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Interview: Patrick Burns Quantitative Finance in R

Interview: Patrick Burns Quantitative Finance in R

Dr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written m...

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BerkeleyEarth Version 1.6

March 5, 2012
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BerkeleyEarth Version 1.6

Version 1.6 has just been submitted to CRAN and I will post the source here in the dropbox. Version 1.6 will probably be stable for a long time unless I find a bug. The main additions I made were adding a few functions to make some things easier, and I converted two files–flags and sources–

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di Roma

March 4, 2012
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di Roma

It has been a wonderful week in Roma, a mix of pleasant work and enjoyable free-time! I gave the ABC advanced course for the second time in a month so it did not require much in terms of preparation and there was a good sized audience with attentive (if too silent!) students and friends as

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ABC in Roma [R lab #2]

March 2, 2012
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ABC in Roma [R lab #2]

Here are the R codes of the second R lab organised by Serena Arima in supplement of my lectures (now completed!). This morning I covered ABC model choice and the following example is the benchmark used in the course (and in the paper) about the impact of summary statistics. (Warning! It takes a while to

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Download and Parse NAREIT Data

March 1, 2012
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Download and Parse NAREIT Data

This is the first post of a series that describes how to download and parse specific data sets into R. These kinds of scripts can be functionalized further, but I doubt that these will ever find their way into a formal package. They are intended to be helpful to those facing similar tasks, but as

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ABC in Roma [R lab #1]

February 29, 2012
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ABC in Roma [R lab #1]

Here are the R codes of the R labs organised by Serena Arima in supplement of my lectures. This is quite impressive and helpful to the students, as illustrated by the first example below (using the abc software). I am having a great time teaching this “ABC in Roma” course, in particular because of the

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Portfolio Optimization – Why do we need a Risk Model

February 26, 2012
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Portfolio Optimization – Why do we need a Risk Model

In the last post, Multiple Factor Model – Building Risk Model, I have shown how to build a multiple factor risk model. In this post I want to explain why do we need a risk model and how it is used during portfolio construction process. The covariance matrix is used during the mean-variance portfolio optimization

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R and Salesforce

February 25, 2012
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R and Salesforce

Introduction R is widely used among scientists and statisticians to perform statistical analysis while Salesforce.com is one of the leading CRM software packages used for Marketing and Salesforce automation. Salesforce.com contains vital information regarding Leads, Customers, Contacts, Opportunities and Cases. Currently this data is mainly used for operational purposes by Sales and Marketing professionals. How

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A Roma

February 25, 2012
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A Roma

Today, I am going to Rome for a week, teaching my PhD course on ABC I first gave in Paris. The course takes place in La Sapienza Università di Roma, from Monday till Thursday. There will be an R lab in addition to the lectures. (I have no further item of information at the moment.)

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GSoC Project #2 for 2012

February 23, 2012
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GSoC Project #2 for 2012

In my prior post, I discussed the origins of the first GSoC project I posted this year. The second GSoC project I’ve proposed is around the writing and code of Attilio Meucci, an adjunct professor at Baruch College – CUNY and an excellent speaker (I saw him at the University of Chicago when he spoke

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