751 search results for "finance"

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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R Optimization Function Test

R Optimization Function Test

Using Kalman Filter for CIR interest rate model parameter estimation was introduced at my previously post Kalman Filter finance, soon after that I got a few comments saying the final results are unstable and highly depend on the initial values, that's...

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R tee-shirt

September 21, 2010
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R tee-shirt

I gave my introduction to the R course in a crammed amphitheatre of about 200 students today. Had to wear my collectoR teeshirt from Revolution Analytics, even though it only made the kids pay attention for about 30 seconds… The other few “lines” that worked were using the Proctor & Gamble “car 54″ poster and

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In case you missed it: August Roundup

September 20, 2010
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In case you missed them, here are some articles from August of particular interest to R users. We noted that R had a key role in the US government's reaction to the BP oil spill, as related by the Statistical Engineering division chief at NIST. We linked to an example of creating an animation in Google Earth based on...

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