Articles by Quantitative Finance Collector

R Optimization Test

July 23, 2012 | Quantitative Finance Collector

I have tested several R optimization functions before: nlm, optim(Nelder-Mead), optim(BFGS), optim(SANN), nlminb, optim (L-BFGS-B) for a eight-parameter Vasicek interest rate model, overall I find that for my setting, nlminb is the best and all R func... [Read more...]

Using R in Excel

June 1, 2011 | Quantitative Finance Collector

Got to know a very cool tool to use R in Excel named RExcel, basically it provides an integration solution such that users can get data, run command in Excel the same way as in R, which is presumably good and convenient to present results to your coll... [Read more...]

Download R 2.13.0 for Windows

April 15, 2011 | Quantitative Finance Collector

Some of you may hear that the new release of R 2.13.0 is out, with some Windows-specific changes to R 2.13.0:file.exists() and unlink() have more support for files __ 2GB;A few more file operations will now work with __2GB files.which could help us to relieve the worry of handling ... [Read more...]

Life Is Short, Use Python

November 24, 2010 | Quantitative Finance Collector

Life is short, use PythonI started to play with Python two weeks ago due to the limitation of R in terms of handling large data, then a friend of mine suggested me to try Python since I had to do data massage frequently, "Python is the best choice, trust me", ... [Read more...]

Handling Large Datasets in R

October 26, 2010 | Quantitative Finance Collector

Handling large dataset in R, especially CSV data, was briefly discussed before at Excellent free CSV splitter and Handling Large CSV Files in R. My file at that time was around 2GB with 30 million number of rows and 8 columns. Recently I started to collect and analyze US corporate bonds tick ... [Read more...]

Missing Data in R

September 12, 2010 | Quantitative Finance Collector

Probably all of us have met the issue of handling missing data, from the basic portfolio correlation matrix estimation, to advanced multiple factor analysis, how to impute missing data remains a hot topic. Missing data are unavoidable, and more encompassing than the ubiquitous association of the term, irgoring missing data ... [Read more...]

R Reshape Package

September 6, 2010 | Quantitative Finance Collector

Some of you may know this R reshape package already, I have started to play with it after the post Handling Large CSV Files in R. It is really an excellent one worthing a new post to introduce formally.What is reshape package? reshape: Flexibly reshape data, Reshape lets you ... [Read more...]

Handling Large CSV Files in R

August 9, 2010 | Quantitative Finance Collector

A follow-up of my previous post Excellent Free CSV Splitter. I asked a question at LinkedIn about how to handle large CSV files in R / Matlab. Specifically, Quotationsuppose I have a large CSV file with over 30 million number of rows, both Matlab / R lacks memory when importing the data. Could ... [Read more...]
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