By using this site, you agree to the Privacy Policy and Terms of Use.
Accept
SmartData Collective
  • Analytics
    AnalyticsShow More
    construction analytics
    5 Benefits of Analytics to Manage Commercial Construction
    5 Min Read
    benefits of data analytics for financial industry
    Fascinating Changes Data Analytics Brings to Finance
    7 Min Read
    analyzing big data for its quality and value
    Use this Strategic Approach to Maximize Your Data’s Value
    6 Min Read
    data-driven seo for product pages
    6 Tips for Using Data Analytics for Product Page SEO
    11 Min Read
    big data analytics in business
    5 Ways to Utilize Data Analytics to Grow Your Business
    6 Min Read
  • Big Data
  • BI
  • Exclusive
  • IT
  • Marketing
  • Software
Search
© 2008-23 SmartData Collective. All Rights Reserved.
Reading: R/Finance 2009 roundup
Share
Notification Show More
Latest News
cloud-centric companies using network relocation
Cloud-Centric Companies Discover Benefits & Pitfalls of Network Relocation
Cloud Computing
construction analytics
5 Benefits of Analytics to Manage Commercial Construction
Analytics
database compliance guide
Four Strategies For Effective Database Compliance
Data Management
Digital Security From Weaponized AI
Fortifying Enterprise Digital Security Against Hackers Weaponizing AI
Security
DevOps on cloud
Optimizing Cost with DevOps on the Cloud
Cloud Computing Development Exclusive IT
Aa
SmartData Collective
Aa
Search
  • About
  • Help
  • Privacy
Follow US
© 2008-23 SmartData Collective. All Rights Reserved.
SmartData Collective > Big Data > Data Mining > R/Finance 2009 roundup
Data MiningPredictive Analytics

R/Finance 2009 roundup

DavidMSmith
Last updated: 2009/04/27 at 11:06 PM
DavidMSmith
8 Min Read
SHARE
- Advertisement -

The first international conference dedicated to the use of R in the finance industry, R/Finance 2009, was a great success. With over 150 attendees (my poor estimation skills notwithstanding), sold-out tutorials, and an outstanding lineup of invited and contributing speakers from around the world, this event really demonstrated the importance of R in the world of financial analysis.

Some of the highlights of the event for me were:

- Advertisement -
Robert Grossman kicked off the event with style, declaring that “R is mainstream!”. Not only are unrelated companies promoting R, but R is now a major application of the fastest-growing meme of 2009: cloud computing. Robert has an excellent demonstration of using R and Hadoop on Amazon’s EC2 cloud computing service (although due to technical difficulties couldn’t show it live). 

Diethelm Wuertz gave an amazing talk about portfolio optimization in R with Rmetrics. If you haven’t taken a look at Rmetrics before, it is the premier open-source software for financial market analysis and financial instrument valuation, and includes over 32 R packages comprising hundreds of functions. I was truly blown away with the capabilities of Rmetrics for portfolio analy…

More Read

Image

Big Data Sets You Can Use with R

Visualizing Katrina’s Strongest Winds with R
Demand for R Jobs on the Rise, While SAS Jobs Decline
What is R? A New Video on the History, Community and Applications of R [VIDEO]
Reporting Back from Salesforce Integration and Analytics Meetup

The first international conference dedicated to the use of R in the finance industry, R/Finance 2009, was a great success. With over 150 attendees (my poor estimation skills notwithstanding), sold-out tutorials, and an outstanding lineup of invited and contributing speakers from around the world, this event really demonstrated the importance of R in the world of financial analysis.

Some of the highlights of the event for me were:

- Advertisement -
Robert Grossman kicked off the event with style, declaring that “R is mainstream!”. Not only are unrelated companies promoting R, but R is now a major application of the fastest-growing meme of 2009: cloud computing. Robert has an excellent demonstration of using R and Hadoop on Amazon’s EC2 cloud computing service (although due to technical difficulties couldn’t show it live). 

Diethelm Wuertz gave an amazing talk about portfolio optimization in R with Rmetrics. If you haven’t taken a look at Rmetrics before, it is the premier open-source software for financial market analysis and financial instrument valuation, and includes over 32 R packages comprising hundreds of functions. I was truly blown away with the capabilities of Rmetrics for portfolio analysis, and it seems to me that with the capabilities Wuertz described, R now represents the state of the art in portfolio optimization technology. (And given that he uses these tools to manage his own fund, they must be really good!)

Guy Yollin (Rotella Capital Mangement) also spoke about portfolio optimization, and in particular demonstrated the flexibility of R by modifying the standard solve.QP function to introduce custom constraints. This flexibility is what makes R so powerful for financial analysis, and Guy showed an example of optimizing a portfolio where all weights must either be zero, or greater than 3%. He also showed applications in Conditional Value at Risk (CVaR), and maximum drawdown optimization. 

