Any expert in R please educates me. I have got a problem about the sapply (or lapply), it made me headache for over two hours.As "for loop" is very slow in R, we should try best to avoid using it, and to use vectorization instead. sapply is designed for ... [Read more...]

My favorite software is Matlab, but partly because R is free, more and more people & companies choose to use R as a major working language. Nothing wrong with that, I am at the moment changing some of my Kalman Filter Matlab codes to R.One bothering issue is each software ... [Read more...]

I recently have done some empirical studies on zero-coupon bond modelling and pricing, and plan to create an interest rate R package in order to make it re-usable, as I find there are only two R package on it, one is http://cran.r-project.org/web/pack... [Read more...]

There are many reasons to create an R package, such as codes protection, convenient usage, etc. However, creating an R package in Unix is not hard, it IS in Windows, as R is designed in a Unix environment which includes a set of compilers, programming utilities, and text-formatting routines while ... [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...]

Quantlib is a free library for modeling, trading, and risk management in real-life providing a comprehensive software framework for quantitative finance, it is written in C++, which might be inconvenient for some users. JQuantLib aiming at Java-fans i... [Read more...]

Cointegrated pairs of securities are crucial for mean reversion trading portfolio construction, Play with cointegration has several good papers to start with. Should you want to test pairs of securities for cointegration using R, here is an excellent ... [Read more...]

Functional Gradient Descent (FGD) is a method of nonparametric time series analysis, useful in particular for estimating conditional mean, variances and covariances for very high-dimensional time series. FGD is a kind of hybrid of nonparametric statis... [Read more...]

Maximum likelihood estimation can be implemented like Quasi-maximum likelihood in Matlab, You can also write an R function which computes out the likelihood function. As always in R, this can be done in several different ways.One issue is that of rest... [Read more...]

The following functions are intended to replicate calculations for taking higher moments of hedge fund returns into account in analyzing particular investments.  Most of the formulae are taken from various EDHEC research papers.# All returns... [Read more...]

Functions include:1. efficient.portfolio      compute minimum variance portfolio subject to target return2. globalMin.portfolio      compute global minimum variance portfolio3. tangency.portf... [Read more...]

Suppose you have got used to Splus and want to switch to R software (why bother to change? R is free while Splus is not, fair enough?), what can you do? since there are many functions in S-PLUS that are missing in R, one way is to understand the functions ... [Read more...]

Classes (S4) of commonly used copulas including elliptical (normal and t), Archimedean (Clayton, Gumbel, Frank, and Ali-Mikhail-Haq), extreme value (Husler-Reiss and Galambos), and other families (Plackett and Farlie-Gumbel-Morgenstern). Methods for d... [Read more...]

Although S-plus is the most terrible language I have ever used in terms of debugging (I have to say that, no offense to S-plus fans, as my colleagues said, it is hard to understand it is still existed in 21 centuary), I found the S-plus scripts accomp... [Read more...]

I shared an Econometric tools for performance and risk analysis package in R, today I introduce another Quantitative Risk Management R package, which is accompanying the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J.... [Read more...]

Open Source Software for Financial Engineering and Computational FinanceRmetrics is the premier open source solution for teaching financial market analysis and valuation of financial instruments. With hundreds of functions build on modern methods Rmet... [Read more...]

QuotationLibrary of econometric functions for performance and risk analysis of financial portfolios. This library aims to aid practitioners and researchers in using the latest research in analysis of both normal and non-normal return streams.We create... [Read more...]

In the post Optimization packages dozens of optimization routines can be downloaded, here I am going to share a special optimization method: evolutionary algorithm. Evolutionary algorithms (EAs) are search methods that take their inspiration from natu... [Read more...]

In those Copula codes you can get a rough idea what copula is, how to estimate and simulate it, how to test its performance, etc., to help you visualize what on earth the copula should look like, below R code draws plots of some widely used copulas.ht... [Read more...]

Simple demonstration codes for process simulation in R, including Brownian motion simulation, Poisson process simulatio, Euler scheme simulation for Geometric Brownian motion, the mean-reverting process, and the process with two 'attractors', etc.http... [Read more...]