[R-SIG-Finance] !SPAM: Re: R-Finance Tutorial

Brian G. Peterson brian at braverock.com
Thu Jul 1 15:24:05 CEST 2010

On 07/01/2010 07:59 AM, Ben Nachtrieb wrote:
> Yes, I am a programmer; however, R is set up quite a bit different. It seems
> like there are lots of redundancy in the community/resources. For example
> there seem to be 3 or 4 time series packages. Also, the responses I have
> received regarding my original question suggested 5 or 6 different packages
> and only 1 of those packages was mentioned more than once by the
> respondents. (Thank you!) From this perspective (finding and locating what
> to 'dive into'), I have found R very difficult. Also, R is very different
> from most languages I have used so that transition is quite challenging as
> well.

Those redundancies serve different needs.  So, in time series, a couple of 
packages are historical (e.g. ts, its), some are more general than just finance 
(e.g. zoo) and others are optimized for large financial time series (e.g. xts, 
and arguably timeSeries)

with timeSeries, it is used by default in all the RMetrics packages, so if you 
need to do something they do well (e.g. pricing algorithms, or some Garch 
methods) then you will use timeSeries.

xts, being optimized for financial time series applications, is probably the 
best 'default' for you to use, because it has conversion methods for all the 
other classes.

In the dedicated finance packages, similar 'specific purpose' answers will 
apply.  Many of the topics you mentioned are covered by multiple packages 
because different authors had different needs.  R is not a monolithic entity. 
Many different people write packages as needed to solve particular problems. 
You we not very specific in describing your particular problem, so you'll get 
answers from many different points of view.

> That said I am committed to becoming an expert in R and see its
> wonderful efficiencies once it is understood by the user.

Well, the MASS book was a good suggestion, and the task views:


(this could have been found by using rseek.org or Google on 'r-project task views')


    - Brian

> Date: Thu, 01 Jul 2010 05:08:10 -0400
> From: Sarbo<cmdr_rogue at hotmail.com>
> To: r-sig-finance at stat.math.ethz.ch
> Subject: Re: [R-SIG-Finance] R-Finance Tutorial
> Message-ID:<BLU0-SMTP60983592AF405DD1ABC6F5E2CD0 at phx.gbl>
> Content-Type: text/plain
> What Patrick wrote.
> Learning R is really best done simply by diving straight in. It's not a
> difficult language to learn, even if some of its quirks are really
> peculiar. One good book to start with would be "Modern Applied
> Statistics with R" by Venables and Ripley, which provides code, graphs,
> and suggestions on how to write good, robust R code.
> On Wed, 2010-06-30 at 08:56 -0600, Ben Nachtrieb wrote:
>> Hello,
>> Does anyone have any good R-Finance tutorials?
>> I can perform basic operations in R and I have a Master's degree in
>> finance/investments; however, I would like to ties these together with an
>> R-Finance tutorial. In other words, I need better understanding of the
>> best packages and built-in functions available to me and how to use them.
> I
>> don't want to reinvent the wheel so-to-speak.
>> Basically I do quant analysis on forex, futures, and equities. So it is
> the
>> usual time series, trade execution, portfolio, security ranking, back
>> testing, optimization, etc. related functions and packages I am interested
>> in. I will be using these programatically, so a good "front-end" or UI is
>> not necessary (and would not be used).
>> Does anyone have any good R-Finance tutorials?
>> What I do not need is a Tutorial on R or Finance separately.
>> I already have "Time Series Analysis - With Applications in R end
> Edition",
>> but that is it...at this point.
>> Thanks!

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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