Publications by Quantitative Finance Collector
R API to Interactive Brokers Trader Workstation
Interactive Brokers via Matlab was mentioned at the old post Matlab trading code, IBrokers: R API to Interactive Brokers Trader Workstation is the R package I realize for algo trading API. Should you are also interested, you can watch the following short video about algo trading in R. You may watch from 15:00 directly.The IBrokers package can be ...
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Handling Large Datasets in R
Handling large dataset in R, especially CSV data, was briefly discussed before at Excellent free CSV splitter and Handling Large CSV Files in R. My file at that time was around 2GB with 30 million number of rows and 8 columns. Recently I started to collect and analyze US corporate bonds tick data from year 2002 to 2010, and the CSV file I got is ...
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Life Is Short, Use Python
Life is short, use PythonI started to play with Python two weeks ago due to the limitation of R in terms of handling large data, then a friend of mine suggested me to try Python since I had to do data massage frequently, “Python is the best choice, trust me”, he said. Although I was unwilling to learn another new software, I couldn’t bear w...
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Issues of R Client Library For The Google Prediction API
The Google Prediction API is a black-box system for building predictive models, it provides pattern-matching and machine learning capabilities. So Google algorithms automatically creates a model from the training models given a set of training data and makes prediction under this model given a set of explanatory variables, read http://code.google...
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How to Vectorize Nested Loop in R?
Could any R expert here help me to vectorize my for loop? Thanks in advance for your favor. The reason I am in trouble is the variable inside my “for” function are updated after each loop, which makes me feel difficult to use lapply, sapply or whatever. Simplifed codes are listed below:for (i in 1:N) { #N could be a large number, AdjS and Var...
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Download R 2.13.0 for Windows
Some of you may hear that the new release of R 2.13.0 is out, with some Windows-specific changes to R 2.13.0:file.exists() and unlink() have more support for files > 2GB;A few more file operations will now work with >2GB files.which could help us to relieve the worry of handling large datasets in R. An exciting post shows us how to speed up R cod...
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Using R in Excel
Got to know a very cool tool to use R in Excel named RExcel, basically it provides an integration solution such that users can get data, run command in Excel the same way as in R, which is presumably good and convenient to present results to your colleagues.Check yourself a demo video at http://rcom.univie.ac.at/RExcelDemo/The package can be down...
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Necessity to Explain CDS with A Regime Switching Model
Examining the determinants of credit default swap (CDS) spreads is a hot topic, CDS spread has displayed siginificant regime switching behaviour since the break of credit crisis, which can be seen from the old graph in the post Credit Default Spread and Historical VolatilityThere are sound reasons to believe that CDS spreads keep high in the peri...
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Week in Review 021211 R Language
Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week’s review is highly concentrated on R language.R-code for the algorithm of Ait-Sahalia: th...
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Interview: Patrick Burns Quantitative Finance in R
Dr. Patrick Burns is the founder of Burns Statistics, providing consulting and bespoke software specializing in quantitative finance, programming in the S language, and optimization via genetic algorithms and simulated annealing. Patrick has written many papers on quantitative finance and statistics, he is also the author of the book The R Infern...
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