Publications by Brian Lee Yung Rowe
R for Quants, Part I.A
I’m teaching an R workshop for the Baruch MFE program. This is the first installment of the workshop and focuses on some basics, although we assume you already know how to program. Contents PART I: PRELIMINARIES A. Basic Types B. Vectors and Matrices C. Functional Programming PART II: STATISTICS A. Distributions B. Optimization and Linear...
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R for Quants, Part I (B)
This is a continuation of the R workshop I’m teaching at the Baruch MFE program. This section discusses the programming model of R in a slightly biased way. The full contents are below. Contents PART I: PRELIMINARIES A. Vectors, Matrices, and Other Basic Types B. Functional Programming PART II: STATISTICS A. Distributions, Sampling, and Reg...
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R for Quants, Part II (A)
This is the second part in a three part series on teaching R to MFE students at CUNY Baruch. The focus of this lesson is on basic statistical methods in R. Contents PART I: PRELIMINARIES A. Vectors, Matrices, and Other Basic Types B. Functional Programming PART II: STATISTICS A. Distributions, Sampling, and Regression B. Optimization and Lin...
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R for Quants, Part III (A)
This is the third part in a three part series on teaching R to MFE students at CUNY Baruch. The focus of this lesson is on programming methods and application development in R. Contents PART I: PRELIMINARIES A. Vectors, Matrices, and Other Basic Types B. Functional Programming PART II: STATISTICS A. Distributions, Sampling, and Regression B....
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Quantitative finance and computational systems
I’m writing a book proposal based on the lecture notes for my R for Quants workshop I conducted at the Baruch MFE program. I’ve discovered that a book proposal is remarkably similar to a business plan: you need to identify your target audience, the size of that audience, what differentiates your from other books in the market, and why you’r...
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Preview of functional programming syntax for futile.paradigm 2.1
I’m developing a streamlined syntax for the next release of futile.paradigm. While this version is backwards compatible, it introduces a cleaner syntax for functional programming. The noteworthy improvements are a more natural pattern matching syntax, integrated (optional) type checking in functions, and a cleaner syntax for type constructors. ...
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Datacentric product development and the rebirth of engineering
An old irony in New York is the ubiquity of the ‘gourmet deli’. It is hard to find a deli that doesn’t proclaim to be gourmet. It is so commonplace that the word gourmet has lost all of its original meaning and perhaps taken on the opposite meaning. A similar phenomenon happened with the word engineer resulting in a dilution of its meaning....
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Functional programming with lambda.r
After a four month simmer on various back burners and package conflicts, I’m pleased to announce that the successor to futile.paradigm is officially available on CRAN. The new package is lambda.r (source on github), which hopefully conveys the purpose of the library better than its whimsical predecessor. In some ways this new version deserves ...
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Confident package releases in R with crant
I recently released the new lambda.r package on CRAN for functional programming. This was my first new package in quite some time, and I forgot how onerous package releases to CRAN can be. What I didn’t realize is that packages are tested against three distinct versions of R: R – The latest official point release (e.g. 2.15) R-patched – T...
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Infinite generators in R
This is first in a series of posts about creating simulations in R. As a foundational discussion, I first look at generators and how to create them in R. Note: If you are following along, all the examples rely on lambda.r, so be sure to have that installed (from CRAN) first. If you are not familiar with lambda.r, you can read the introduction. Pu...
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