Publications by Peter Carl
A Heartfelt Thank You and the Resulting GSoC Project
PerformanceAnalytics has long enjoyed contributions from users who would like to see specific functionality included. Diethelm Wuertz at ETHZ, who is the author and sponsor of all the various R/Metrics packages is one of those contributors. I first met Diethelm when he hosted a conference on high-frequency data in the early 1990′s (where we fr...
2108 sym 16 img
GSoC Project #2 for 2012
In my prior post, I discussed the origins of the first GSoC project I posted this year. The second GSoC project I’ve proposed is around the writing and code of Attilio Meucci, an adjunct professor at Baruch College – CUNY and an excellent speaker (I saw him at the University of Chicago when he spoke with Bob Litterman, and again at UIC’s ...
2292 sym 16 img
Download and Parse NAREIT Data
This is the first post of a series that describes how to download and parse specific data sets into R. These kinds of scripts can be functionalized further, but I doubt that these will ever find their way into a formal package. They are intended to be helpful to those facing similar tasks, but as demonstration scripts they will not be supported...
4046 sym R (3762 sym/15 pcs) 18 img
Download and Parse DJ/UBS Commodities Indexes
Here is another data downloading and parsing script, this one for the Dow Jones/UBS Commodities Indexes. Compared to the last post, this parser deals with multiple sheets and multiple columns in each sheet. It also constructs monthly series from the daily data, and stores it using a different symbol. Finally, it’s a good example of how a scr...
1447 sym R (5774 sym/6 pcs) 16 img
Registration for R/Finance 2012 is Open
Registration has been open for a while, but I wanted to point out the pre-conference seminars. Registrations are strong this year, so if you’re interested you’ll need to sign up before they sell out. Register here… As you probably know by now, the fourth annual R/Finance conference for applied finance using R will be held this spring in C...
2797 sym 16 img
Slides for R/Finance 2012
Another succeessful* year of R/Finance is behind us. It was certainly more: a larger crowd, a longer session, more seminars, more presentations, more sponsors – perhaps even to the point where we’ve reaching a certain capacity. What began as an interesting idea among a few friends has more than credible momentum – it’s now more of a can...
2184 sym 18 img
Download and parse EDHEC hedge fund indexes
In our pre-conference workshop, Brian Peterson and I worked with the EDHEC hedge fund indexes as a way to demonstrate how to use PortfolioAnalytics within the context of long-term allocation problems. Although they are not investible, these indexes are probably more representative than most given that they are, in fact, meta-indexes. Other index...
1702 sym R (3101 sym/4 pcs) 22 img
Framing investing as a decision-making process
Brian Peterson and I had a chance to visit the University of Washington a couple of weeks ago at the behest of Doug Martin, where we gave a seminar covering various R packages we’ve written. Here are the slides we used. We also had quite a bit of time that we spent with Doug, Eric Zivot, Guy Yollin, David Carino, and others. We had some very g...
4866 sym 20 img
…Now With More Bacon (2008)!
I’m sure that Carl Bacon[1] sighs deeply when he reads such headlines, but it is clearly appropriate in this case. Perhaps you remember that I proposed a Google Summer of Code project for 2012 around a considerable code contribution to PerformanceAnalytics from Diethelm Wuertz at ETHZ. That code was focused on adding a large number of functio...
3278 sym 4 img
New Attribution Functions for PortfolioAnalytics
Another Google Summer of Code (GSoC) project this summer focused on creating functions for doing returns-based performance attribution. I’ve always been a little puzzled about why this functionality wasn’t covered already, but I think that most analysts do this kind of work in Excel. That, of course, has its own perils. But beyond the work...
4781 sym 4 img