the performance of trading strategies that I will study in the next series of posts. It is very easy to write a simple Backtesting routine in R, for example: The code I implemented in the Systematic

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Matrix Package Doodling

November 24, 2011
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Matrix Package Doodling

Trying not to fall into Thanksgiving Day, football, coma.  So I started looking at the Matrix package.Started out by changing my code from before to create a matrix using the Matrix() function from the Matrix package.n = 4000c = Matrix(.9,n,n)for(...

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Matrix Package Doodling

November 24, 2011
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Trying not to fall into Thanksgiving Day, football, coma.  So I started looking at the Matrix package.Started out by changing my code from before to create a matrix using the Matrix() function from the Matrix package.n = 4000c = Matrix(.9,n,n)for(...

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Asynchrony in market data

November 21, 2011
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Asynchrony in market data

Be careful if you have global daily data. The issue Markets around the world are open at different times.  November 21 for the Tokyo stock market is different from November 21 for the London stock market.  The New York stock market has yet a different November 21. The effect The major effect is that correlations … Continue reading...

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