Blog Archives

R/Finance 2017: Call for Papers

January 4, 2017
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R/Finance 2017: Applied Finance with RMay 19 and 20, 2017University of Illinois at ChicagoThe ninth annual R/Finance conference for applied finance using R will be held on May 19 and 20, 2017 in Chicago, IL, USA at the University of Illinois at Chicago.  The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing,...

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quantmod 0.4-6 on CRAN

August 29, 2016
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CRAN just accepted a bugfix release of quantmod.  The most pertinent changes were to fix getSymbols.oanda (#36) and getOptionChain.yahoo (#92).  It also includes a fix to addTRIX (#72).Oanda changed their URL format from http to https, and getSymbols.oanda did not follow the redirect.  Yahoo Finance changed the HTML for displaying options data, which broke getOptionChain.yahoo.  The fix downloads JSON instead of scraping HTML, so hopefully it...

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DataCamp course: Importing and managing financial data

June 17, 2016
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The team at DataCamp announced a new R/Finance course series in a recent email:Subject: Data Mining Tutorial, R/Finance course series, and more!R/Finance - A new course series in the worksWe are working on a whole new course series on applied finance u...

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Registration for R/Finance 2016 is open!

April 11, 2016
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You can find registration information and agenda details on the conference website.  Or you can go directly to the Cvent registration page.Note that registration fees will increase by 50% at the end of early regi...

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Comment on Overnight SPY Anomaly

November 16, 2015
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This post is in response to Michael Harris' Price Action Lab post, where he uses some simple R code to evaluate the asymmetry of returns from the day's close to the following day's open.  I'd like to respond to his 3 notes, which I've included below.The R backtest assumes fractional shares. This means that equity is fully invested at...

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New quantmod and TTR on CRAN

July 24, 2015
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I just sent quantmod_0.4-5 to CRAN, and TTR_0.23-0 has been there for a couple weeks. I'd like to thank Ivan Popivanov for many useful reports and patches to TTR. He provided patches to add HMA (Hull MA), ALMA, and ultimateOscillator functions.Jam...

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plot.xts RFC

April 20, 2015
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We have been working on a new charting engine for xts::plot.xts for the past couple years. It started with Michael Weylandt's work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC.This new engine improves t...

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Registration Open for R/Finance 2015!

March 31, 2015
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You can find registration information and agenda details (as they become available) on the conference website.  Or you can go directly to the registration page.  Note that there's an early-bird registration deadl...

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Import Japanese equity data into R with quantmod 0.4-4

March 10, 2015
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I pushed quantmod 0.4-4 to CRAN this weekend.  It adds a getSymbols.yahooj function to pull stock data from Yahoo Finance Japan, and fixes issues in getOptionChain.yahoo and getSymbols.oanda.Changes to the Yahoo Finance and Oanda websites broke the getOptionChain.yahoo and getSymbols.oanda functions, respectively.  I didn’t use getOptionChain.yahoo much, so I’m not certain I restored all the prior functionality.  Let me...

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Google Summer of Code 2015

March 3, 2015
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Google Summer of Code 2015

The R Project has once again been selected as a mentoring organization for this year's Google Summer of Code (GSoC).  If you're not familiar with GSoC, it's a global program that offers students a stipend to write code for open source projects, under the direction of a mentor.  Mentors get code written for their project, but no money.  Students get something like a paid summer...

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