Monday, August 29, 2016

quantmod 0.4-6 on CRAN

CRAN just accepted a bugfix release of quantmod.  The most pertinent changes were to fix getSymbols.oanda (#36) and (#92).  It also includes a fix to addTRIX (#72).

Oanda changed their URL format from http to https, and getSymbols.oanda did not follow the redirect.  Yahoo Finance changed the HTML for displaying options data, which broke  The fix downloads JSON instead of scraping HTML, so hopefully it will be less likely to break.  For more information, see the links to the GitHub issues above.

I added documentation for getPrice (#77), and removed the unused unsetSymbolLookup function and corresponding documentation (#115).

Friday, June 17, 2016

DataCamp course: Importing and managing financial data

The team at DataCamp announced a new R/Finance course series in a recent email:
Subject: Data Mining Tutorial, R/Finance course series, and more!

R/Finance - A new course series in the works
We are working on a whole new course series on applied finance using R. This new series will cover topics such as time series (David S. Matteson), portfolio analysis (Kris Boudt), the xts and zoo packages (Jeffrey Ryan), and much more. Start our first course Intro to Credit Risk Modeling in R today.
I'm excited to announce that I'm working on a course for this new series! It will provide an introduction to importing and managing financial data.

If you've ever done anything with financial or economic time series, you know the data come in various shapes, sizes, and periodicities. Getting the data into R can be stressful and time-consuming, especially when you need to merge data from several different sources into one data set. This course will cover importing data from local files as well as from internet sources.

The tentative course outline is below. I'd really appreciate your feedback on what should be included in this introductory course! So let me know if I've omitted something, or if you think any of the topics are too advanced.

Introduction to importing and managing financial data
  1. Introduction and downloading data
    1. getSymbols design overview, Quandl
    2. Finding and downloading data from internet sources
      1. E.g., getSymbols.FRED, Quandl
    3. Loading and transforming multiple instruments
    4. Checking for errors (i.e. summary stats, visualizing)
  2. Managing data from multiple sources
    1. Setting per-instrument sources and default arguments
      1. setSymbolLookupsaveSymbolLookuploadSymbolLookup, setDefaults
    2. Handling instruments names that clash or are not valid R object names
  3. Aligning data with different periodicities
    1. Making irregular data regular
    2. Aggregating to lowest frequency
    3. Combining monthly with daily
    4. Combining daily with intraday
  4. Storing and updating data
    1. Creating an initial RData-backed storage
    2. Adjusting financial time-series
    3. Handling errors during update process

Monday, April 11, 2016

Registration for R/Finance 2016 is open!

You can find registration information and agenda details 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 6, 2016.

The conference will take place on May 20 and 21, at UIC in Chicago.  Building on the success of the previous conferences in 2009-2015, 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.

We are very excited about the four keynote presentations given by Patrick Burns, Frank Diebold, Tarek Eldin, and Rishi Narang.  The conference agenda (currently) includes 17 full presentations and 33 shorter "lightning talks".  As in previous years, several (optional) pre-conference seminars are offered on Friday morning.

There is also an (optional) conference dinner at The Riverside Room and Gallery at Trump.  Situated directly on the hotel's new River Walk, it is a perfect venue to continue conversations while dining and drinking.

We would to thank our 2016 Sponsors for the continued support enabling us to host such an exciting conference:

  UIC Liautaud Master of Science in Finance

  MS-Computational Finance and Risk Management at University of Washington

  Charles Schwab
  Hull Investments
  Interactive Brokers

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