Long-Overdue Blogroll Update

I don't think I've updated my blogroll for at least a year... shame on me.

This update is mostly additions.  I only removed Max Dama's blog, and that was only because it no longer exists.  I left Skill Analytics because it contains excellent information, even though Damian hasn't posted in a long time.

The additions are:
Portfolio Probe
The Physics of Finance
Condor Options
Milktrader
Algorithm Zoo (by Milktrader)
SEF-Blog: Signal Extraction and Forecasting
Systematic Investor

R in Google Summer of Code 2012

This post is a slightly revised (and "blogified") version of the message Brian Peterson has sent to various R mailing lists.

Once again, R has been accepted as a mentoring organization for the Google Summer of Code (2012).  We invite students interested in this program to learn more about it.  A good starting point is the R GSoC wiki.

Students participating in the program receive US$5,000 for successful completion of a GSoC project, a great resume item, and an opportunity to work with R package authors.

There are four finance-related projects currently on the project ideas list:

• Performance Attribution
  Add portfolio performance and attribution functionality from Bacon [1] to PerformanceAnalytics package.
• Advanced Risk and Portfolio Management
  Port MATLAB code published by Attilio Meucci [2,3,4] for risk and portfolio management to R.  (FYI: there is already a highly qualified student associated with this project idea).
• Extend RTAQ
  Extend the RTAQ package with additional data interoperability and volatility measures.  (FYI: there is already a highly qualified student associated with this project idea).
• PortfolioAnalytics Optimizer Back-ends
  Add additional closed form and global optimizer backends to PortfolioAnalytics.

and one that is not specifically finance related, but extends xts, which is the most prevalent time series class for finance in R:

• Extend xts
  Improve data and model visualization.  Extend xts objects to contain mixed types (like data.frames).  Add interoperability to existing analytical functions (e.g. ARIMA, Holt Winters, VAR).  (FYI: there is already a highly qualified student associated with this project idea).

The list of finance project ideas above is also by no means exhaustive of the proposed R projects.  There are additional non-finance R project ideas listed on the R GSoC wiki.  Interested students or mentors are encouraged to discuss other project ideas on the gsoc-r Google group.

Those interested in either student or mentor participation should join our Google group, as this is the main means of communication.  When you apply for group membership, please introduce yourself with one sentence, so we know you're not a spammer.

Interested students should start working on applications now.  The student application process opens on 26 March, and successful students in prior years have often posted draft applications to melange for comment as soon after the opening of the application process as possible.

Note that GSoC is about coding.  It is not intended to fund research; but many activities with R require code to advance our work, so the program can be very helpful to improving R.

For information, the admins this year are Toby Dylan Hocking and John Nash, with Brian Peterson and Virgilio Gomez as backups.

References:
[1] Carl Bacon “Practical Portfolio Performance Measurement and Attribution”, (London, John Wiley & Sons. September 2004) ISBN 978-0470856796. 2nd Edition May 2008 ISBN 978-0470059289

[2] Meucci, Attilio, Managing Diversification (April 1, 2010). Risk, pp. 74-79, May 2009; Bloomberg Education & Quantitative Research and Education Paper. Available at SSRN: http://ssrn.com/abstract=1358533

[3] Meucci, Attilio, Exercises in Advanced Risk and Portfolio Management - With Step-by-Step Solutions and Fully Documented Code (August 15, 2010). Available at SSRN: http://ssrn.com/abstract=1447443

[4] Meucci, Attilio, Risk and Asset Allocation. Springer Finance (2005) ISBN: 3540222138

R/Finance 2012 Registration Open

You can find more information on the R/Finance conference website.  Hope to see you in Chicago in May!


The registration for R/Finance 2012 -- which will take place May 11 and 12 in Chicago -- is NOW OPEN!

Building on the success of the three previous conferences in 2009, 2010, and 2011, we expect more than 250 attendees from around the world.  R users from industry, academia, and government will join 40+ presenters covering all areas of finance with R.

This year's conference will start earlier in the day on Friday, to accommodate the tremendous line up of speakers for 2012, as well as to provide more time between talks for networking.

We are very excited about the four keynotes by Paul Gilbert, Blair Hull, Rob McCulloch, and Simon Urbanek.  The main agenda includes nineteen full presentations and eighteen shorter "lightning talks".  We are also excited to offer six optional pre-conference seminars on Friday morning.

