Posts Tagged ‘ finance ’

Registration open for Rmetrics Workshop on Computational Finance

May 9, 2011
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The Rmetrics Association is once again holding its annual Workshop and Summer School on Computational Finance and Financial Engineering at Meielisalp (on Lake Thune in Switzerland) from June 26-30. Now in its fifth year, the workshop consists of Summer School-like tutorial sessions and a user/developer meeting: Both focus on topics from "Computational Finance and Financial Engineering" and on the...

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Can you do better than cap-weighted equity benchmarks?

April 28, 2011
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We're on our way to Chicago for the annual conference for R users in Finance, R/Finance 2011. Revolution Analytics is proud to once again sponsor this conference, and during the sponsor lunch session at noon on Saturday, we're honoured to have Guy Yollin show how the big-data capabilities of Revolution R Enterprise can be used for quantitative finance. Here...

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Milktrader: Quantitative finance in R

April 25, 2011
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The blog Milktrader has been on a roll recently with a series of posts with practical examples of quantitative in finance, from backtesting to automated trading, and option pricing to data acquisition. The latest post focuses on calculating returns, with an example of downloading data for a silver ETF and calculating daily returns with the dailyReturn function in the...

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Calculating DV01 using futile.paradigm

April 25, 2011
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Calculating DV01 using futile.paradigm

Here’s a short example of using the futile.paradigm for calculating the DV01 of a bond. The basic idea is to …Continue reading »

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RStudio 0.93 Beta Available

April 15, 2011
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RStudio  0.93 Beta Available

In case you miseed, 0.93 Beta of RStudio is released! A good set of fixes, including vignette() (sorry edit() not compatible yet). The panel layout is fully customizable, and there are a load of bug fixes. See the Release Notes for more info.

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Program announced for R/Finance 2011

April 1, 2011
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R/Finance, the conference devoted to users of R in the financial sector, takes place every year in Chicago. The program has just been announced for R/Finance 2011 (to be held April 29 and 30), and it's jam-packed with talks from on automated trading, financial risk, hedge ratios, stochastic volatility, and much, much, more. Here's the announcement from the organizers:...

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Violins of Volatility

March 29, 2011
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Violins of Volatility

A violin plot is a combination box plot and a kernel density plot: it starts with a box plot, and adds a rotated kernel density plot to each side of the box plot. You can create violin plots with the vioplot function (from the vioplot package) package in R. When looking at the volatility of financial instruments, the financial...

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Some upcoming R courses

March 18, 2011
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A couple of quick notes about some upcoming R courses: In Vancouver, Canada, R trainer Isabella Ghement is presenting two R courses: An Introduction to the Statistical Software Package R, 8:30am-4:30pm, March 30-31, 2011, Vancouver, B.C., Canada (http://www.ghement.ca/RworkshopMarch30and31_2011.html) Advanced Statistical Modeling Using the Statistical Software Package R, 8:30am-4:30pm, May 5-6, 2011, Vancouver, B.C., Canada (http://www.ghement.ca/RworkshopMay5and6_2011.html); And in Seattle, Washington...

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RStudio 0.92.44 Release: Try It! You’ll Be Surprised!

March 13, 2011
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RStudio 0.92.44 Release: Try It! You’ll Be Surprised!

I recently downloaded RStudio’s v0.92.44 release, and, I must say, it’s light! I think I could even run it on a netbook, which is great for analysis on-the-go. I’ll likely uninstall Eclipse-StatET at this point and go with RStudio. Not only is it...

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A quick look at #march11 / #saudi tweets

March 12, 2011
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A quick look at #march11 / #saudi tweets

Well, so much for that #march11 #Saudi day of rage.  Whether it was really the "tempest in a teacup" that  Prince Al-Waleed suggested on CNBC (video below, transcript here) or not, the oil complex and Saudi markets seem to have shrugged … Continue reading →

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