Articles

Long-Overdue Blogroll Update

I don’t think I’ve updated my blogroll for at least a year… shame on me. This update is mostly additions. I only removed Max Dama’s blog, and that was only because it no longer exists. I left Skill Analytics because it contains excellent information, even though Damian hasn’t posted in a long time. The additions are: Portfolio Probe The Physics of Finance Condor Options Milktrader Algorithm Zoo (by Milktrader) SEF-Blog: Signal Extraction and Forecasting

R in Google Summer of Code 2012

This post is a slightly revised (and “blogified”) version of the message Brian Peterson has sent to various R mailing lists. Once again, R has been accepted as a mentoring organization for the Google Summer of Code (2012). We invite students interested in this program to learn more about it. A good starting point is the R GSoC wiki. Students participating in the program receive US$5,000 for successful completion of a GSoC project, a great resume item, and an opportunity to work with R package authors.

R/Finance 2012 Registration Open

You can find more information on the R/Finance conference website. Hope to see you in Chicago in May! The registration for R/Finance 2012 – which will take place May 11 and 12 in Chicago – is NOW OPEN! Building on the success of the three previous conferences in 2009, 2010, and 2011, we expect more than 250 attendees from around the world. R users from industry, academia, and government will join 40+ presenters covering all areas of finance with R.

DEoptim in Parallel

Running DEoptim in parallel has been on the development team’s wishlist for awhile. It had not been a priority though, because none of us have personally needed it. An opportunity arose when Kris Boudt approached me about collaborating to add this functionality as part of a consultancy project for a financial services firm. We were able to add and test the functionality within a week. The latest revision of DEoptim on R-Forge has the capability to evaluate the objective function on multiple cores using foreach.

R/Finance 2012 Call for Papers

I’m excited to share the call for papers for the upcoming R/Finance conference. Even if you don’t submit a presentation, I hope to see you there! Call for Papers: R/Finance 2012: Applied Finance with R May 11 and 12, 2012 University of Illinois, Chicago, IL, USA The fourth annual R/Finance conference for applied finance using R will be held on May 11 and 12, 2012 in Chicago, IL, USA on the campus of the University of Illinois at Chicago.

Tactical asset allocation using quantstrat

As promised in the introduction to quantstrat, here is an example strategy. I thought I’d start with the obligatory tactical asset allocation (TAA) strategy. This post will replicate the strategy in the post, tactical asset allocation using blotter. The “faber” demo in the quanstrat package contains a TAA strategy but it uses a slightly different approach than the code we’re trying to replicate. There are two major differences: The blotter TAA code initiates a position at the first observation where the close is above the SMA.

Introduction to quantstrat

quantstrat provides a generic infrastructure to model and backtest signal-based quantitative strategies. It is a high-level abstraction layer (built on xts, FinancialInstrument, blotter, etc.) that allows you to build and test strategies in very few lines of code. quantstrat is still under heavy development but is being used every day on real portfolios. We encourage you to send contributions and test cases to the project forums. This post is a joint effort between me and Brian Peterson.

Creating Financial Instrument metadata in R

This is a guest post by Ilya Kipnis. He blogs at QuantStrat TradeR. When trading stocks in a single currency, instrument metadata can be safely ignored because the multiplier is 1 and the currencies are all the same. When doing analysis on fixed income products, options, futures, or other complex derivative instruments, the data defining the properties of these instruments becomes critical to tasks like accounting for value of trades, or comparing notional value between more than one instrument.

The R Journal, Volume 3/1

The most recent issue of The R Journal was recently published. If you’re not a regular reader, you should at least check out the following three contributed articles (listed in order of appearance). Rmetrics - timeDate Package Differential Evolution with DEoptim Analyzing an Electronic Limit Order Book

R/Finance 2011 Presentations are online

For those of you who don’t subscribe to the R-SIG-Finance mailing list: You really should subscribe ;-) 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.