Category Archives: RFinance

Some belated spring cleaning

A very busy spring has transitioned into a very busy summer, so let me recap a few topics that probably deserve more time than I’ll give them here. Here are the things I’m overdue on, in no particular order:


In the March edition of the Journal of Risk, Kris Boudt, Brian Peterson and I published a paper titled Asset allocation with conditional value-at-risk budgets. You can also see a pre-publication version on SSRN. It was nice to see this finally hit paper – many thanks to my co-authors for all their work on an interesting topic.

Equal CVaR Concentration

Panel 3 of Figure 4 shows the weights through time and contribution of CVaR for a minimum CVaR concentration portfolio.

Dirk Eddelbuettel’s book is finally out. Congrats to him – that’s a nice accomplishment! I tried to steal the pre-print at the R/Finance conference, but Dirk made me buy my own copy.

R/Finance 2013

R/Finance 2013 went very well. This event has already been covered here and here – even with an article in the R Journal – but I thought I’d briefly mention a few highlights.

I thought the keynote speakers were fantastic. Every time I see Atillio Meucci speak, I learn something new about a topic I thought I already knew pretty well. This time, Atillio pulled out several animimated visualizations that were very thoughtfully designed – each presented a huge amount of information in a linked way that showed relationships between measures and how they changed dynamically through time. Each of the animations served to underscore the (sometimes simple) intuition behind the complex math. “A quant presentation without equations,” he said. Exceptionally well done – developing the intuition behind these concepts is a significant challenge, even in a room full of quants. No slides, but more on that later.

Revolution’s blog did more justice to Ryan Sheftel’s talk than I’m going to do here. Ryan did an excellent job describing the implementation issues within a large organization, providing a strong dose of reality that I think was appreciated by the audience of practitioners.

Sanjiv Das hit one out of the park as well. Flip through his slides when you have a chance – it was a nice demonstration of how he’s used R in very different projects related to finance. He’s a polymath. I particularly enjoyed his talk on network analysis usig SEC and FDIC filings to identify banks that pose systematic risk – a talk that echoed one given by Michael Gordy, a senior economist in the FRB, in 2012.

I have to plump for the hometown, as well. Ruey Tsay always has something interesting up his sleeve, and this presentation was no different. He warned that this is work in progress, but with Y. Hu he’s developing Principal Volatility Components as a way to identify common volatility components among financial assets. That struck me as work that is well worth tracking.

That was more than I had intended to write on the topic, but a few other presentations stood out to me as well: David Matteson’s talk on change points was accompanied by an excellent paper; Samantha Azzarello’s presentation on a Baysian interpretation of the Taylor Rule was as well; Thomas Harte gave another from-the-trenches viewpoint; David Ardia; Ronald Hochreiter; Alexios Ghalanos, and many others – there were a number of excellent sessions. We were also glad to have several returning speakers – Doug Martin, Kris Boudt, Bernhard Pfaff, Jiahan Li, Bryan Lewis. Lightning talks were also well received, particularly Winston Chang’s demonstration of Shiny. Jan Humme and Brian Peterson did a very nice overview of quantstrat in the pre-conference tutorials. All of the slides for the 2013 conference are here. Great stuff – take a look. Then pencil in the 2014 conference in May of next year…

Other R Conferences

Continuing on the topic of finance-related R conferences, congratulations go to Markus Gesman and Cass Business Scool for organizing the inagural R in Insurance conference this year. If you missed it, as I did, check out the presentations here and plan your travel accordingly for next year.

On the other side of the ledger, this was the last year that Diethelm Wuertz’s R-Metrics conference is to be held in Meielesalp. I didn’t make this one, but I’ve since heard that next year’s will be held in Paris.

Google Summer of Code 2013

GSOC 2013 has not only started, but is well underway. Of the nineteen R projects going on, six are finance-related. In no particular order:

All this activity is resulting in a tremendous amount of code covering a variety of topics and projects. Thanks to all who are participating – both mentors and students – and to Google for supporting open source! I’ll try to provide more detailed project wrap-ups at the end of the summer.


I’ve made some changes to blotter recently for handling account-level transactions, such as additions and withdrawals (rev. 1485). That should improve the package’s functionality for cash reconciliation. The functionality is pretty rudimentary, but it appears to work. Let me know if you see opportunities for improvement. Blotter is pretty close to CRAN-ready at this point, but requires a final push that is incongruous with good weather.

A very belated thanks to Brian Peterson for pushing out version 1.1 of PerformanceAnalytics to CRAN early this year. I’ve been intending to go over some of the significant changes in that version for months now, but we might have another version out before I get the posting done. Never mind.

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!