Once again, we are hosting the R/Finance conference dinner on Friday evening, where you can continue conversations while dining and drinking atop a West Loop restaurant overlooking the Chicago skyline.

More details of the agenda are available at:
http://www.RinFinance.com/agenda/

Registration information is available at
http://www.RinFinance.com/register/

and can also be directly accessed by going to
http://www.regonline.com/RFinance2012

On behalf of the committee and sponsors, we look forward to seeing you in Chicago!

Gib Bassett, Peter Carl, Dirk Eddelbuettel, Brian Peterson, Dale Rosenthal, Jeffrey Ryan, Joshua Ulrich


Our 2012 Sponsors:
International Center for Futures and Derivatives at UIC

Revolution Analytics
Sybase
MS-Computational Finance at University of Washington

Google
lemnica
OpenGamma
OneTick
RStudio
Tick Data

Reno 3/10-3/18

I will be in the Reno, NV area from 3/10-3/18.  Contact me if you would like to meet over coffee, lunch, drinks, etc.

DEoptim in Parallel

Running DEoptim in parallel has been on the development team's wishlist for awhile.  It had not been a priority though, because none of us have personally needed it.  An opportunity arose when Kris Boudt approached me about collaborating to add this functionality as part of a consultancy project for a financial services firm.

We were able to add and test the functionality within a week.  The latest revision of DEoptim on R-Forge has the capability to evaluate the objective function on multiple cores using foreach.  Very CPU-intensive problems will see speed increases in approximately linear time (less communication overhead).

I gave a short presentation (PDF) on the parallel functionality at the Saint Louis R User Group meetup in February.  A longer-running version of the code used in the presentation is on R-Forge, in the file DEoptim/sandbox/largeN_doSNOW.R (revision 86).

There are a few things to keep in mind when using the parallel functionality.  I quote from the meetup presentation:

• Data communication between nodes can overwhelm gains from processing on multiple CPUs
• Be careful with non-varying objects
• Exclude them from formal function arguments
• Copy them to nodes before optimization (clusterExport)
• If mu and sigma were formal function arguments, they would be copied to each node for all 2037 function evaluations!

Please try it and give us feedback.  R-Forge has been undergoing major updates, so please anonymously checkout the source and build it yourself if you're unable to download the pre-built source / binaries.

R/Finance 2012 Call for Papers

I'm excited to share the call for papers for the upcoming R/Finance conference.  Even if you don't submit a presentation, I hope to see you there!


Call for Papers:

R/Finance 2012: Applied Finance with R
May 11 and 12, 2012
University of Illinois, Chicago, IL, USA

The fourth annual R/Finance conference for applied finance using R will be held on May 11 and 12, 2012 in Chicago, IL, USA on the campus of the University of Illinois at Chicago. The two-day conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure, and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading.

Over the past three years, R/Finance has included attendees from around the world and featured keynote presentations from prominent academics and practitioners. We anticipate another exciting line-up for 2012 -- including keynote presentations from Blair Hull, Paul Gilbert, Rob McCulloch, and Simon Urbanek.

We invite you to submit complete papers or one-page abstracts (in txt or pdf format) for consideration. Academic and practitioner proposals related to R are encouraged. We welcome submissions for full talks, abbreviated "lightning talks", and for a limited number of (longer) pre-conference seminar sessions.

Presenters are strongly encouraged to provide working R code to accompany the presentation/paper. Data sets should also be made public for the purposes of reproducibility (though we realize this may be limited due to contracts with data vendors). Preference may be given to presenters who have released R packages.

Travel and accommodation grants may be available for selected presenters at the discretion of the committee. In addition, the conference will award prizes for best papers. To be eligible for a best paper award, a submission must be a full paper. Extended abstracts, even if a full paper by conference time, are not eligible for a best paper award.

Please send submissions to: committee at RinFinance.com.

The submission deadline is January 31, 2012. Submitters will be notified of acceptance via email by February 28, 2012. Notification of whether a presentation will be a long presentation or a lightning talk will also be made at that time.

Additional details will be announced at this website as they become available. Information on previous year's presenters and their presentations are also at the conference website R/Finance 2009, 2010, and 2011.

For the program committee:
    Gib Bassett, Peter Carl, Dirk Eddelbuettel, Brian Peterson,
    Dale Rosenthal, Jeffrey Ryan, Joshua Ulrich

Denver 10/1-10/5

I will be traveling to Denver from 10/1-10/5.  Drop me a line if you're in the area and would like to meet for coffee / drinks.