The R-Files: Jeff Ryan

“The R-Files” is an occasional series from Revolution Analytics, where we profile prominent members of the R Community.

“The R-Files” is an occasional series from Revolution Analytics, where we profile prominent members of the R Community.

Name: Jeff Ryan Profession: Owner/Principal at Lemnica; Committee Member at R/Finance Nationality: American Years Using R: 8 Known for: R/Finance Conference, quantmod and xts packages

Jeffrey Ryan is a Chicago-based quantitative software analyst and avid R user. He is perhaps best known in the R community as one of the primary organizers of the annual R/Finance conference. By day, he’s Principal at Lemnica, a firm that specalizes in developing quantitative software systems for financial market trading. In addition to his efforts on the R/Finance organizing committee (of which Dirk Eddelbuettel, whom we profiled here earlier this year, is also a member), he has also developed a number of popular R packages for financial analysis — most notably quantmod and xts.

Ryan first started using R in 2002 as an undergraduate at the University of Illinois – Chicago, where he studied economics and finance. He described his frustration with cumbersome proprietary tools and recalls his search for a more extensible programming language with which to work. “At that point, I did most of my work in perl and Excel/VBA,” he says. “R was not particularly well known at that point, but I recognized the great potential it had for adding deeper statistical insights into my analyses.”

After receiving his Bachelor’s degree from UIC, Ryan went to work for a Chicago-based hedge fund as a floor trader on the options exchange. While he wasn’t actively using R in his work at that point, he continued to experiment in his free time by building trading tools and models in R.

From there, Ryan began using R more frequently and became an increasingly active participant on the R-SIG-Finance mailing list. He recalls being particularly impressed by the work of Diethelm Wuertz, whom he credits as one of his major influences from the R community. Over time, Ryan took the lead on developing an all-in-one R package for quantiative trading models: quantmod.

The quantmod package is designed to assist quantitative traders in developing, testing and deploying trading models and has been adopted by big and small traders around the world. Says Ryan of quantmod, “I come from a quantitative trading background. When I was in school, there was no single package for building and testing a trading model. I saw the chance to do something like that with R, which is where quantmod was born.”

“The package has evolved concurrently with R and is one of the more popular packages today – with the website serving as a gateway for new users to R and finance. I’m particularly honored to see the traction quantmod and other tools have gained amongst professional quants in the community, as well as how instrumental it has been in bringing new users into R.”

In addition to quantmod, Ryan has developed numerous R packages and has been a contributor to many more. Highlights include xts, or eXtensible Time Series which is used to manage large financial time-series, and IBrokers, which is geared towards real time trading. He is also working on a new collection of packages called “indexing”. According to Ryan, indexing is an abstraction of data.frames that allow fast queries on data that do not fit in memory.

When asked to comment on the significant role he’s played in developing R’s capabilities for quantitative finance, Ryan is quick to credit other members of the R community. In addition to Diethelm Wuertz and Dirk Eddelbuettel, Ryan specifically mentioned Josh Urlich (TTR, LSPM) and Brian Peterson and Peter Carl (PerformanceAnalytics) for the work they’ve done in developing finance-focused packages in R, as well as their key contributions to the success of the R/Finance conferences.

The 2011 R/Finance conference was held this past April 29-30, drawing more than 250 attendees from across the globe. The 2012 conference has already been confirmed for May 17-19 of next year – once again to be held in Ryan’s hometown of Chicago.