I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. An with a matrix-based language (R for instance), it is extremely simple to compute almost everything. Even multiple assets options. Let us see how ... [Read more...]

I finally got around to publishing my time series cross-validation package to github, and I plan to push it out to CRAN  shortly. You can clone the repo using github for mac, for windows, or linux, and then run the following script to... [Read more...]

Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison between contagion (or at least default correlation), for corporate and retail companies (in the US). And it was mentioned... [Read more...]

For those looking for an in-depth workshop on financial engineering with R, look no further than the R/Rmetrics Workshop and Summer School held annually in beautiful Meielisalp, Switzerland. This is an intimate workshop limited to around 50 participants, and features tutorials from leading practitioners in finance with R. This year's ... [Read more...]

Many thanks to Jim Guszcza (Predictive Analytics lead at Deloitte Consulting and Assistant Professor at UW-Madison) who gave a great webinar presentation yesterday on actuarial analysis with R. Jim's demo (starting at the 20 minute mark in the video replay below) is a great way to get a sense of how ... [Read more...]

Registration is now open for R/Finance 2012 in Chicago, the conference devoted to applications of R in the financial sector. The program has also been announced, with topics including: modelling insurance claim reserves; risk management in power markets; peer performance of hedge funds; hedging event risk; operational risk measurement with ... [Read more...]

The slides and replay for Dr Sanjiv Das's webinar, Using R for Analyzing Loans, Portfolios and Risk: From Academic Theory to Financial Practice are now available. I've embedded the slides below: they tell a great story of how Das, after being mistaken for the then-CEO of Citibank (with whom he ... [Read more...]

In a free webinar tomorrow at 10AM Pacific, Professor of Finance Dr Sanjiv Das will present, "Using R for Analyzing Loans, Portfolios and Risk: From Academic Theory to Financial Practice". I saw a version of Dr Das's talk a couple of months ago at the Bay Area R User Group ... [Read more...]

The Winter 2012 edition of Sybase's Financial Services Viewpoint newsletter includes two articles related to R. The "Industry Insight" article "R is Hot" (written by yours truly) is a one-page summary of the R phenomenon: what it is, how it's used, and how it's revolutionizing data analysis. The "Industry Insight" article ... [Read more...]

One factor that is critical for any financial planning is estimating what future inflation will be. For example, if you’re saving money in an instrument that gains 3% per year, and inflation is estimated to be 4% per year, well then you’re losing m... [Read more...]

Someone emailed me recently and asked about how APT uses random matrix theory in their factor model. Another question I …Continue reading » [Read more...]

for some obscure reasons, simple things are usually supposed to be simple. Recently, on the internet, I saw a lot of posts on the "average time in which you hold a stock", and two rather different values are mentioned "Take any stock in the United ... [Read more...]

Via @theEconomist, I understood that there might be connections between the price of Gold (which is said to be extremely high nowadays) and the VIX SP500 index (the option volatility index, i.e. the so-called "fear index", as discussed - in French-... [Read more...]

Last year, the Statistics and Mathematics Department of the Vienna University School of Economics and Business presented a research seminar series on optimization, taught by R Core Group member Kurt Hornik (with Ronald Hochreiter and Stefan Theussl). Even if you couldn't make it to Austria to attend the course, the ... [Read more...]

A famous finance professor once told us that good diversification meant holding everything in the world. Fine, but in what proportion? Suppose you could invest in every country in the world. How much would you invest in each? In a market-capitalization weighted index, you'd invest in each country in proportion ... [Read more...]

For anybody using the R language to analyze financial data, the R/Finance conference is the conference of the year. If you have something to share about applied finance with R, the call for papers is now open. The details are below, and the deadline for submissions is January 31, 2012. R/... [Read more...]

“With the the increasing availability of complicated alternative investment strategies to both retail and institutional investors, and the broad availability of financial data, an engaging debate about performance analysis and evaluation is as import... [Read more...]

The University of Washington is holding a web-based course which will be of interest to anyone who wants to learn about financial modeling with R: Financial Data Modeling and Analysis in R (AMATH 542) is a comprehensive introduction to the R statistical programming language for computational finance offered by the University ... [Read more...]

I do reports for clients with LyX and Sweave. It took me an extremely long time to get them working, but now that they’re working I can do more in an hour and thus charge more per hour. If you’re not familiar, here’s a rundown: LaTeX is ... [Read more...]

R users in the financial industry may be interested in the following webinar hosted by Revolution Analytics' partner Sybase on November 10: Portfolio Rebalancing Using R and Sybase RAP for Intraday Risk Management With volatility and violent intraday swings becoming the new normal, intraday risk controls are now needed to not ... [Read more...]