744 search results for "finance"

New England R Users Group Meeting

November 5, 2010
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New England R Users Group Meeting

Attended and thoroughly enjoyed Tuesday night’s New England R Users Group. We meet monthly in the Boston area to discuss the various ways in which people use and interact with the R programming language. Not surprisingly, we have a variety of industries represented. One of us is using R to recognize patterns in tissue samples

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R is Hot: Part 5

November 4, 2010
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This the final installment of a five-part article series. You can download the complete article from the Revolution Analytics website. Building a Business The value of R to business is borne out by the experiences of John Lucker and his team of advanced analytics professionals at Deloitte Consulting LLP. John is a Deloitte Consulting Principal and leads the firm’s...

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Handling Large Datasets in R

Handling large dataset in R, especially CSV data, was briefly discussed before at Excellent free CSV splitter and Handling Large CSV Files in R. My file at that time was around 2GB with 30 million number of rows and 8 columns. Recently I started to collect and analyze US corporate bonds tick data from year...

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Algorithmic Trading with IBrokers

October 25, 2010
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Algorithmic Trading with IBrokers

Kyle Matoba is a Finance PhD student at the UCLA Anderson School of Management.  He gave a presentation on Algorithmic Trading with R and IBrokers at a recent meeting of the Los Angeles R User Group.  The discussion of IBrokers begins near th...

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R API to Interactive Brokers Trader Workstation

Interactive Brokers via Matlab was mentioned at the old post Matlab trading code, IBrokers: R API to Interactive Brokers Trader Workstation is the R package I realize for algo trading API. Should you are also interested, you can watch the following sh...

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Help! My model fits too well!

October 22, 2010
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Help! My model fits too well!

This is sort-of related to my sidelined study of graph algebra. I was thinking about data I could apply a first-order linear difference model to, and the stock market came to mind. After all, despite some black swan sized shocks, what better predicts a day’s closing than the previous day’s closing? So,

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Liquidity Premium vs Liquidity of Corporate Bonds

Liquidity Premium vs Liquidity of Corporate Bonds

All else equal, investors should require higher returns on assets whose liquidity is lower, in other words, investors demand a higher expected return, and hence larger liquidity premium, by holding a less liquidity asset. Risk & return co-exist.Is this really true for corporate bonds? I run a simple regression using R to test my data, where US corporate bonds...

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R wanted for an intern at Barron’s

October 13, 2010
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R/SQL/scripting, oodles of data, a willing outlet for write-ups. Any takers? Do some good. Intern at Barron’s, the New York financial publication with a decades-long tradition of investigative journalism and a more recent commitment to data analytic exposure of fraud in finance, business and healthcare. Bring us your zeal and your data munging skills and

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In case you missed it: September Roundup

October 12, 2010
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In case you missed them, here are some articles from August of particular interest to R users. We presented a profile of Hadley Wickham, author of many popular R packages including ggplot2 and reshape. We riffed the design of the new Twitter website into a discussion on calculating the Golden Mean with R. Several readers contributed 1-liners based on...

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A tale of two returns

October 4, 2010
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A tale of two returns

It was the best of times, it was the worst of times. As you may have guessed, this is a mashup of a novel by Charles Dickens and an explanation of financial returns. The key plot element of A Tale of Two Cities is that there are two men, Charles Darnay and Sydney Carton, who … Continue reading...

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