729 search results for "finance"

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

May 7, 2011
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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.

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First Answer to My Own Question-Combine LSPM and Mahalanobis

May 2, 2011
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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...

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Review of the R Cookbook

May 2, 2011
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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...

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Rcpp Workshop slides

April 29, 2011
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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)

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Rcpp Workshop slides

April 29, 2011
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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)

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Slides from Rcpp workshop / master class yesterday

April 29, 2011
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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 ...

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

April 28, 2011
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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...

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Can you do better than cap-weighted equity benchmarks?

April 28, 2011
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We're on our way to Chicago for the annual conference for R users in Finance, R/Finance 2011. Revolution Analytics is proud to once again sponsor this conference, and during the sponsor lunch session at noon on Saturday, we're honoured to have Guy Yollin show how the big-data capabilities of Revolution R Enterprise can be used for quantitative finance. Here...

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Job Search Part 5: It’s Policy Time!

April 27, 2011
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Job Search Part 5: It’s Policy Time!

This is the last post of this special mini-series on the job search and matching theory of unemployment. I will probably be extremely distracted for the next few months, including a month-long vacation in Europe to shake the horrors of undergrad off me...

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A test of Ledoit-Wolf versus a factor model

April 27, 2011
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A test of Ledoit-Wolf versus a factor model

Statistical factor models and Ledoit-Wolf shrinkage are competing methods for estimating variance matrices of returns.  So which is better?  This adds a data point for answering that question. Previously There are past blog posts on: the idea of variance matrices factor models of variance The data in this post are from the blog posts: “Weight … Continue reading...

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