Quantitative Finance
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Quantitative Finance
News, Slides and various discussions about quant finance
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Producing Google Map Embeds with R Package googleVis

Producing Google Map Embeds with R Package googleVis | Quantitative Finance | Scoop.it
(This article was first published on theBioBucket*, and kindly contributed to R-bloggers) (1) for producing html code for a Google Map with R-package googleVis do something like: library(googleVis)df <- data.frame(Address = c("Innsbruck",...
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Fitting distributions with R

Fitting distributions with R | Quantitative Finance | Scoop.it
(This article was first published on mages' blog, and kindly contributed to R-bloggers) Fitting distribution with R is something I have to do once in a while.A good starting point to learn more about distribution fitting with R is Vito...
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Cleaning time-series and other data streams

Cleaning time-series and other data streams | Quantitative Finance | Scoop.it
(This article was first published on ExploringDataBlog, and kindly contributed to R-bloggers) The need to analyze time-series or other forms of streaming data arises frequently in many different application areas.  Examples include...
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Time series cross-validation 2

Time series cross-validation 2 | Quantitative Finance | Scoop.it
(This article was first published on Modern Toolmaking, and kindly contributed to R-bloggers)

In my previous post, I shared a function for parallel time-series cross-validation, based on Rob Hyndman's code.
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Black-Litterman Model

Black-Litterman Model | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers) The Black-Litterman Model was created by Fisher Black and Robert Litterman in 1992 to resolve shortcomings of traditional Markovitz...
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How to Run R-Scripts Directly Out of Google Docs Without Use of Special Packages (RGoogleDocs, etc.)

How to Run R-Scripts Directly Out of Google Docs Without Use of Special Packages (RGoogleDocs, etc.) | Quantitative Finance | Scoop.it
(This article was first published on theBioBucket*, and kindly contributed to R-bloggers) ...There is not much to it:upload a txt file with your script, share it for anyone with the link, then simply run something like the below code.Read...
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RStudio: a cross-platform IDE for R

RStudio: a cross-platform IDE for R | Quantitative Finance | Scoop.it
(This article was first published on NumberTheory » R stuff, and kindly contributed to R-bloggers)

Which text editor do you use? Once in a while this question pops up on the R-help mailing list.
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Quantitative Finance and Risk Management: A Physicist's Approach

Quantitative Finance and Risk Management: A Physicist's Approach | Quantitative Finance | Scoop.it
Quantitative Finance and Risk Management: A Physicist's Approach book download (Quantitative Finance and Risk Management: A Physicist's Approach: Quantitative Finance and Risk Management: A Ph...)...
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Quantitative Finance and Computer Science: quick comparison between R and MATLAB

Quantitative Finance and Computer Science: quick comparison between R and MATLAB | Quantitative Finance | Scoop.it
Hi everybody, It’s a few weeks without a post and I apologize for that; I am at the moment looking for a job in Geneva, and it’s a bit time consuming as you would imagine.
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Introduction to quantstrat

Introduction to quantstrat | Quantitative Finance | Scoop.it
quantstrat provides a generic infrastructure to model and backtest signal-based quantitative strategies.  It is a high-level abstraction layer (built on xts, FinancialInstrument, blotter, etc.) that allows you to build and test strategies in very...
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Regard sur la finance quantitative en France

Regard sur la finance quantitative en France | Quantitative Finance | Scoop.it
Petit tour d'horizon de la finance quantitative en France sous le prisme du portail Next-Finance : Profil des acteurs, genèse de l'activité quant et perspectives du secteur.
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Toward a Bottom-Up Approach to Assessing Sovereign Default Risk ...

