Posts Tagged ‘ finance ’

Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

September 16, 2011
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Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.  In my last post, I demonstrated how to backtest a simple momentum-based stock trading strategy ...

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How Lloyd’s of London uses R for Insurance

September 15, 2011
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How Lloyd’s of London uses R for Insurance

Lloyd's is the world's leading specialist insurance market, and is often the first to insure new, unusual or complex risks. So it's no surprise that Lloyd's is one of the many companies that use R and its advanced capabilities for data analysis to help manage its insurance risks. At the useR! conference last month, Lloyd's analysts Markus Gesmann, Viren...

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Correlations among US Stocks: Is it really time to fire your adviser?

September 15, 2011
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Correlations among US Stocks: Is it really time to fire your adviser?

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.The Financial Times says it's time to "Fire your Adviser" because correlations among US stocks ar...

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Backtesting a Simple Stock Trading Strategy

September 13, 2011
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Backtesting a Simple Stock Trading Strategy

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.  I recently read a post on ETF Prophet that explored an interesting stock trading strategy in Ex...

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Recession forecasting II: Assessing Hussman’s Accuracy

August 22, 2011
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Recession forecasting II: Assessing Hussman’s Accuracy

In my last post on recessions, I implemented John Hussman's Recession Warning Composite in R. In this post I will examine how well this index performs and discuss how we might improve it. If you would like to follow along at home, be sure to run the ...

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useR! 2011 roundup

August 19, 2011
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useR! 2011 roundup

As I stand here at Heathrow waiting for my flight back to the States, I thought I'd dash off a few quick reflections of the userR! 2011 conference at University Warwick. It was an outstanding event. There's something about a conference of just a few hundred attendees (there were about 450) that creates a sense of camaraderie and common...

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We keep breaking records ? so what ?… Get statistical perspective….

August 17, 2011
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We keep breaking records ? so what ?… Get statistical perspective….

This summer, we have been told that some financial series broke some records (here, in French)For instance, the French CAC40 had negative return for 11 consecutive days (which has never been seen, so far).> library(tseries)> x<-get....

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How ANZ uses R for credit risk analysis

August 8, 2011
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How ANZ uses R for credit risk analysis

At last month's R user group meeting in Melbourne, the theme was "Experiences with using SAS and R in insurance and banking". There, Hong Ooi from ANZ (Australia and New Zealand Banking Group) gave a presentation on "Experiences with using R in credit risk". I didn't get to see the presentation myself, but the slides tell a great story...

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Upcoming R training classes, live from the experts

August 5, 2011
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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...

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Financial Engineering with R

July 29, 2011
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At the InformationManagement blog, Steve Miller talks about the applications of R to financial engineering, and reviews David Ruppert's book Statistics and Data Analysis for Financial Engineering. InformationManagement: Statistics and Financial Engineering

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