729 search results for "finance"

R in The Windy City

February 27, 2009
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In honor of me moving to Chicago, the powers who abide have decided to hold the first annual “R/Finance conference for applied finance using R” conference in Chicago this year. The dates are April 24-25, 2009. R/Finance 2009: Applied Finance with R To those who made the decision on location, I’m pleased but slightly embarrassed that you

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Sorry, you said you want a stats revolution?

February 23, 2009
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Sorry, you said you want a stats revolution?

ALL ABOUT REVOLUTION COMPUTING’S R DISTRIBUTION Decision Science News was intrigued by a company called REvolution Computing that got some attention of late for spinning their own mix of the R language for statistical computing and giving it away for free. So DSN asked to interview them to see what it’s all about Decision Science

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Maximum likelihood estimation in R

Maximum likelihood estimation can be implemented like Quasi-maximum likelihood in Matlab, You can also write an R function which computes out the likelihood function. As always in R, this can be done in several different ways.One issue is that of rest...

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R featured in New York Times article

January 7, 2009
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Today's New York Times carries a decent article about R. Predictably, this lead to one (short), two (longest), three (short) threads on the main R mailing list. One aspect merits further highlighting. The reporter asked whether R would pose a threat to SAS: "I think it addresses a niche market for high-end data analysts that want free, readily...

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Extra moments measure

December 16, 2008
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The following functions are intended to replicate calculations for taking higher moments of hedge fund returns into account in analyzing particular investments.  Most of the formulae are taken from various EDHEC research papers.# All returns...

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Functions for portfolio analysis

December 11, 2008
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Functions include:1. efficient.portfolio      compute minimum variance portfolio subject to target return2. globalMin.portfolio      compute global minimum variance portfolio3. tangency.portf...

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Convert Splus to R

December 10, 2008
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Suppose you have got used to Splus and want to switch to R software (why bother to change? R is free while Splus is not, fair enough?), what can you do? since there are many functions in S-PLUS that are missing in R, one way is to understand the functions and write your owns, working N hours without sleep...

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Multivariate dependence with copulas

November 17, 2008
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Classes (S4) of commonly used copulas including elliptical (normal and t), Archimedean (Clayton, Gumbel, Frank, and Ali-Mikhail-Haq), extreme value (Husler-Reiss and Galambos), and other families (Plackett and Farlie-Gumbel-Morgenstern). Methods for d...

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Modeling Financial Time Series with S-PLUS

November 12, 2008
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Although S-plus is the most terrible language I have ever used in terms of debugging (I have to say that, no offense to S-plus fans, as my colleagues said, it is hard to understand it is still existed in 21 centuary), I found the S-plus scripts accomp...

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Quantitative Risk Management R package

I shared an Econometric tools for performance and risk analysis package in R, today I introduce another Quantitative Risk Management R package, which is accompanying the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J....

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