[R-sig-finance] R vs. S-PLUS vs. SAS

[Hoon Kim]

Dear David

I appreciate sharing your experience using R in
finance.  I am also doing quant equity research and my
main tool is SAS.  I do not have much experience with
R at this stage and I am curious what is your opinion
on R vs. SAS.  My perception is SAS is much better in
handling large data sets, which is usually the case in
quant equity modeling.  Historical backtesting data
can be easily over several hundread megabites.  In my
opinion, other than the capability of handling large
data set in SAS, I think R is a more flexible
programming language.

Could you kindly share your thoughts with me on this
issue?  Do you have any problem in handling large data
sets in R?  How do you deal with large data set in R? 
Do you have recommendation on handling those large
data in R?

Thanks again for sharing your thoughts.

Best,

Hoon Kim


------------------------------

Message: 3
Date: Tue, 30 Nov 2004 11:06:01 -0500
From: David Kane <dave at kanecap.com>
Subject: Re: [R-sig-finance] R vs. S-PLUS
To: "My Newletters Etc." <MySubs at 3wplace.com>
Cc: r-sig-finance at stat.math.ethz.ch
Message-ID:
<16812.39529.463769.246947 at gargle.gargle.HOWL>
Content-Type: text/plain; charset=us-ascii

My Newletters Etc. writes:
 > I'm wondering if you might be willing to share some
specifics about
 > your use of R.  

Of course. I am a real R evangalist.

 > For example, what types of analysis have you done
 > with R?  

I work in quantitive global equity modeling. How much
is a share of
IBM worth? For me, the power in R is not so much that
the statistical
tools are fancier than what one find in SAS or Stata
or whatever ---
although this is often the case --- but that the
programming language
is richer and the production tools (especially
packages and test
cases) are so easy to use.

 > Have you used pre-defined "packages" or have you
"rolled
 > your own?"  

I use all sorts of R packages but, for the actual
financial analysis
parts, have had to role my own. It is on my to-do list
to more fully
explore things like Rmetrics. I am unaware of any
packages devoted to
the sort of stuff that I need to do regularly. As an
example, I am
today calculating growth rates of various sorts. Which
company has the
fastest growing sales? The answer to this question
depends on all
sorts of sticky points that reasonable people can
disagree about.

 > Do you have any pointers about how to most
effectively
 > approach learning R?  Hopefully these questions are
sufficient
 > to give you a feel for the direction of my inquiry.

The standard R documentation is a fine place to begin.
I would start
by reading An Introduction to R cover to cover (while
doing the
exercises) and then, depending on your level of
computer experience,
going on to Writing R Extensions.

I encourage you to use R, especially in academics. To
the extent that
you believe, as I do, that research should be public
and replication
easy (see:
http://gking.harvard.edu/replrepl/replrepl.html), R
provides the perfect tool.


-- 
David Kane
Kane Capital Management