Publications by Joshua Ulrich
RQuantLib Windows binary on CRAN
Dirk Eddelbuettel has recently released RQuantLib-0.3.7, which contains the necessary QuantLib builds to allow the CRAN servers to build the Windows binary.This (thankfully) makes my post on how to build RQuantLib on 32-bit Windows unnecessary for casual users, but may be useful for those who want to develop RQuantLib on Windows. Related To lea...
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R/Finance 2011 Presentations are online
For those of you who don’t subscribe to the R-SIG-Finance mailing list: You really should subscribe 😉Dirk Eddelbuettel announced the R/Finance 2011 presentations are now available.I’ve included the entire announcement (with some hyperlinks) below.The organizing committee for the R/Finance 2011 conference is pleased to announce ...
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The R Journal, Volume 3/1
The most recent issue of The R Journal was recently published. If you’re not a regular reader, you should at least check out the following three contributed articles (listed in order of appearance).Rmetrics – timeDate PackageDifferential Evolution with DEoptimAnalyzing an Electronic Limit Order Book Related To leave a commen...
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Creating Financial Instrument metadata in R
(This is a guest post by Ilya Kipnis)When trading stocks in a single currency, instrument metadata can be safely ignored because the multiplier is 1 and the currencies are all the same. When doing analysis on fixed income products, options, futures, or other complex derivative instruments, the data defining the properties of these i...
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R/Finance 2012 Call for Papers
I’m excited to share the call for papers for the upcoming R/Finance conference. Even if you don’t submit a presentation, I hope to see you there!Call for Papers:R/Finance 2012: Applied Finance with RMay 11 and 12, 2012University of Illinois, Chicago, IL, USAThe fourth annual R/Finance conference for applied finance using R will ...
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DEoptim in Parallel
Running DEoptim in parallel has been on the development team’s wishlist for awhile. It had not been a priority though, because none of us have personally needed it. An opportunity arose when Kris Boudt approached me about collaborating to add this functionality as part of a consultancy project for a financial services firm.We we...
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R/Finance 2012 Registration Open
You can find more information on the R/Finance conference website. Hope to see you in Chicago in May!The registration for R/Finance 2012 — which will take place May 11 and 12 in Chicago — is NOW OPEN!Building on the success of the three previous conferences in 2009, 2010, and 2011, we expect more than 250 attendees from around t...
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R in Google Summer of Code 2012
This post is a slightly revised (and “blogified”) version of the message Brian Peterson has sent to various R mailing lists.Once again, R has been accepted as a mentoring organization for the Google Summer of Code (2012). We invite students interested in this program to learn more about it. A good starting point is the R GSoC ...
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Book Review: Parallel R
You have a problem: R is single-threaded, but your code would be faster if it could simultaneously run on more than one core. You have access to a cluster and/or your computer has multiple cores. Parallel R, by Q. Ethan McCallum and Stephen Weston, can help you put this extra computing power to use.The book describes 6 approaches to distribut...
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A New plot.xts
The Google Summer of Code (2012) project to extend xts has produced a very promising new plot.xts function. Michael Weylandt, the project’s student, wrote R-SIG-Finance to request impressions, feedback, and bug reports. The function is housed in the xtsExtra package of the xts project on R-Forge.Please try xtsExtra::plot.xts and let us know...
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