Toward a Bottom-Up Approach to Assessing Sovereign Default Risk ... | Quantitative Finance | Scoop.it
During the past three years, bank executives, government officials, and many others have been sharply criticized for failing to anticipate the global financial crisis. The speed and ...
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Webinar on Portfolio Rebalancing with R and Sybase

Webinar on Portfolio Rebalancing with R and Sybase | Quantitative Finance | Scoop.it
R users in the financial industry may be interested in the following webinar hosted by Revolution Analytics' partner Sybase on November 10: Portfolio Rebalancing Using R and Sybase RAP for Intraday Risk Management With volatility and violent...
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C++ is dead. Long live C++

C++ is dead. Long live C++ | Quantitative Finance | Scoop.it
(This article was first published on Quantitative thoughts » EN, and kindly contributed to R-bloggers)

During the summer I was contacted by a hedge fund from Bahamas.
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Mean Reversion and Momentum Both Unreliable in Asia

Mean Reversion and Momentum Both Unreliable in Asia | Quantitative Finance | Scoop.it
Amongst equity long-short funds, which constitute about half of the Asian hedge fund universe, the returns of hedge funds “were sometimes mean reverting but at other times displayed persistence in positive/negative momentum.” That is to say that...
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Compléments pour l’analyse de données avec Excel

Compléments pour l’analyse de données avec Excel | Quantitative Finance | Scoop.it
Si l’analyse de données avec tableur vous intéresse (voir également à ce sujet « La régression linéaire multiple (automatique) sur EXCEL »), je vous signale la présence au sein de la revue en ligne MODULAD (Le Monde des Utilisateurs de L’Analyse de...
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Revolution R Enterprise 5.0 now available for free academic download

Revolution R Enterprise 5.0 now available for free academic download | Quantitative Finance | Scoop.it
(This article was first published on Revolutions, and kindly contributed to R-bloggers) Revolution R Enterprise 5.0, which we announced last week, is now available for free download to students and faculty at academic institutions...
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New book on parallel R computation

New book on parallel R computation | Quantitative Finance | Scoop.it
(This article was first published on Simply Statistics, and kindly contributed to R-bloggers)

New O'Reilly book on parallel R computation: Looks like it covers snow, multicore, parallel (package), and some others.
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Resampling and Shrinkage : Solutions to Instability of mean-variance efficient portfolios

Resampling and Shrinkage : Solutions to Instability of mean-variance efficient portfolios | Quantitative Finance | Scoop.it
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)

Small changes in the input assumptions often lead to very different efficient portfolios constructed with mean-variance optimization.
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Code optimization, an Rcpp solution

Code optimization, an Rcpp solution | Quantitative Finance | Scoop.it
(This article was first published on Romain Francois, Professional R Enthusiast - Tag - R, and kindly contributed to R-bloggers) Tony Breyal woke up an old code optimization problem in this blog post, so I figured it was time for an...
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Download Paul Wilmott Introduces Quantitative Finance book

Download Paul Wilmott Introduces Quantitative Finance book | Quantitative Finance | Scoop.it
Paul Wilmott Introduces Quantitative Finance book download Paul Wilmott Download Paul Wilmott Introduces Quantitative Finance Paul Wilmott Introduces (Download Paul Wilmott Introduces Quantitative Finance book: Paul Wilmott Introduces Quantitative...
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R/Finance 2011 Presentations are online

R/Finance 2011 Presentations are online | Quantitative Finance | Scoop.it
For those of you who don't subscribe to the R-SIG-Finance mailing list:

You really should subscribe ;-)
Dirk Eddelbuettel announced the R/Finance 2011 presentations are now available.
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Tactical asset allocation using quantstrat

Tactical asset allocation using quantstrat | Quantitative Finance | Scoop.it
As promised in the introduction to quantstrat, here is an example strategy.  I thought I'd start with the obligatory tactial asset allocation (TAA) strategy.  This post will replicate the strategy in the post, tactical asset allocation using blotter.
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What is a Masters in Quantitative Finance and how it differs by a ...

What exactly is a quantitative finance? “It is basically on the mathematical aspects of finance. This is a study of mathematical theories that are used to price and structure of various sophisticated financial instruments held by ...
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Franck Moraux Finance de marché | Finance de marché

Franck Moraux Finance de marché | Finance de marché | Quantitative Finance | Scoop.it
Dans ce livre sur la finance de marché, Franck Moraux décrit la construction et la gestion d'un portefeuille d'options ou le calcul du risque en CVAR pour les actions.
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