Articles by Quantitative Finance Collector

R Sapply Problem

June 16, 2010 | Quantitative Finance Collector

Any expert in R please educates me. I have got a problem about the sapply (or lapply), it made me headache for over two hours.As "for loop" is very slow in R, we should try best to avoid using it, and to use vectorization instead. sapply is designed for ... [Read more...]

R for Matlab Users

June 15, 2010 | Quantitative Finance Collector

My favorite software is Matlab, but partly because R is free, more and more people & companies choose to use R as a major working language. Nothing wrong with that, I am at the moment changing some of my Kalman Filter Matlab codes to R.One bothering issue is each software ... [Read more...]

Missing data imputation

December 12, 2009 | 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...]


November 23, 2009 | Quantitative Finance Collector

Quantlib is a free library for modeling, trading, and risk management in real-life providing a comprehensive software framework for quantitative finance, it is written in C++, which might be inconvenient for some users. JQuantLib aiming at Java-fans i... [Read more...]

Test cointegration with R

August 21, 2009 | Quantitative Finance Collector

Cointegrated pairs of securities are crucial for mean reversion trading portfolio construction, Play with cointegration has several good papers to start with. Should you want to test pairs of securities for cointegration using R, here is an excellent ... [Read more...]

Extra moments measure

December 16, 2008 | Quantitative Finance Collector

The following functions are intended to replicate calculations for taking higher moments of hedge fund returns into account in analyzing particular investments.  Most of the formulae are taken from various EDHEC research papers.# All returns... [Read more...]

Convert Splus to R

December 10, 2008 | Quantitative Finance Collector

Suppose you have got used to Splus and want to switch to R software (why bother to change? R is free while Splus is not, fair enough?), what can you do? since there are many functions in S-PLUS that are missing in R, one way is to understand the functions ... [Read more...]

Visualize Copulas

August 20, 2008 | Quantitative Finance Collector

In those Copula codes you can get a rough idea what copula is, how to estimate and simulate it, how to test its performance, etc., to help you visualize what on earth the copula should look like, below R code draws plots of some widely used [Read more...]

Process Simulation in R

August 12, 2008 | Quantitative Finance Collector

Simple demonstration codes for process simulation in R, including Brownian motion simulation, Poisson process simulatio, Euler scheme simulation for Geometric Brownian motion, the mean-reverting process, and the process with two 'attractors', etc.http... [Read more...]
1 2 3

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)