Tuesday, March 31, 2015

Registration Open for R/Finance 2015!

You can find registration information and agenda details (as they become available) on the conference website.  Or you can go directly to the registration page.  Note that there's an early-bird registration deadline of May 15.

The conference will take place on May 29 and 30, at UIC in Chicago.  Building on the success of the previous conferences in 2009-2014, we expect more than 250 attendees from around the world. R users from industry, academia, and government will joining 30+ presenters covering all areas of finance with R.

We are very excited about the four keynote presentations given by Emanuel Derman, Louis Marascio, Alexander McNeil, and Rishi Narang.  The main agenda (currently) includes 18 full presentations and 19 shorter "lightning talks".  As in previous years, several (optional) pre-conference seminars are offered on Friday morning.

There is also an (optional) conference dinner that will once-again be held at The Terrace at Trump Hotel. Overlooking the Chicago river and skyline, it is a perfect venue to continue conversations while dining and drinking.

We would to thank our 2015 sponsors for the continued support enabling us to host such an exciting conference:

International Center for Futures and Derivatives at UIC

Revolution Analytics
MS-Computational Finance at University of Washington

OneMarketData
Ketchum Trading
RStudio
SYMMYS

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

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

Tuesday, March 10, 2015

Import Japanese equity data into R with quantmod 0.4-4

I pushed quantmod 0.4-4 to CRAN this weekend.  It adds a getSymbols.yahooj function to pull stock data from Yahoo Finance Japan, and fixes issues in getOptionChain.yahoo and getSymbols.oanda.

Changes to the Yahoo Finance and Oanda websites broke the getOptionChain.yahoo and getSymbols.oanda functions, respectively.  I didn’t use getOptionChain.yahoo much, so I’m not certain I restored all the prior functionality.  Let me know if there’s something I missed. I’d be glad to add a test case for that, or to add a test you’ve written.

The getSymbols.yahooj function is a major enhancement provided by Wouter Thielen.  It allows quantmod users to pull stock data from Yahoo Finance Japan. 

Japanese ticker symbols usually start with a number and it is cumbersome to use variable names that start with a number in the R environment, so the string "YJ" will be prepended to each of the Symbols.  I recommend using setSymbolLookup to prepend the ticker symbols with “YJ” yourself, so you can just use the main getSymbols function.

For example, if you want to pull Sony data, you would run:
require(quantmod)
setSymbolLookup(YJ6758.T='yahooj')
getSymbols('YJ6758.T')

The full list of supported data sources for quantmod is now: Yahoo Finance-US, Yahoo Finance-Japan, Google Finance, csv, RData (including rds and rda), FRED, SQLite, MySQL, and Oanda. 

Contributions to add support for additional data sources are welcomed.  The existing getSymbols functions are good templates to start from.

Tuesday, March 3, 2015

Google Summer of Code 2015

The R Project has once again been selected as a mentoring organization for this year's Google Summer of Code (GSoC).  If you're not familiar with GSoC, it's a global program that offers students a stipend to write code for open source projects, under the direction of a mentor.  Mentors get code written for their project, but no money.  Students get something like a paid summer internship, with open-source contributions they can reference on their resume.

If you’re interested in participating as a student or a mentor, there's an overview of the GSoC program on The R Project GSoC 2015 Wiki.  The wiki also includes a timeline and links to prior year's projects.

Several mentors from various backgrounds have already proposed projects for students to work on this summer.  Mentors have until March 9th to submit projects they would be willing to support, and student applications begin on March 16th.