887 search results for "finANCE"

Russell Napier, ASIP in FT Says Emerging Market Currencies

May 17, 2011
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Russell Napier, ASIP in FT Says Emerging Market Currencies

Clearly I have succumbed to confirmation bias, since my second favorite presentation from the CFA Institute Annual Conference this year came from Scotland native Russell Napier, ASIP who shares my views nearly completely http://video.ft.com/v/946244201...

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AIB Stock Price, EGARCH-M, and rgarch

May 17, 2011
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AIB Stock Price, EGARCH-M, and rgarch

This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of this is done in R,

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In case you missed it: April Roundup

May 17, 2011
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In case you missed them, here are some articles from April of particular interest to R users. The Heritage Health Prize, a competition to build predictive models for hospitalization with USD$3.2M in prizes, is open. The Inside-R.org community site now provides the ability to search and view the help files for CRAN packages. Revolution R Enterprise 4.3 released: R...

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Omega as Optimizer

May 16, 2011
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Omega as Optimizer

During Jan Straatman’s presentation, I tweeted Jan Straatman #cfa2011 In real life no normal distributions so use omega function to optimize actual returns After the presentation, I asked Jan his second choice for optimization after Omega, and he re...

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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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Filtering for English Tweets: Unsupervised Language Detection on Twitter

April 30, 2011
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Filtering for English Tweets: Unsupervised Language Detection on Twitter

(See a demo here.) While working on a Twitter sentiment analysis project, I ran into the problem of needing to filter out all non-English tweets. (Asking the Twitter API for English-only tweets doesn’t seem to work, as it nonetheless returns tweets in Spanish, Portuguese, Dutch, Russian, and a couple other languages.) Since I didn’t have any...

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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
By

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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