Publications by Peter Carl
Conversion of Meucci’s MatLab Code
You might remember a second proposal I put forward for this summer’s Google Summer of Code (GSoC). This project was ambitious, looking to convert a subset of Attillio Meucci’s MatLab code to R. Thankfully, Brian Peterson took the lead mentor position for this particular project. Coincidently, the day before GSoC started we received a ver...
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FinancialInstrument Moves to CRAN
I thought I would break up the posts about GSOC (no, I’m not done yet – there are a few more to do) with a quick note about FinancialInstrument. The FinancialInstrument package provides a construct for defining and storing meta-data for tradable contracts (referred to as instruments, e.g., stocks, futures, options, etc.). The package can be u...
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xts and GSOC 2012
Josh Ulrich and Jeff Ryan mentored a Google Summer of Code (GSOC) project this summer focused on experimental functionality for xts in collaboration with R. Michael Weylandt, a student in operations research and financial engineering from Princeton. You might recognize Michael from his presentation at R/Finance this year, where he gave a talk en...
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R/Finance 2013 Call for Papers
It’s that time of year again – we’ve just posted our Call for Papers for the R/Finance 2013 conference, which focuses on applied finance using R. This is our fifth annual conference, again organized by a group of R package authors and community contributors and hosted by the International Center for Futures and Derivatives (ICFD) at the U...
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Visually Comparing Return Distributions
Here is a spot of code to create a series of small multiples for comparing return distributions. You may have spotted this in a presentation I posted about earlier, but I’ve been using it here and there and am finally satisfied that it is a generally useful view, so I functionalized it. require(PerformanceAnalytics) data(edhec) page.Distributi...
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The Paul Tol 21-color salute
You may or may not know that PerformanceAnalytics contains a number of specific color schemes designed for charting data in R (they aren’t documented well, but they show up in some of the chart examples). I’ve been collecting color palates for years in search of good combinations of attractiveness, relative weight, and distinctiveness, helped...
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GSOC 2013: IID Assumptions in Performance Measurement
Google Summer of Code for 2013 has been announced and organizations such as R are beginning to assemble ideas for student projects this summer. If you’re an interested student, there’s a list of project proposals on the R wiki. If you’re considering being a mentor, post a project idea on the site soon – project outlines end up being 1-2 p...
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GSoC 2013: At the starting line
Google Summer of Code will be open for students on Monday, April 22. The R Project has once again been selected as a mentoring organization , and a variety of mentors have proposed a number of projects for students to work on during this summer. Here’s a bit about the program, and more on the R-related projects that are lining up for studen...
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GSoC and R: Off to the Races
Google Summer of Code has now opened for student applications, and the R Project has once again been selected as a mentoring organization. I’ve discussed before that a variety of mentors have proposed a number of projects for students to work on during this summer, but I wanted to emphasize some points about the schedule. The deadline for ...
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Writing from R to Excel with xlsx
Paul Teetor, who is doing yeoman’s duty as one of the organizers of the Chicago R User Group (CRUG), asked recently if I would do a short presentation about a “favorite package”. I picked xlsx, one of the many packages that provides a bridge between spreadsheets and R. Here are the slides from my presentation last night; the script is b...
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