829 search results for "finance"

xts and GSOC 2012

November 23, 2012
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xts and GSOC 2012

Josh Ulrich and Jeff Ryan mentored a Google Summer of Code (GSOC) project this summer focused on experimental functionality for xts in collaboration with R. Michael Weylandt, a student in operations research and financial engineering from Princeton. You might recognize Michael from his presentation at R/Finance this year, where he gave a talk entitled “A

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Escaping the simplex, part 1

November 22, 2012
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Escaping the simplex, part 1

Before tackling the main subject, two quick notes:I did not post for quite a while in part because I followed the Coursera online course Introduction to Computational Finance and Financial Econometrics.  It was a nice refresher, extremely well pre...

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Extending Commodity time series

November 21, 2012
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Extending Commodity time series

I want to follow up with Extending Gold time series post by showing how we can extend Commodity time series. Most Commodity ETFs began trading in 2006, please see the List of Commodity ETFs page. I will use DBC – PowerShares DB Commodity Fund, one on the most liquid Commodity ETFs as my proxy for

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Functional programming with lambda.r

November 20, 2012
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Functional programming with lambda.r

After a four month simmer on various back burners and package conflicts, I’m pleased to announce that the successor to …Continue reading »

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The estimation of Value at Risk and Expected Shortfall

November 19, 2012
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The estimation of Value at Risk and Expected Shortfall

An introduction to estimating Value at Risk and Expected Shortfall, and some hints for doing it with R. Previously “The basics of Value at Risk and Expected Shortfall” provides an introduction to the subject. Starting ingredients Value at Risk (VaR) and Expected Shortfall (ES) are always about a portfolio. There are two basic ingredients that … Continue reading...

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Momentum in R: Part 3

November 18, 2012
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Momentum in R: Part 3

In the previous post, I demonstrated simple backtests for trading a number of assets ranked based on their 3, 6, 9, or 12 (i.e lookback periods) month simple returns. While it was not an exhaustive backtest, the results showed that when trading the top 8 ranked assets, the ranking based 3, 6, 9, and 12 … Continue reading...

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Datacentric product development and the rebirth of engineering

November 17, 2012
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Datacentric product development and the rebirth of engineering

An old irony in New York is the ubiquity of the ‘gourmet deli’. It is hard to find a deli …Continue reading »

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Using R — Callling C code with Rcpp

November 12, 2012
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This entry is part 12 of 12 in the series Using RIn two previous posts we described how R can call C code with .C() and the more complex yet more robust option of calling C code with .Call().  Here …   read more ...

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The guts of a statistical factor model

November 12, 2012
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The guts of a statistical factor model

Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of variance in finance The BurStFin R package The quality of variance matrix estimation The problem Someone asked me some questions about the statistical factor model in … Continue reading...

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Portfolio Trading

November 12, 2012
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Portfolio Trading

In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading →

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