682 search results for "finance"

AIB Stock Price, EGARCH-M, and rgarch

May 17, 2011
By
AIB Stock Price, EGARCH-M, and rgarch

This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of this is done in R,

Read more »

In case you missed it: April Roundup

May 17, 2011
By

In case you missed them, here are some articles from April of particular interest to R users. The Heritage Health Prize, a competition to build predictive models for hospitalization with USD$3.2M in prizes, is open. The Inside-R.org community site now provides the ability to search and view the help files for CRAN packages. Revolution R Enterprise 4.3 released: R...

Read more »

Omega as Optimizer

May 16, 2011
By
Omega as Optimizer

During Jan Straatman’s presentation, I tweeted Jan Straatman #cfa2011 In real life no normal distributions so use omega function to optimize actual returns After the presentation, I asked Jan his second choice for optimization after Omega, and he re...

Read more »

quantmod makes it easy to watch silver prices crash in R #rstats

May 7, 2011
By
quantmod makes it easy to watch silver prices crash in R #rstats

Jeffrey Ryan's quantmod package makes it simple to download and graph pricing data from a variety of sources. A couple of lines of R is all it takes to see that silver has had a very bad week.

Read more »

First Answer to My Own Question-Combine LSPM and Mahalanobis

May 2, 2011
By
First Answer to My Own Question-Combine LSPM and Mahalanobis

I first wanted to thank http://www.fosstrading.com for the very kind and unexpected mention over the weekend.  You will notice almost all of my code contains some credit to Foss Trading for the examples and great packages.  I hate that I coul...

Read more »

Review of the R Cookbook

May 2, 2011
By

While we were at R/Finance in Chicago over the weekend (more on that later), it was a great pleasure to meet in person Paul Teetor, author of the R Cookbook (published by O'Reilly). If you haven't picked it up yet, I recommend checking it out: if you already have a basic familiarity of the R syntax, but want to...

Read more »

Rcpp Workshop slides

April 29, 2011
By

Dirk and I gave a full day Rcpp workshop yesterday in Chicago before the R in Finance conference.The pdfs of the slides are available here: part 1 (intro), part 2 (details), part 3 (modules) and part 4 (applications)

Read more »

Rcpp Workshop slides

April 29, 2011
By

Dirk and I gave a full day Rcpp workshop yesterday in Chicago before the R in Finance conference.The pdfs of the slides are available here: part 1 (intro), part 2 (details), part 3 (modules) and part 4 (applications)

Read more »

Slides from Rcpp workshop / master class yesterday

April 29, 2011
By

Romain and I just posted our slides from yesterday's Rcpp workshop and class (preceding the now-ongoing R/Finance conference). You can access the slides via my presentation page, or directly from here as Part 1 (Introduction), Part 2 (Details), Part ...

Read more »

Slightly Different Use of Ralph Vince’s Leverage Space Trading Model

April 28, 2011
By
Slightly Different Use of Ralph Vince’s Leverage Space Trading Model

In honor of the press release Dow Jones Indexes To Develop, Co-Brand Index Family With LSP Partners two days ago, I thought I would show another slightly different use of Ralph Vince’s The Leverage Space Trading Model. Using the R LSPM package, we c...

Read more »