Publications by Joshua Ulrich
Computational Finance with R on Coursera
If you haven’t signed up for the Introduction to Computational Finance and Financial Econometrics course taught by Eric Zivot on Coursera, it’s not too late. The second week just started and the first assignments aren’t due until September 18th.Join me in getting a good refresher on basic statistics, simulation and bootstrappi...
847 sym
R/Finance 2013 Registration Open
The registration for R/Finance 2013 — which will take place May 17 and 18 in Chicago — is NOW OPEN!Building on the success of the previous conferences in 2009, 2010, 2011 and 2012, we expect more than 250 attendees from around the world. R users from industry, academia, and government will joining 30+ presenters covering all areas...
1980 sym
R/Finance 2013 Review
It’s been one week since the 5th Annual R/Finance conference, and I finally feel sufficiently recovered enough to share my thoughts. The conference is a two-day whirlwind of applied quantitative finance, fantastic networking, and general geekery.The comments below are based on my personal experience. If I don’t comment on a sem...
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R/Finance 2014 Call for Papers
We’re getting ready for this year’s R/Finance conference. Here’s the call for papers. I hope to see you there!R/Finance 2014: Applied Finance with RMay 16 and 17, 2014University of Illinois at ChicagoThe sixth annual R/Finance conference for applied finance using R will be held on May 16 and 17, 2014 in Chicago, IL, USA at t...
2979 sym
quantstrat is slow
The complaint I hear most frequently about quantstrat is that it’s slow, especially for large data. Some of this slow performance is due to quantstrat treating all strategies as path-dependent by default. Path dependence requires rules to be re-evaluated for each timestamp with a signal. More signals equates to longer run-time...
3818 sym
R/Finance 2014 Registration Open
As announced on the R-SIG-Finance mailing list, registration for R/Finance 2014 is now open! The conference will take place May 17 and 18 in Chicago.Building on the success of the previous conferences in 2009-2013, we expect more than 250 attendees from around the world. R users from industry, academia, and government will joining 30+...
1987 sym
R/Finance 2014 Review
It’s been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I’m writing this over two days during my train to and from Chicago).The comments below are based on my personal experience. If I don’t comment on a seminar or presentation, it doesn’t mean ...
5100 sym
R/Finance 2015 Call for Papers
Call for Papers:R/Finance 2015: Applied Finance with RMay 29 and 30, 2015University of Illinois at ChicagoThe seventh annual R/Finance conference for applied finance using R will be held on May 29 and 30, 2015 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio manageme...
3065 sym
Updated quantmod on CRAN
An updated version of quantmod has just been released on CRAN. This is my first submission as the new maintainer. The major change was removing the dependency on the now-archived Defaults package. End-users shouldn’t notice a difference, since I basically copied the necessary functionality from Defaults and added it to quant...
872 sym
Google Summer of Code 2015
The R Project has once again been selected as a mentoring organization for this year’s Google Summer of Code (GSoC). If you’re not familiar with GSoC, it’s a global program that offers students a stipend to write code for open source projects, under the direction of a mentor. Mentors get code written for their project, but no mone...
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