Monthly Archives: May 2013

R/Finance 2013 Is Coming Quickly…

There is about two weeks remaining until R/Finance 2013 – being held on May 17th and 18th at UIC in Chicago.  Make sure you register beforehand to ensure you have a spot, and – yes – you do want to come to the conference dinner on Friday.  RFinance2013

I am particularly excited about the lineup of keynotes this year, which includes:

  • Sanjiv Das – Santa Clara University; Author of Derivatives: Principles and Practice;
  • Attilio Meucci – Chief Risk Officer at Kepos Capital, LP; Author of Risk and Asset Allocation
  • Ryan Sheftel – Managing Director for Electronic Market Making at Credit Suisse; and
  • Ruey Tsay – University of Chicago; Author of An Introduction to Analysis of Financial Data with R

In addition, the agenda for the two day conference is quite interesting – I’m anticipating several pages of interesting things to try coming from this lineup.

And there are several optional pre-conference sessions this year, some of which are close to sold out – you’ll want to act quickly if you want a seat.  Those cover topics and packages such as quantstrat, data.table, Rcpp, distributed computing, and whatever Jeff Ryan has on his mind (which is always interesting).

Make sure to introduce yourself – I hope to see you there!


Writing from R to Excel with xlsx

Paul Teetor, who is doing yeoman’s duty as one of the organizers of the Chicago R User Group (CRUG), asked recently if I would do a short presentation about a “favorite package”.  I picked xlsx, one of the many packages that provides a bridge between spreadsheets and R.  Here are the slides from my presentation last night; the script is below.

I’ll be honest with you – I use more than one package for reading and writing spreadsheets. But this was a good opportunity for me to dig into some unique features of xlsx and I think the results are worth recommending.

A key feature for me is that xlsx uses the Apache POI API, so Excel isn’t needed.  Apache POI is a mature, separately developed API between Java and Excel 2007.  That project is focused on creating and maintaining Java APIs for manipulating file formats based on the Office Open XML standards (OOXML) and Microsoft’s OLE 2 Compound Document format (OLE2).  As xlsx uses the rJava package to link Java and R, the heavy lifting of parsing XML schemas is being done in Java rather than in R.
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