Publications by Joshua Ulrich
Risk-Opportunity Analysis
I will be attending Ralph Vince’s risk-opportunity analysis workshop in Tampa this weekend. Drop me a note if you’re in the area and would like to meet for coffee / drinks. Related To leave a comment for the author, please follow the link and comment on their blog: FOSS Trading. R-bloggers.com offers daily e-mail updates abo...
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Build RQuantLib on 32-bit Windows
Before you start, note that there is now a Windows binary of RQuantLib is available on CRAN.Due to a change in how R-2.12.0 is built, CRAN maintainers could no longer provide a Windows binary of RQuantLib with the QuantLib library they had been using. I decided to try and build an updated QuantLib library from source, which would allow me (and...
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Why Use R?
I use R very frequently and take for granted much that it has to offer. I forget how R is different from similar tools, so I have trouble communicating the benefits of using R. The goal of this post is to highlight R’s main strengths, but first… my story.How I got started with RI was introduced to R while I was working as a...
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R/Finance 2011 Call for Papers
The 2011 R/Finance conference has an updated call for papers. Dirk Eddelbuettel announced it to the R-SIG-Finance mailing list. I’ve reproduced his email in its entirety below. Let me know if you plan on attending.Subject: R/Finance 2011: Call for Papers: Now with prizes and travel moneyDear R / Finance community,The preparati...
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Stack Exchange: Quantitative Finance in public beta
The Quantitative Finance Stack Exchange community entered public beta last week. To quote the FAQ: The Quantitative Finance Stack Exchange is intended specifically for professionals and traders working in investment banking, and academics involved in teaching and research. Topics include pricing of securities, derivat...
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Backtesting in Excel and R
This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R. The impetus for this series started with this tweet by Jared Woodard at Condor Options. After Soren Macbeth introduced us, Jared suggested backtesting a simple DVI strategy in Excel and R.The three-post series will sh...
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Moving from Excel to R
This first post of the Backtesting in Excel and R series will provide some resources to help smooth the transition from the familiarity and comfort of Excel to the potentially strange and intimidating world of R.I made my voyage from Excel to R more than 5 years ago and learned mostly by trial and error (and reading the R manuals). ...
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R/Finance 2011 Registration Open
The registration for R/Finance 2011–which will take place April 29 and 30 in Chicago–is NOW OPEN!Building on the success of the two previous conferences in 2009 and 2010, we are expecting more than 250 attendees from around the world representing both industry and academia to join a record 30+ presentations covering all areas of f...
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Risk-Opportunity Analysis: Houston
I will be attending Ralph Vince’s risk-opportunity analysis workshop in Houston this weekend. I’ll be in town Friday-Monday. Drop me a note if you’re in the area and would like to meet for coffee / drinks. Related To leave a comment for the author, please follow the link and comment on their blog: FOSS Trading. R-blogger...
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How to backtest a strategy in R
This is the third post in the Backtesting in Excel and R series and it will show how to backtest a simple strategy in R. It will follow the 4 steps Damian outlined in his post on how to backtest a simple strategy in Excel.Step 1: Get the dataThe getSymbols function in quantmod makes this step easy if you can use daily data from Yaho...
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