825 search results for "finance"

DataGotham

August 21, 2012
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As some of you may know already, I’m co-organizing an upcoming conference called DataGotham that’s taking place in September. To help spread the word about DataGotham, I’m cross-posting the most recent announcement below: We’d like to let you know about DataGotham: a celebration of New York City’s data community! http://datagotham.com This is an event run

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Another comparison of heuristic optimizers

August 20, 2012
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Another comparison of heuristic optimizers

A herd of heuristic algorithms is compared using a portfolio optimization. Previously “A comparison of some heuristic optimization methods” used two simple and tiny portfolio optimization problems to compare a number of optimization functions in the R language. This post expands upon that by using a portfolio optimization problem that is of a realistic size … Continue reading...

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plot.xts is wonderful

August 16, 2012
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plot.xts is wonderful

As mentioned in FOSS Trading post A New plot.xts yesterday “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 impressio...

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A New plot.xts

August 15, 2012
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A New plot.xts

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...

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Adaptive Asset Allocation

August 13, 2012
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Adaptive Asset Allocation

Today I want to highlight a whitepaper about Adaptive Asset Allocation by Butler, Philbrick and Gordillo and the discussion by David Varadi on the robustness of parameters of the Adaptive Asset Allocation algorithm. In this post I will follow the steps of the Adaptive Asset Allocation paper, and in the next post I will show

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In case you missed it: July 2012 Roundup

August 10, 2012
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In case you missed them, here are some articles from June of particular interest to R users. The Environmental Performance Index website uses R to rank countries by measures like environmental health and ecosystem vitality. A log-linear regression in R predicted the gold-winning Olympic 100m sprint time to be 9.68 seconds (it was actually 9.63 seconds). Some R-related talks...

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Multidimensional Scaling and Company Similarity

July 30, 2012
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Multidimensional Scaling and Company Similarity

Background and ideaOften we are looking at a particular sector, and want to get a quick overview of a group of companies relative to one another. I thought I might apply Multidimensional Scaling (MDS) to various financial ratios and see if it...

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Another R mention in the NYT

July 25, 2012
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The R language gets a brief mention in an article in yesterday's New York Times on automated bond trading: The traders here are mostly educated in math or physics, often outside the United States, and their desks are piled high with textbooks like the “R Graphs Cookbook,” for working with obscure computer programming languages. R an obscure programming language?...

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R Optimization Test

R Optimization Test

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...

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A comparison of some heuristic optimization methods

July 23, 2012
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A comparison of some heuristic optimization methods

A simple portfolio optimization problem is used to look at several R functions that use randomness in various ways to do optimization. Orientation Some optimization problems are really hard. In these cases sometimes the best approach is to use randomness to get an approximate answer. Once you decide to go down this route, you need … Continue reading...

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