Back from Lima
We got back from Lima late last night (read: this morning at 2 AM). Highlights of the trip: Finding a better place to stay the next time we're in Lima. Getting the last of my residency paperwork...
View ArticleR Is (Not) the Next Big Thing
There's been some talk in the R community about a blog post by Dr. AnnMaria De Mars, entitled, "The Next Big Thing," in which the author writes: Contrary to what some people seem to think, R is...
View ArticleWhois Fun with Ruby
This Ruby snippet checks whether a huge list of words ending in -us are available for registration as .us domains, using this excellent whois library. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 #!/usr/bin/ruby...
View ArticleMy Typical R Script Workflow
Here's how I might write a script that I can have open in my editor and use in R at the same time: 1 2 3 4 5 6 chartMyStuff <- function() { z <- read.csv('SHW--WDFC.csv') z <- as.xts(z[,2],...
View ArticleUntitled
Carl Herold, a brushmaker, who was seventy-one years old, made doubly sure of death yesterday by shooting himself in the head and breast in the rear tenement at 12 Stanton Street while frantic with...
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Pairs Trading and R, part I
"Honestly, I don't understand the markets very well—to me it all seems like a very large tower of cards." Thus a friend confided to me last week. We were talking about mathematical (or algorithmic)...
View ArticleQuant Resources
Recently someone started a thread on quant.ly listing "resources for the budding quant". I decided to recreate the list here and also add a few book suggestions. Forums quant.ly NP Wilmott Blogs High...
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GARCH(1,1) Volatility
Been messing around with volatility estimation in R using a GARCH(1,1) model. After installing the "fGarch" package (from Rmetrics), I can run the following code: 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15...
View ArticleMy R Environment
I updated my R installation and libraries recently, and I decided to take a moment to explain how I configure R and install libraries to aid me in quant.fin exploration. But first, disclaimers: I am...
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