Description:My explorations with the FRED (St Louis Financial Reserve Database) in R have yielded some interesting plots, charts and graphs. And some questions… Charts with Explanations: Yes, I know, the axes are a mess, and the site’s style sheet ... [Read more...]

If you're planning to go to R/Finance 2011[*] in Chicago (and if you're doing quantitative finance with R, you definitely should), time is running out to submit your abstract for contributed talks. The best part of R/Finance is learning about all the interesting ways R is used to analyze ... [Read more...]

Thanks to everyone who attended yesterday's webinar, "Portfolio design, optimization and stability analysis", presented by Diethelm Würtz of the Rmetrics Association and sponsored by Revolution Analytics, Sybase, Finance Online and NeuralTechSoft. (And thanks in particular for your patience for the last start -- in a perfect demonstration of Murphy's ... [Read more...]

We're very excited to host a new webinar from some of the leading researchers in portfolio design: Diethelm Würtz and Mahendra Mehta for the Rmetrics Association. This webinar will give an overview on current and recent developments and tools for portfolio design, optimization and stability analysis with the R/... [Read more...]

If you've been thinking about heading to Chicago in April for the R/Finance conference, here's another reason to go: posting for the committee, Dirk Eddelbuettel announced last week that thanks to a favourable response from sponsors[*], the conference organizers can now offer: a competition for best paper, which given ... [Read more...]

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As announced on the R-Sig-Finance mailing list, the University of Washington is now offering a three-course online certificate in computational finance, using the R programming language as the software base. The three courses are: Investment Science R Computing for Computational Finance Portfolio Construction and Risk Management The course is presented ... [Read more...]

In this post I publish a PDF document titled “A collection of tips for R in Finance”. It is a basic 5 page introduction to R in finances by Arnaud Amsellem (linked in profile). The article offers tips related to the following points: Code Editor Organizing R code Update packages Getting ... [Read more...]

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The presentations from April's successful R/Finance 2010 conference in Chicago are now available online. (Revolution Analytics is a proud sponsor of the conference.) There's some amazing content here for anyone looking for the cutting-edge of financial engineering, with presentations from practitioners and researchers at institutions like Invesco Asset Management, Black ... [Read more...]

The Rmetrics Foundation (the sharp minds behind the Rmetrics suite of packages for financial analysis in R) have just launched a new blog where you can keep up with the latest Rmetrics news. Amongst the recent news: a ne eBook about data management of Indian financial market data, and a ... [Read more...]

There is a central notion in Time Series Econometrics, cointegration. Loosely it refers to finding the long run equilibrium of two non-stationary series. As the most know non-stationary series examples comes from finance, cointegration is nowadays a tool for traders (not a common one though!). They use it as the ... [Read more...]

Over at Cerebral Mastication, JD Long tells a characteristically entertaining and informative story about how he uses R to run stochastic simulations of insurance portfolios and reinsurance treaties. A typical job involves 10,000 simulations, and when each estimate takes over 20 seconds you're talking some serious time to get the job done. ... [Read more...]

Registrations are now open for the R/Finance 2010 conference, to be help April 16-17 in Chicago. Last year's meeting was a great success, and this year's looks to be just as good, with some great keynotes lined up: Analysis of Integrated and Co-integrated Time Series with R (Bernhard Pfaff) Leverage ... [Read more...]

One of the greatest event on R is under way… R / Finance 2010: Applied Finance with R April 16 & 17, Chicago, IL, US The second annual R / Finance conference for applied finance using R, the premier free software system for statistical computation and graphics, will be held this spring in Chicago, IL, USA ... [Read more...]

With all of the winter snows in the US this weekend, a trip to equatorial climes sounds pretty good right about now. That makes this email announcement from Rmetrics leader Diethelm Wuertz all the more tempting: Conference on 'Computational Topics in Finance' February 19/20, 2010, National University of Singapore Dear R/Rmetrics ... [Read more...]