[R-SIG-Finance] R-Finance Tutorial

[Jeff Ryan]

With respect to what Brian said earlier, one of the powerful aspects
of R is that there isn't 'one way' to do something.

Depending on your needs, solutions come in different packages.  The
downside to this is that it become a challenge to not learn the
language per se, but more the 'best practices'

To get the answer to that, or part of the answer at least, the best
resource has to be the archives of R-SIG-Finance.  Additionally the
papers/presentations from R/Rmetrics Meielisalp (going on this week in
Switzerland for the 4th year...) and those from the 2009 and 2010
conferences in Chicago www.RinFinance.com

If you are looking to not reinvent the wheel, take a look there for
inspiration.  Also I have quite a few slides/presentations that will
give a good overview of things from an infrastructure perspective,
albeit biased toward the packages I cover. (quantmod, xts, IBrokers,
...)

http://www.quantmod.com
http://www.quantmod.com/examples

http://www.quantmod.com/Columbia2008/
http://www.quantmod.com/Rmetrics2008/
http://www.quantmod.com/Rmetrics2009/
http://www.quantmod.com/Vienna2009/

For time series, do read the vignettes on zoo and xts, as they will
give you a taste of what both can do.  There is also a book about the
time-series classes from Rmetrics that is free (in addition to some
very nice ones that cost a little money).  The book isn't completely
unbiased of course, but more information is always better.

for xts specific manipulation tricks and tips, this is probably the
easiest starting point:

http://www.quantmod.com/examples/data/

Enjoy and welcome to the wonderful world of R in Finance!

Jeff

On Thu, Jul 1, 2010 at 8:24 AM, Ben Nachtrieb <ben.nachtrieb at gmail.com> wrote:
> Ulrich,
>
> Oh, yes, I have been there. Didn't know it was called the task view. Thanks!
> I will review that again.
>
> Ben
>
> On Thu, Jul 1, 2010 at 7:21 AM, Ulrich Staudinger <ustaudinger at gmail.com>wrote:
>
>> http://www.google.ch/search?q=R+taskview
>>
>>
>>
>>
>>   On Thu, Jul 1, 2010 at 3:03 PM, Ben Nachtrieb <ben.nachtrieb at gmail.com>wrote:
>>
>>>  Hello Patrick,
>>>
>>> No, what is the Finance taskview and how do I take a look at it?
>>>
>>> Thanks,
>>>
>>> Ben
>>>
>>>
>>> Date: Wed, 30 Jun 2010 16:58:58 +0100
>>> From: Patrick Burns <patrick at burns-stat.com>
>>> To: r-sig-finance at stat.math.ethz.ch
>>> Subject: Re: [R-SIG-Finance] R-Finance Tutorial
>>> Message-ID: <4C2B69C2.9080807 at burns-stat.com>
>>> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>>>
>>> Can we presume that you've looked at the
>>> Finance taskview?
>>>
>>> On 30/06/2010 15:56, 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!
>>> >
>>>
>>> --
>>> Patrick Burns
>>> patrick at burns-stat.com
>>> http://www.burns-stat.com
>>>    --
>>> Ben Nachtrieb
>>> M.S.F. Investments, University of Denver
>>> Beta Gamma Sigma member
>>>
>>>        [[alternative HTML version deleted]]
>>>
>>> _______________________________________________
>>> R-SIG-Finance at stat.math.ethz.ch mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>
>>
>>
>> --
>> Ulrich Staudinger
>> Klosterstr. 7
>> CH-6003 Luzern
>> Switzerland
>> ++41-79-7020595
>>
>
>
>
> --
> Ben Nachtrieb
> M.S.F. Investments, University of Denver
> Beta Gamma Sigma member
>
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>



-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com