I pushed quantmod 0.4-4 to CRAN this weekend. It adds a getSymbols.yahooj function to pull stock data from Yahoo Finance Japan, and fixes issues in getOptionChain.yahoo and getSymbols.oanda. Changes to the Yahoo Finance and Oanda websites broke the getOptionChain.yahoo and getSymbols.oanda functions, respectively. I didn’t use getOptionChain.yahoo much, so I’m not certain I restored all the prior functionality. Let me know if there’s something I missed. I’d be glad to add a test case for that, or to add a test you’ve written.

The R Project has once again been selected as a mentoring organization for this year’s Google Summer of Code (GSoC). If you’re not familiar with GSoC, it’s a global program that offers students a stipend to write code for open source projects, under the direction of a mentor. Mentors get code written for their project, but no money. Students get something like a paid summer internship, with open-source contributions they can reference on their resume.

An updated version of quantmod has just been released on CRAN. This is my first submission as the new maintainer. The major change was removing the dependency on the now-archived Defaults package. End-users shouldn’t notice a difference, since I basically copied the necessary functionality from Defaults and added it to quantmod. There are also several bug fixes. A few worth noting are: getSplits adjustOHLC getSymbols (when adjust=TRUE) saveSymbols newTA findValleys

Call for Papers: R/Finance 2015: Applied Finance with R May 29 and 30, 2015 University of Illinois at Chicago The seventh annual R/Finance conference for applied finance using R will be held on May 29 and 30, 2015 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.

It’s been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I’m writing this over two days during my train to and from Chicago). The comments below are based on my personal experience. If I don’t comment on a seminar or presentation, it doesn’t mean I didn’t like it or it wasn’t good; it may have been over my head or I may have been distracted with my duties as a committee member.

This is a guest post by Ross Bennett. Ross is currently enrolled in the University of Washington Master of Science in Computational Finance & Risk Management program with an expected graduation date of December 2014. He worked on the PortfolioAnalytics package as part of the Google Summer of Code 2013 project and continues to work on the package as a Research Assistant at the University of Washington. His work on the package focused on implementing a portfolio specification to separate and modularize assets, constraints, and objectives.

As announced on the R-SIG-Finance mailing list, registration for R/Finance 2014 is now open! The conference will take place May 17 and 18 in Chicago. Building on the success of the previous conferences in 2009-2013, 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 keynote presentations given by Bob McDonald, Bill Cleveland, Alexios Ghalanos, and Luke Tierney.

The complaint I hear most frequently about quantstrat is that it’s slow, especially for large data. Some of this slow performance is due to quantstrat treating all strategies as path-dependent by default. Path dependence requires rules to be re-evaluated for each timestamp with a signal. More signals equates to longer run-times. If your strategy is not path-dependent, you can get a fairly substantial performance improvement by turning path-dependence off. If your strategy truly is path-dependent, keep reading…

We’re getting ready for this year’s R/Finance conference. Here’s the call for papers. I hope to see you there! R/Finance 2014: Applied Finance with R May 16 and 17, 2014 University of Illinois at Chicago The sixth annual R/Finance conference for applied finance using R will be held on May 16 and 17, 2014 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.

It’s been one week since the 5th Annual R/Finance conference, and I finally feel sufficiently recovered enough to share my thoughts. The conference is a two-day whirlwind of applied quantitative finance, fantastic networking, and general geekery. The comments below are based on my personal experience. If I don’t comment on a seminar or presentation, it doesn’t mean I didn’t like it or it wasn’t good; it may have been over my head or I may have been distracted with my duties as a committee member.