Friday, April 20, 2018

R/Finance 2018 Registration

This year marks the 10th anniversary of the R/Finance Conference!  As in prior years, we expect more than 250 attendees from around the world. R users from industry, academia, and government will joining 50+ presenters covering all areas of finance with R.  The conference will take place on June 1st and 2nd, at UIC in Chicago.

You can find registration information on the conference website, or you can go directly to the Cvent registration page.

Note that registration fees will increase by 50% at the end of early registration on May 21, 2018.

We are very excited about keynote presentations by JJ AllaireLi Deng, and Norm Matloff.  The conference agenda (currently) includes 18 full presentations and 33 shorter "lightning talks".  As in previous years, several (optional) pre-conference seminars are offered on Friday morning.  We're still working on the agenda, but we have another great lineup of speakers this year!

There is also an (optional) conference dinner at Wyndham Grand Chicago Riverfront in the 39th Floor Penthouse Ballroom and Terrace.  Situated directly on the riverfront, it is a perfect venue to continue conversations while dining and drinking.

We would to thank our 2018 Sponsors for the continued support enabling us to host such an exciting conference:

  UIC Liautaud Master of Science in Finance
  Microsoft
  R Consortium
  RStudio
  William Blair
  Citadel
  Quasardb

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

Friday, April 13, 2018

Goodbye Google, Hello Tiingo!

First, the bad news:

Google Finance no longer provides data for historical prices or financial statements, so we say goodbye to getSymbols.google() and getFinancials.google(). (#221)  They are now defunct as of quantmod 0.4-13.

Now, the good news:

Thanks to Steve Bronder, getSymbols() can now import data from Tiingo! (#220)  This feature is part of quantmod 0.4-13, which is now on CRAN.  Windows and Mac binaries should be built in a day or two.

Tiingo is a web service that provides tools and data for financial analysis.  They provide daily price history for US stocks and ADRs, Chinese stocks, Mutual Funds, and ETFs.  There is up to 30+ years of history, including raw prices and split/dividend adjusted prices.

All this data is accessible for free, with reasonable symbol and bandwidth limits.  All you need to get started is a one-time registration for an API token.  You should see your API token just above the beginning of the metadata section, after logging in, of course.  Tiingo has a well-documented daily price data API that returns either JSON or CSV.

To get started, install the latest quantmod from CRAN.  Then you call:

  getSymbols("MSFT", src = "tiingo", api.key = "[your key]") 

Where you replace "[your key]" with the API key you receive after registration.  You can use setDefaults() to set your API key one time, and use it for all getSymbols.tiingo() calls.

  setDefaults("getSymbols.tiingo", api.key = "[your key]")

Other notable changes:
  • There is now a getQuote.alphavantage() that allows you to pull real-time quotes from Alpha Vantage.  Thanks to Ethan Smith! (#213, #223)
  • Speaking of Alpha Vantage, getSymbols.av() can now pull weekly and monthly adjusted prices. (#212)
  • The URL in getSymbols.oanda() and getFX() has been updated, so they work again. (#225)
  • getQuote.yahoo() no longer errors when a field has no data for all requested tickers. (#208)
  • saveChart() actually saves charts now (#154). Brilliant!


Monday, March 19, 2018

xts 0.10-2 on CRAN

This xts release contains mostly bugfixes, but there are a few noteworthy features. Some of these features were added in version 0.10-1, but I forgot to blog about it. Anyway, in no particular order:

  • endpoints() gained sub-second accuracy on Windows (#202)!
  • na.locf.xts() now honors 'x' and 'xout' arguments by dispatching to the next method (#215). Thanks to Morten Grum for the report.
  • na.locf.xts() and na.omit.xts() now support character xts objects. Thanks to Ken Williams and Samo Pahor for the reports (#42).

Many of the bug fixes were related to the new plot.xts() introduced in 0.10-0. And a handful of bugfixes were to make xts more consistent with zoo in some edge cases.

As always, I'm looking forward to your questions and feedback!  If you have a question, please ask on Stack Overflow and use the [r] and [xts] tags.  Or you can send an email to the R-SIG-Finance mailing list (you must subscribe to post).  Open an issue on GitHub if you find a bug or want to request a feature, but please read the contributing guide first!

Tuesday, January 9, 2018

R/Finance 2018: Call for Papers

R/Finance 2018: Applied Finance with R
June 1 and 2, 2018
University of Illinois at Chicago

Call For Papers

The tenth annual R/Finance conference for applied finance using R will be held June 1 and 2, 2018 in Chicago, IL, USA at the University of Illinois at Chicago. The 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 nine years, R/Finance has included attendees from around the world. It has featured presentations from prominent academics and practitioners, and we anticipate another exciting line-up for 2018.

We invite you to submit complete papers in pdf format for consideration. We will also consider one-page abstracts (in txt or pdf format) although more complete papers are preferred. We welcome submissions for both full talks and abbreviated lightning talks. Both academic and practitioner proposals related to R are encouraged.

All slides will be made publicly available at conference time. Presenters are strongly encouraged to provide working R code to accompany the slides. 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.

Please submit proposals online at http://go.uic.edu/rfinsubmit. Submissions will be reviewed and accepted on a rolling basis with a final submission deadline of February 2, 2018. Submitters will be notified via email by March 2, 2018 of acceptance, presentation length, and financial assistance (if requested).

Financial assistance for travel and accommodation may be available to presenters. Requests for financial assistance do not affect acceptance decisions. Requests should be made at the time of submission. Requests made after submission are much less likely to be fulfilled. Assistance will be granted at the discretion of the conference committee.

Additional details will be announced via the conference website as they become available. Information on previous years' presenters and their presentations are also at the conference website. We will make a separate announcement when registration opens.

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

Friday, January 5, 2018

RQuantLib 0.4.4 for Windows

I'm pleased to announce that the RQuantLib Windows binaries are now up to 0.4.4!  The RQuantLib pre-built Windows binaries have been frozen on CRAN since 0.4.2, but now you can get version 0.4.4 binaries on Dirk's ghrr drat repo.

Installation is as simple as:

drat::addRepo("ghrr") # maybe use 'install.packages("drat")' first 
install.packages("RQuantLib", type="binary")

I will be able to create Windows binaries for future RQuantLib versions too, now that I have a Windows QuantLib build (version 1.11) to link against.

Dirk and I plan to talk with CRAN about getting the new binaries hosted there.  Regardless, they will always be available via the drat repo.