Friday, March 23, 2012

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:
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

Tuesday, March 20, 2012

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

Saturday, March 10, 2012

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.

Sunday, March 4, 2012

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.