In System Failure-Maybe it Will Help I presented the initial trials of a linear model system for stocks, and even though they were not a resounding success, I have been strangely determined to discover a working version of this framework. Maybe t...

Revolution Analytics is hosting several hands-on R training classes over the next few months, with in-person instruction from two leading package authors and experts from the R community. Diethelm Würtz from ETH Zurich will give a two-day master class on Portfolio Selection and Optimization in Practice. Prof Würtz leads the Rmetrics project, and will provide in-depth instruction on using...

Together with Revolution Analytics, I will be offering two more one-day classes on the Rcpp package for seamless integration of R and C++. The format will follow the workshop Romain and I gave during the tutorial day preceding this year's R/Financ...

(This is a guest post by Ilya Kipnis)When trading stocks in a single currency, instrument metadata can be safely ignored because the multiplier is 1 and the currencies are all the same. When doing analysis on fixed income products, options, futures, or other complex derivative instruments, the data defining the properties of these instruments becomes critical to tasks...

I will be giving a presentation on “Optimal transaction cost” in Vilnius on 16 August. While preparing the presentation and looking for an optimal execution solution, a natural question arises: does the size of the trade affect stock market price? I’m sure, you would say 100 % yes. Well, you would be right, but what is

"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Jeff Ryan Profession: Owner/Principal at Lemnica; Committee Member at R/Finance Nationality: American Years Using R: 8 Known for: R/Finance Conference, quantmod and xts packages Jeffrey Ryan is a Chicago-based quantitative software analyst and avid R user. He is perhaps best...

Guest post to R-bloggers by Dr Kris Boudt. ——————– R has always been my favorite language to forecast financial risk in my research and consulting. But, I have been reluctant to use it in my lectures on financial risk. It is certainly not the absence of appropriate R packages that refrained me. On the contrary, there is a large...

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