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.

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() returns 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.

If you haven’t signed up for the Introduction to Computational Finance and Financial Econometrics course taught by Eric Zivot on Coursera, it’s not too late. The second week just started and the first assignments aren’t due until September 18th. Join me in getting a good refresher on basic statistics, simulation and bootstrapping, linear algebra, and learning more about portfolio optimization, efficient portfolios, and risk budgeting.

The Google Summer of Code (2012) project to extend xts has produced a very promising new plot.xts function. Michael Weylandt, the project’s student, wrote R-SIG-Finance to request impressions, feedback, and bug reports. The function is housed in the xtsExtra package of the xts project on R-Forge. Please try xtsExtra::plot.xts and let us know what you think. A sample of the eye-candy produced by the code in Michael’s email is below. Granted, this isn’t a one-liner, but it’s certainly impressive!

You have a problem: R is single-threaded, but your code would be faster if it could simultaneously run on more than one core. You have access to a cluster and/or your computer has multiple cores. Parallel R, by Q. Ethan McCallum and Stephen Weston, can help you put this extra computing power to use. The book describes 6 approaches to distributed computing. Thoughts on each approach follow: snow The chapter starts by showing you how to create a socket cluster on a single machine (later sections discuss MPI clusters, and socket clusters of several machines).

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

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.

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.

I will be in the Reno, NV area from 3/10-3/18. Contact me if you would like to meet over coffee, lunch, drinks, etc.

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.