finance

A surprising(?) prediction about the S&P 500

July 12, 2011 | David Smith

Financial analyst Greg Troccoli was a lone wolf when he predicted in July 2010 that “If the [S&P500] Index held at or above our proprietary support zone (1000.00- 950.00 region), it would eventually trade to a new historical high within 12 - 18 months (July- December 2011 timeframe)”. For reference, the S&P500 all-time ... [Read more...]

The R Journal: June 2011

June 24, 2011 | David Smith

The latest issue of the R Journal is out, and as always includes many useful articles about using R and R packages. Articles in Volume 3/1 dive into topics including creating test for R packages with test_that; dealing with times, time zones, dates and holidays with timeDate; social network analysis ... [Read more...]

Video: Two R talks from Hadley Wickham

June 22, 2011 | David Smith

On his recent tour to the Bay Area, Hadley Wickham have two interesting R-related talks, for which video has been made available by Google Tech Talks. At the June Bay Area R User Group meeting, Hadley spoke on the future of interactive data visualization in R. Building on his experiences ... [Read more...]

Big-Data PCA: 50 years of stock data

June 17, 2011 | Sherry Lamonica

In this post, Revolution engineer Sherry LaMonica shows us how to use the RevoScaleR big-data package in Revolution R Enterprise to do principal components analysis on 50 years of stock market data -- ed. Principal components analysis, or PCA, seeks to find a set of orthogonal axes such that the first ... [Read more...]

Real-time Analytics for Capital Markets with Revolution R

June 8, 2011 | David Smith

In the 2011 edition of the Sybase Capital Markets Guide, Revolution Analytics CTO David Champagne talks about the need for up-to-date analytics in Finance, and how you can integrate Revolution R with quality real-time data sources. Here's an excerpt: R represents a radically different approach to the challenges posed by analyzing ... [Read more...]

Highlights from R/Finance 2011 presentations

June 2, 2011 | David Smith

Patrick Burns offers his selections from the presentations at the R/Finance 2011 conference. Check out his post for overviews of some great presentations (and truly, there's some awesome content available to download). I'll add another of my favourites: Bryan Lewis's presentation of his interface from R to the betfair betting ... [Read more...]

Presentations from R/Finance 2011 available

May 27, 2011 | David Smith

Last month's R/Finance 2011 conference in Chicago was an outstanding event, bringing together some of the best minds in applying R to financial data. Presentations from the speakers are now available for download, with a wealth of useful information there for anyone working in quantiative finance. Not to be missed, ... [Read more...]

AIB Stock Price, EGARCH-M, and rgarch

May 17, 2011 | timeseriesireland

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 ... [Read more...]

Can you do better than cap-weighted equity benchmarks?

April 28, 2011 | David Smith

We're on our way to Chicago for the annual conference for R users in Finance, R/Finance 2011. Revolution Analytics is proud to once again sponsor this conference, and during the sponsor lunch session at noon on Saturday, we're honoured to have Guy Yollin show how the big-data capabilities of Revolution ... [Read more...]

Milktrader: Quantitative finance in R

April 25, 2011 | David Smith

The blog Milktrader has been on a roll recently with a series of posts with practical examples of quantitative in finance, from backtesting to automated trading, and option pricing to data acquisition. The latest post focuses on calculating returns, with an example of downloading data for a silver ETF and ... [Read more...]

RStudio 0.93 Beta Available

April 15, 2011 | JeroldHaas

In case you miseed, 0.93 Beta of RStudio is released! A good set of fixes, including vignette() (sorry edit() not compatible yet). The panel layout is fully customizable, and there are a load of bug fixes. See the Release Notes for more info.
[Read more...]

Program announced for R/Finance 2011

April 1, 2011 | David Smith

R/Finance[*], the conference devoted to users of R in the financial sector, takes place every year in Chicago. The program has just been announced for R/Finance 2011 (to be held April 29 and 30), and it's jam-packed with talks from on automated trading, financial risk, hedge ratios, stochastic volatility, and much, ... [Read more...]

Violins of Volatility

March 29, 2011 | David Smith

A violin plot is a combination box plot and a kernel density plot: it starts with a box plot, and adds a rotated kernel density plot to each side of the box plot. You can create violin plots with the vioplot function (from the vioplot package) package in R. When ... [Read more...]

Some upcoming R courses

March 18, 2011 | David Smith

A couple of quick notes about some upcoming R courses: In Vancouver, Canada, R trainer Isabella Ghement is presenting two R courses: An Introduction to the Statistical Software Package R, 8:30am-4:30pm, March 30-31, 2011, Vancouver, B.C., Canada (http://www.ghement.ca/RworkshopMarch30and31_2011.html) Advanced Statistical Modeling Using the ... [Read more...]

A quick look at #march11 / #saudi tweets

March 12, 2011 | mjbommar

Well, so much for that #march11 #Saudi day of rage.  Whether it was really the "tempest in a teacup" that  Prince Al-Waleed suggested on CNBC (video below, transcript here) or not, the oil complex and Saudi markets seem to have shrugged … Continue reading → [Read more...]
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