Publications by R and Finance
Writing a R book and self-publishing it in Amazon
My experience and some advices about the process – Many people, including my university colleagues and friends, have asked me about the process of writing a book and self publishing it in Amazon. You can find the details about the book here and here. Given so much interest, I’m going to report the whole process in this po...
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Can we predict stock prices with Prophet?
– Facebook recently released a API package allowing access to its forecasting model called prophet. According to the underling post: It's not your traditional ARIMA-style time series model. It's closer in spirit to a Bayesian-influenced generalized additive model, a regression of smooth terms. The model is resistant to...
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New book and package pmfdR
Processing and modelling financial data with R – My Portuguese book about finance and R was published a couple of months ago and, given its positive feedback, I decided to work on the english version immediately. You can find details about my experience in self publishing the book in this post. The English book is not a si...
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My book (pafdR) is out!
– I’m pleased to announce that my book, Processing and Analyzing Financial Data with R, is finally ready! The book is a long term project that I always desired to do. It summarises everything that I wish I knew when I started to work with research. I plan on keep working on it as much as I can, adding packages, exercises...
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Studying CRAN package names
– Setting a name for a CRAN package is an intimate process. Out of an infinite range of possibilities, an idea comes for a package and you spend at least a couple of days writing up and testing your code before submitting to CRAN. Once you set the name of the package, you cannot change it. You choice index your effort and,...
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Looking forward to RFinance – Chicago
– I’m looking forward to attending R in Finance conference in Chicago, next friday (2017-05-09). The program looks great! I am really happy, and a bit surprised, to see so many presentations related to market microstructure in the conference. I will talk about my package GetHFData in the first session. This is a package...
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Update to GetHFData (Version 1.3)
– I just posted a major update to GetHFData. Version 1.3 of GetHFData makes it possible to download and aggregate order data from Bovespa. The data comprises buy and sell orders sent by market operators. Tabular data includes type of orders (buy or sell, new/update/cancel/..), date/time of submission, priority time, pric...
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Simple bash script for a fresh install of R and its dependencies in Linux
– I’ve been working with Linux for some time but always in a dual boot setup. While I used Linux-Mint at home, my university computer always had Windows. Most of the times it was not a problem working in one or the other and share files between computers with Dropbox. After getting constantly frustated with Windows upda...
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A simple function for installing R packages based on a folder with R scripts
– Whenever I buy a new computer or format an old one, I have the problem of reinstalling my R packages. If you are a heavy user, you will likely have a significant amount of packages used by your scripts. When you try to run a script in a fresh install of R, it will tell you that you don’t have the proper packages instal...
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My experience in switching from Windows 10 to Linux Mint 18.2
– It has been 8 months since I switched from Windows 10 to Linux Mint. In this post I’ll talk about my experience as a scholar and R user in this transition. My work is, simply put, to communicate ideas. A typical day of work is a mixture of writing research papers, creating classroom material such as slides and exercis...
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