Sunday, May 29, 2011

R/Finance 2011 Presentations are online

For those of you who don't subscribe to the R-SIG-Finance mailing list:
  1. You really should subscribe ;-)
  2. Dirk Eddelbuettel announced the R/Finance 2011 presentations are now available.
I've included the entire announcement (with some hyperlinks) below.

The organizing committee for the R/Finance 2011 conference is pleased to announce the availability of presentation slides from the 3rd annual R/Finance conference.  This year's two-day conference once again attracted over 200 participants from across the globe. Academics, students and industry professionals enjoyed almost 30 talks covering trading, optimization, risk management and more --- all using R!

The majority of these presentations are now available for download at:

This year we began offering prizes for the best paper submissions.  The 2011 recipients are Robert Gramacy (University of Chicago) and David Matteson (Cornell University) who each won USD 1000.  Also new was a graduate student travel award: Mikko Niemenmaa (Aalto University) and Clément Dunand-Châtellet (École Polytechnique) each received USD 500.

With this, the organizing committee would like to thank our lead conference sponsors, the International Center for Futures and Derivatives at UIC and Revolution Analytics, as well as our conference sponsors OneMarketData, RStudio and lemnica for their continued support.

The organising committee would also like to thank all of the presenters and participants for making R/Finance 2011 so successful.  We look forward to seeing you in 2012, with the prospective dates of May 17 - 19 to be confirmed.

For the organizing committee,  

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

Sunday, May 1, 2011

Timely Portfolio: LSPM Examples

Timely Portfolio has been doing some interesting work with Ralph Vince's Leverage Space Model via the LSPM R package. Here's a short list of his most recent LSPM-related posts:
  1. The Leverage Space Trading Model
  2. Bond Market as a Casino Game Part 1
  3. Bond Market as a Casino Game Part 2
  4. Slightly Different Use of Ralph Vince’s Leverage Space Trading Model
  5. Another Use of LSPM in Tactical Portfolio Allocation
I encourage those of you who are interested in LSPM and/or R to check out his blog.  I personally love how much code he shares!