Blog Archives

Moving from Excel to R

March 5, 2011
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This first post of the Backtesting in Excel and R series will provide some resources to help smooth the transition from the familiarity and comfort of Excel to the potentially strange and intimidating world of R.I made my voyage from Excel to R more th...

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Backtesting in Excel and R

February 17, 2011
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This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R.  The impetus for this series started with this tweet by Jared Woodard at Condor Options.  After Soren Macbeth introduced us, Jare...

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Stack Exchange: Quantitative Finance in public beta

February 14, 2011
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Stack Exchange: Quantitative Finance in public beta

The Quantitative Finance Stack Exchange community entered public beta last week.  To quote the FAQ: The Quantitative Finance Stack Exchange is intended specifically for professionals and traders working in investment banking, and aca...

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R/Finance 2011 Call for Papers

December 26, 2010
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The 2011 R/Finance conference has an updated call for papers.  Dirk Eddelbuettel announced it to the R-SIG-Finance mailing list.  I've reproduced his email in its entirety below.  Let me know if you plan on attending.Subject: R/Finance 2...

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Why Use R?

December 14, 2010
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I use R very frequently and take for granted much that it has to offer.  I forget how R is different from similar tools, so I have trouble communicating the benefits of using R.  The goal of this post is to highlight R's main strengths, but first... my story.How I got started with RI was introduced...

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Build RQuantLib on 32-bit Windows

December 7, 2010
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Before you start, note that there is now a Windows binary of RQuantLib is available on CRAN.Due to a change in how R-2.12.0 is built, CRAN maintainers could no longer provide a Windows binary of RQuantLib with the QuantLib library they had been using....

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Risk-Opportunity Analysis

November 12, 2010
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Risk-Opportunity Analysis

I will be attending Ralph Vince's risk-opportunity analysis workshop in Tampa this weekend.  Drop me a note if you're in the area and would like to meet for coffee / drinks.

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Algorithmic Trading with IBrokers

October 25, 2010
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Algorithmic Trading with IBrokers

Kyle Matoba is a Finance PhD student at the UCLA Anderson School of Management.  He gave a presentation on Algorithmic Trading with R and IBrokers at a recent meeting of the Los Angeles R User Group.  The discussion of IBrokers begins near th...

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Patrick Burns is blogging

August 28, 2010
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Patrick Burns is blogging

Patrick Burns is the author of several helpful R resources, including A Guide for the Unwilling S User, The R Inferno, and S Poetry. He also wrote one of my favorite critiques of Microsoft Excel: Spreadsheet Addiction. His writing is witty, entertain...

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Margin Constraints with LSPM

August 1, 2010
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Margin Constraints with LSPM

When optimizing leverage space portfolios, I frequently run into the issue of one or more f$ (/f) being less than the margin of its respective instrument.  For example, assume the required margin for an instrument is $500, f$ is $100, an...

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