January 8, 2009
R/Finance 2009: Applied Finance with RA call for papers was recently announced on R-Sig-Finance and R-Announce for the first R/Finance conference to be held in Chicago, Illinois.
This is the formal follow-up to the informal R/Finance/Chicago event we put on last year with the help of the Finance Department at the University of Illinois at Chicago (UIC) and the International Center for Futures and Derivatives at UIC.
A truly awesome list of speakers has already been confirmed for the two-day event to be held April 24 and 25, 2009 in Chicago, IL, USA. In addition to UIC being the primary sponsor, we are excited to announce that the event will be co-sponsored by the great people at REvolution Computing.
Confirmed speakers so far include:
- Patrick Burns (Burns Statistics)
- Robert Grossman (National Center for Data Mining, Open Data)
- David Kane (Kane Capital, and the portfolio and backtest packages on CRAN)
- Roger Koenker (University of Illinois at Urbana-Champaign, author of quantreg on CRAN)
- Bryan Lewis (REvolution Computing) Backtesting Trading Rules with ParallelR
- David Ruppert (Cornell and author of Statistics and Finance: An Introduction)
- Diethelm Wuertz (ETH Zurich, Rmetrics creator www.rmetrics.org)
- Eric Zivot (University of Washington - S+ FinMetrics developer, and author of Modeling Financial Time Series with S-PLUS ®)
In addition to the above the organizing committee includes myself, PerformanceAnalytics authors Peter Carl and Brian Peterson, Dirk Eddelbuettel, John Miller (UIC), Gib Bassett (UIC), Dale Rosenthal (UIC) and Linda Heinig (REvolution Computing).
More details, including an official announcement can be expected in the next few weeks. Until then, send your abstracts according to announcement if you are interested in presenting.
A copy of the official CFP announcement can be found here:
R/Finance 2009: Applied Finance with R
December 5, 2008
Computational Finance with R at Columbia UniversityExciting day of talks yesterday at Columbia. Thanks to Krishna Kumar, Jan Vecer, and the people at REvolution computing for putting this together.
Nearly 200 people gathered under the dome of Low on Columbia's campus to listen to 6 speakers (even me!) talk about R in quant finance.
A truly awesome effort by all involved.
Presentation slides on quantmod+xts can now be found at Columbia2008.
October 22, 2008
A success! The first R/Finance/Chicago meetup!We held the first official R/Finance/Chicago event right here in my backyard (figuratively) on Friday, October 3rd.
About 40 people from across Chicago-land, and as far away as St. Louis and Cleveland, made it to Jak's in Chicago's West Loop neighborhood to meet and talk about R in finance. R package contributors, quantitative finance practitioners, and those from academia made for a great evening of food, beer, and conversation.
Many thanks to Gib Basset, Dale Rosenthal, and John Miller at UIC for providing the space and food for this meetup. I am quite excited to see their excitement in using R and contributing to the community!
Given the success and interest in this event, we are planning on something much larger and more formal for the Spring of 2009. Something along the lines of a 2-3 day conference for practitioners and academics. Details will be forthcoming.
Presentation slides and photos can be found at RFinanceChicago.
June 9, 2008
Version 0.3-6 Major Changes- New cool screenshot of current chartSeries capabilities!
- addTA now dynamically creates custom chart indicators with raw data.
- newTA super-advanced dynamic code generator for TA additions
- getQuote now handles extended Yahoo quotes, as well as an interface to select custom quote presentations (yahooQF). Multiple symbols (max 200) per request.
- Even more TA functions from TTR
- New examples page on charting - everything you'd want to know, and a lot you don't
- getSymbols method for the new IBrokers API package on CRAN
- Updated chartTheme - nicer colors and more control
- periodReturn now included the first partial period return by default
- Delt and Lag now with new defaults and more flexible data acceptance
- chartSeries dynamic sub-setting via subset, custom tickmarks via major.ticks and minor.ticks
- Dynamic zooming via zoomChart and zooom - it's zoom-a-rific!
- More TA functions from TTR
- New TA chart tools addTA, swapTA, moveTA, and dropTA
- Wicked cool xts data handling tools and examples
- getFinancials and viewFinancials download and view financial data from Google
- Updated chartTheme - now including TA customization and monochromatic themes
- periodReturn updated to handle continuous and discrete return calculations on all time-series classes and smart formatting of results
- quantmod is now proud to call R-forge home!
December 27, 2007
New functions and examples for quantmod 0.3-0!- chartSeries rewrite - faster drawing, extended customization, better axis labeling
- Dynamic technical analysis charting - add analysis tools from package TTR instantly to any chart via addTA functions
- High frequency data support improvements - tick data on the way!
- New examples page on data - covers most
quantmodxts data functionality - to.period now uses Fortran code - up to 500x speed improvement
- New subsetting functionality - first,last take dates to subset by
- getQuote - quick quote from yahoo
- getSymbols - new auto.assign arg allows for traditional R assignments
- getSymbols.SQLite function for SQLite support
- getFX and getMetals functions
October 16, 2007 (view the charts here)
New version 0.2-5 New features, most prominent is basic price chart support- A fancy new charting gallery
- quantmod.com examples page - exploring data
- chartSeries - underlying function to create price and volume charts
- barChart, candleChart, matchChart, lineChart - user customizable
- getSymbols.oanda - Currencies and Metals data form Oanda.com
- getSymbols.rda - R binary data fetching
- getSymbols.csv - comma seperated value access
- setSymbolLookup - added support for custom parameterization by source
- quantmod/R news and update feed
- Documentation updates:
- still working on it...
August 31, 2007
New version 0.2-2 available. Many new features and functions:- getSymbols.google - retrieve historic data from finance.google.com
- getSymbols.FRED - St. Louis Fed data download. 11,000 series available
- New OHLC and aggregation functions: periodicity, apply.monthly, to.monthly...
- More documentation coming ... including
- Signal Generation in R: A brief introduction to quantmod
- Updated docs at quantmod.com (requires some link editing)
August 8, 2007
quantmod launch: useR! 2007 The official beta launch of quantmod.
August 6, 2007
www.quantmod.com launched! version 0-1.3 of source available.limited changes to actual functions - added buildData to manage data outside the quantmod workflow.