Articles by Joshua Ulrich

Comment on Overnight SPY Anomaly

November 16, 2015 | Joshua Ulrich

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 ... [Read more...]

New quantmod and TTR on CRAN

July 24, 2015 | Joshua Ulrich

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... [Read more...]

plot.xts RFC

April 20, 2015 | Joshua Ulrich

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... [Read more...]

Import Japanese equity data into R with quantmod 0.4-4

March 10, 2015 | Joshua Ulrich

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 and getSymbols.oanda.Changes to the Yahoo Finance and Oanda websites broke the and getSymbols.oanda functions, respectively.  I didn’... [Read more...]

Google Summer of Code 2015

March 3, 2015 | Joshua Ulrich

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 ...
[Read more...]

Updated quantmod on CRAN

December 15, 2014 | Joshua Ulrich

An updated version of quantmod has just been released on CRAN.  This is my first submission as the new maintainer.  The major change was removing the dependency on the now-archived Defaults package.  End-users shouldn't notice ... [Read more...]

R/Finance 2015 Call for Papers

November 18, 2014 | Joshua Ulrich

Call for Papers:R/Finance 2015: Applied Finance with RMay 29 and 30, 2015University of Illinois at ChicagoThe seventh annual R/Finance conference for applied finance using R will be held on May 29 and 30, 2015 in Chicago, IL, USA at the University... [Read more...]

R/Finance 2014 Review

June 30, 2014 | Joshua Ulrich

It's been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I'm writing this over two days during my train to and from Chicago).The comments below are based on my personal ex... [Read more...]

R/Finance 2014 Registration Open

March 29, 2014 | Joshua Ulrich

As announced on the R-SIG-Finance mailing list, registration for R/Finance 2014 is now open! The conference will take place May 17 and 18 in Chicago.Building on the success of the previous conferences in 2009-2013, we expect more than 250 attendees fro... [Read more...]

quantstrat is slow

November 4, 2013 | Joshua Ulrich

The complaint I hear most frequently about quantstrat is that it's slow, especially for large data.  Some of this slow performance is due to quantstrat treating all strategies as path-dependent by default.  Path dependence requires rules to b... [Read more...]

R/Finance 2014 Call for Papers

October 17, 2013 | Joshua Ulrich

We're getting ready for this year's R/Finance conference.  Here's the call for papers.  I hope to see you there!R/Finance 2014: Applied Finance with RMay 16 and 17, 2014University of Illinois at ChicagoThe sixth annual R/Finance conference fo... [Read more...]

R/Finance 2013 Review

May 28, 2013 | Joshua Ulrich

It's been one week since the 5th Annual R/Finance conference, and I finally feel sufficiently recovered enough to share my thoughts. The conference is a two-day whirlwind of applied quantitative finance, fantastic networking, and general geekery.The comments below are based on my personal experience.  If I don't comment ... [Read more...]

R/Finance 2013 Registration Open

March 29, 2013 | Joshua Ulrich

The registration for R/Finance 2013 -- which will take place May 17 and 18 in Chicago -- is NOW OPEN!Building on the success of the previous conferences in 2009, 2010, 2011 and 2012, we expect more than 250 attendees from around the world. R users from... [Read more...]

Computational Finance with R on Coursera

September 12, 2012 | Joshua Ulrich

If you haven't signed up for the Introduction to Computational Finance and Financial Econometrics course taught by Eric Zivot on Coursera, it's not too late.  The second week just started and the first assignments aren't due until September 18th.J... [Read more...]

A New plot.xts

August 15, 2012 | Joshua Ulrich

The Google Summer of Code (2012) project to extend xts has produced a very promising new plot.xts function.  Michael Weylandt, the project's student, wrote R-SIG-Finance to request impressions, feedback, and bug reports.  The function is hous... [Read more...]

Book Review: Parallel R

June 5, 2012 | Joshua Ulrich

You have a problem: R is single-threaded, but your code would be faster if it could simultaneously run on more than one core.  You have access to a cluster and/or your computer has multiple cores.  Parallel R, by Q. Ethan McCallum and Stephen... [Read more...]

R in Google Summer of Code 2012

March 23, 2012 | Joshua Ulrich

This post is a slightly revised (and "blogified") version of the message Brian Peterson has sent to various R mailing lists.Once again, R has been accepted as a mentoring organization for the Google Summer of Code (2012).  We invite students interested in this program to learn more about it.  A ... [Read more...]
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