My colleague Bryan Lewis (REvolution Computing) introduced the new foreach function from ParallelR 2.0, and turned more than a few heads by using it to dramatically speed up large-scale backtesting of a portfolio trading strategy. He also showed a very neat animation (generated using the spatstat package) 

David Kane and Patrick Burns gave complementary presentations on assessing portfolio performance. David gave a nice overview of the characteristics approach for finding matching portfolios for performance assessment, noting that while it is widely cited in the academic literature it’s little-used in practice. As an alternative, he suggests using the MatchIt package (as described in this vignette) to find matching portfolios, and showed how this method outperforms the characteristics method to match a recommended Starmine portfolio. 

- Advertisement -
In a similar vein (but in his own inimitable style), Patrick Burns focused on generating random portfolios: not just for portfolio assessment, but also for testing trading strategies, evaluating constraints and validating risk models. For assessment, Patrick demonstrated convincingly that random portfolios are superior to using a benchmark or peer groups. To me, an even more compelling application Patrick showed was using random portfolios for evaluating the effect of constraints on the portfolio. Although constraints are supposed to be “insurance against the portfolio doing anything stupid” you may be surprised at what you’re paying for this insurance: As Patrick showed using random portfolios, even simple constraints may be sacrificing positive returns without any elimination of lower-tail risks.

Brian Rowe (Merrill Lynch / Bank of America) drew on insights from the world of physics to filter noise in correlation matrices using Random Matrix Theory. His methods are implemented and available in the R package Tawny.

Roger Koenker suggested that quantile regression, currently an under-used technique in finance, has application in the modeling of “bubble-like” phenomena in finance. In addition to allowing parametric models for quantities like Value at Risk defined by quantiles, quantile regression also allows modeling of what he called “pessimistic portfolios”, where the probability of “good” events are downplayed while those of “bad” events are amplified. Also: betting on college basketball. The techniques he described are available in the R package quantreg.

Eric Zivot (University of Washington) offered the insights of a recent convert from S-PLUS advising a fund of funds using R for its quantitative analysis. As the author of a book on financial modeling with S-PLUS, it was interesting to hear him say that overall R now has more financial functionality than S-PLUS (while still lacking a few functions that S-PLUS has). It was also interesting to hear his experiences working with an IT department: their reluctance to support R or let it talk directly to the data warehouse (meaning that all data I/O was via Excel).

Wow, that’s a lot of highlights for a single conference! If you missed the event, I’ve heard that the presentations from these and the other excellent speakers will soon be available from the R/Finance 2009 website. Kudos and thanks go out to the organizing committee for putting together such an amazing event. I’m very proud that REvolution Computing was a sponsor of this groundbreaking conference, and I look forward to the next one. It’s already been confirmed that a second R/Finance conference will be held — watch this space for further details.

- Advertisement -
TAGGED: events, r
DavidMSmith April 27, 2009
Share this Article
Facebook Twitter Pinterest LinkedIn
Share
- Advertisement -

Follow us on Facebook

Latest News

cloud-centric companies using network relocation
Cloud-Centric Companies Discover Benefits & Pitfalls of Network Relocation
Cloud Computing
construction analytics
5 Benefits of Analytics to Manage Commercial Construction
Analytics
database compliance guide
Four Strategies For Effective Database Compliance
Data Management
Digital Security From Weaponized AI
Fortifying Enterprise Digital Security Against Hackers Weaponizing AI
Security

Stay Connected

1.2k Followers Like
33.7k Followers Follow
222 Followers Pin

You Might also Like

Image
Big DataSoftware

Big Data Sets You Can Use with R

9 Min Read

Visualizing Katrina’s Strongest Winds with R

1 Min Read

Demand for R Jobs on the Rise, While SAS Jobs Decline

1 Min Read

What is R? A New Video on the History, Community and Applications of R [VIDEO]

2 Min Read

SmartData Collective is one of the largest & trusted community covering technical content about Big Data, BI, Cloud, Analytics, Artificial Intelligence, IoT & more.

ai is improving the safety of cars
From Bolts to Bots: How AI Is Fortifying the Automotive Industry
Artificial Intelligence Chatbots Exclusive
data-driven web design
5 Great Tips for Using Data Analytics for Website UX
Analytics Big Data Chatbots Exclusive

Quick Link

  • About
  • Contact
  • Privacy
Follow US

© 2008-23 SmartData Collective. All Rights Reserved.

Removed from reading list

Undo
Go to mobile version
Welcome Back!

Sign in to your account

Lost your password?