Friday, March 29, 2013

R/Finance 2013 Registration Open

The registration for R/Finance 2013 -- which will take place May 17 and 18 in Chicago -- is NOW OPEN!

Building on the success of the previous conferences in 2009, 2010, 2011 and 2012, 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 keynotes by Sanjiv Das, Attilio Meucci, Ryan Sheftel, and Ruey Tsay. The main agenda (currently) includes seventeen full presentations and fifteen shorter "lightning talks". We are also excited to offer five optional pre-conference seminars on Friday morning.

To celebrate the fifth year of the conference in style, the dinner will 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.

More details of the agenda are available at:

Registration information is available at:

and can also be directly accessed by going to:

We would to thank our 2013 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


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

Monday, March 18, 2013

TTR_0.22-0 on CRAN

An updated version of TTR is now on CRAN.  The biggest changes to be aware of are that all moving averages attempt to set colnames, CCI retuns an object with colnames, and the initial gap for SAR is not hard-coded at 0.01.  There are also some much-needed bug fixes - most notably to Yang Zhang volatility, MACD, SAR, EMA/EVWMA, and adjRatios.

There are some exciting new features, including a rolling single-factor model function (rollSFM, based on a prototype from James Toll), a runPercentRank function from Charlie Friedemann, stoch and WPR return 0.5 instead of NaN when there's insufficient price movement, and a faster aroon function.

Here are all of the updates (from the CHANGES file):

#-#-#-#-#-#-#-#-#-#    Changes in TTR version 0.22-0    #-#-#-#-#-#-#-#-#-#

  • CCI now returns an object with colnames ("cci").
  • All moving average functions now attempt to set colnames.
  • Added clarification on the displaced nature of DPO.
  • SAR now sets the initial gap based on the standard deviation of the high-low range instead of hard-coding it at 0.01.
  • Added rollSFM function that calculates alpha, beta, and R-squared for a single-factor model, thanks to James Toll for the prototype.
  • Added runPercentRank function, thanks to Charlie Friedemann.
  • Moved slowest portion of aroon to C.
  • DonchianChannel gains an 'include.lag=FALSE' argument, which includes the current period's data in the calculation. Setting it to TRUE replicates the original calculation. Thanks to Garrett See and John Bollinger.
  • The Stochastic Oscillator and Williams' %R now return 0.5 (instead of NaN) when a securities' price doesn't change over a sufficient period.
  • All moving average functions gain '...'.
  • Users can now change alpha in Yang Zhang volatility calculation.
  • Fixed MACD when maType is a list. Now mavg.slow=maType[[2]] and[[1]], as users expected based on the order of the nFast and nSlow arguments. Thanks to Phani Nukala and Jonathan Roy.
  • Fixed bug in lags function, thanks to Michael Weylandt.
  • Corrected error in Yang Zhang volatility calculation, thanks to several people for identifying this error.
  • Correction to SAR extreme point calculations, thanks to Vamsi Galigutta.
  • adjRatios now ensures all inputs are univariate, thanks to Garrett See.
  • EMA and EVWMA now ensure n < number of non-NA values, thanks to Roger Bos.
  • Fix to BBands docs, thanks to Evelyn Mitchell.