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A similar article was posted at the sub-personal blog before and I paste it here in case someone is interested.At the moment there are 84 firms listed at both A (Shanghai and Shenzhen) and H (Hongkong) stock markets, according to the law of one price,... [Read more...]

I have tested several R optimization functions before: nlm, optim(Nelder-Mead), optim(BFGS), optim(SANN), nlminb, optim (L-BFGS-B) for a eight-parameter Vasicek interest rate model, overall I find that for my setting, nlminb is the best and all R func... [Read more...]

Dr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written m... [Read more...]

Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week's review is highly ... [Read more...]

Examining the determinants of credit default swap (CDS) spreads is a hot topic, CDS spread has displayed siginificant regime switching behaviour since the break of credit crisis, which can be seen from the old graph in the post Credit Default Spread a... [Read more...]

Got to know a very cool tool to use R in Excel named RExcel, basically it provides an integration solution such that users can get data, run command in Excel the same way as in R, which is presumably good and convenient to present results to your coll... [Read more...]

Some of you may hear that the new release of R 2.13.0 is out, with some Windows-specific changes to R 2.13.0:file.exists() and unlink() have more support for files __ 2GB;A few more file operations will now work with __2GB files.which could help us to relieve the worry of handling ... [Read more...]

Could any R expert here help me to vectorize my for loop? Thanks in advance for your favor. The reason I am in trouble is the variable inside my "for" function are updated after each loop, which makes me feel difficult to use lapply, sapply or whatever. Simplifed codes are ... [Read more...]

The Google Prediction API is a black-box system for building predictive models, it provides pattern-matching and machine learning capabilities. So Google algorithms automatically creates a model from the training models given a set of training data and makes prediction under this model given a set of explanatory variables, read http://... [Read more...]

Life is short, use PythonI started to play with Python two weeks ago due to the limitation of R in terms of handling large data, then a friend of mine suggested me to try Python since I had to do data massage frequently, "Python is the best choice, trust me", ... [Read more...]

Handling large dataset in R, especially CSV data, was briefly discussed before at Excellent free CSV splitter and Handling Large CSV Files in R. My file at that time was around 2GB with 30 million number of rows and 8 columns. Recently I started to collect and analyze US corporate bonds tick ... [Read more...]

Interactive Brokers via Matlab was mentioned at the old post Matlab trading code, IBrokers: R API to Interactive Brokers Trader Workstation is the R package I realize for algo trading API. Should you are also interested, you can watch the following sh... [Read more...]

All else equal, investors should require higher returns on assets whose liquidity is lower, in other words, investors demand a higher expected return, and hence larger liquidity premium, by holding a less liquidity asset. Risk & return co-exist.Is this really true for corporate bonds? I run a simple regression using ... [Read more...]

Using Kalman Filter for CIR interest rate model parameter estimation was introduced at my previously post Kalman Filter finance, soon after that I got a few comments saying the final results are unstable and highly depend on the initial values, that's... [Read more...]

Probably all of us have met the issue of handling missing data, from the basic portfolio correlation matrix estimation, to advanced multiple factor analysis, how to impute missing data remains a hot topic. Missing data are unavoidable, and more encompassing than the ubiquitous association of the term, irgoring missing data ... [Read more...]

Some of you may know this R reshape package already, I have started to play with it after the post Handling Large CSV Files in R. It is really an excellent one worthing a new post to introduce formally.What is reshape package? reshape: Flexibly reshape data, Reshape lets you ... [Read more...]

A follow-up of my previous post Excellent Free CSV Splitter. I asked a question at LinkedIn about how to handle large CSV files in R / Matlab. Specifically, Quotationsuppose I have a large CSV file with over 30 million number of rows, both Matlab / R lacks memory when importing the data. Could ... [Read more...]

I have been looking for this type of package for several days, and luckily found it today. Unquestionable R is powerful, however, R programming is unfriendly as far as I concern, mainly due to the lack of format shortcut, which makes the R codes rathe... [Read more...]

Imagine you finish a dirty coding project and want to present to your boss who is not in a good mood (may not be occasionally), how are you going to start? Show him your hundreads of lines code, point to the lines, explain what the arguments and outputs are? No, ... [Read more...]