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43
votes
12answers
17k views

Switching from C++ to R - limitations/applications

I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are ...
36
votes
7answers
7k views

Is R being replaced by Python at quant desks?

I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...
22
votes
9answers
7k views

What tools exist for order book analysis and visualization?

What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for ...
21
votes
3answers
2k views

Tools in R for estimating time-varying copulas?

Are there libraries in R for estimating time-varying joint distributions via copulas? Hedibert Lopes has an excellent paper on the topic here. I know there is an existing packaged called copula but ...
17
votes
2answers
8k views

How to derive the implied probability distribution from B-S volatilities?

The general problem I have is visualization of the implied distribution of returns of a currency pair. I usually use QQplots for historical returns, so for example versus the normal distribution: ...
14
votes
2answers
1k views

Simulating Returns

I'll start this off with a rather broad question: I am trying to simulate returns of a large number of assets within a portfolio of different classes - equity and fixed income in a first step, say 100 ...
13
votes
3answers
7k views

R: How feasible is it to store — and work with — tick data in a database connected to R?

I'm looking to convert some tickdata .csv files into a database on a local disk and then use R to call the data and do my various analytics and modelling. What are some best practices / ...
12
votes
4answers
6k views

R: Fast and efficient way of running a multivariate regression across a (really) large panel (First pass of Fama MacBeth)

I am attempting to run a rolling multivariate regression (14 explanatory variables) across a panel of 5000 stocks: For each of the 5000 stocks, I run 284 regressions (by rolling over my sample ...
12
votes
1answer
608 views

Has any research used Bayesian networks to estimate risk factor betas?

Is there any published research on estimating the beta of a security with respect to one or more risk factors via Bayesian networks? I'd like to see if this is a promising angle of research.
11
votes
3answers
5k views

R code for Ornstein-Uhlenbeck process

Can any one help me with some R code to run Ornstein-Uhlenbeck process?
11
votes
2answers
2k views

robust portfolio optimization re-balancing with transaction costs

The optimal re-balancing strategy takes account of factors including i) objective function, ii) current portfolio weights, iii) expected return vector containing updated views/alpha forecasts, iv) ...
11
votes
3answers
459 views

Is there a website that lists replication code of financial papers?

There are lot of questions on this website related to the replication of the empirical part of financial papers. I noticed that some (honest) authors provide on their personal website some ...
11
votes
4answers
811 views

Thesis using Momentum strategies in R, tips on good books, guidelines etc on how to do the programming?

I am quite new to R and will be doing an empirical analysis of momentum strategies in R using a dataset from the index OSEAX from 1980 to 2014. The momentum strategy will for the most part resemble ...
11
votes
1answer
584 views

rugarch: Joint estimation leads to different results

I want to fit an ARMA-GARCH model to my data using rugarch package in R. First of all, I look at the acf and pacf: ...
11
votes
1answer
520 views

A non parametric study of VaR with kernel density

I'm working in order to compare the calculation of the VaR between the methodology of copulas and kernel density, all this by using the software r. The process that I follow is: Obtain a sample (...
10
votes
3answers
3k views

Hidden Markov Model & Its Application

I have started reading about HMM it gives an intuitive idea about what HMM is all about. I am looking out for example where its applied to Equity model using R / Excel. The material which I read so ...
10
votes
3answers
21k views

Calculating log returns using R

I am trying to calculate the log returns of a dataset in R using the usual log differencing method. However, the calculated data is simply a vector of zeroes. I can't see what I'm doing wrong. Here ...
10
votes
2answers
2k views

Is there a technique for using xts or zoo objects with options data (i.e., many entries per date) in R?

I am starting to work with options data from optionmetrics. I use data frames, but it seems like xts or zoo objects are the way to go for features and speed. I can't figure out the best work-around to ...
10
votes
1answer
976 views

How to compute modified-CVaR in the PerformanceAnalytics package?

My objective is to measure the modified-CVAR for a portfolio given its weights and matrix of security returns. Luckily the wonderful package PerformanceAnalytics has an ES() function that does just ...
10
votes
2answers
712 views

Are there any tools or useful algos for identifying corner portfolios?

Let's say I am performing mean-variance optimization subject to some weight constraints. I'd like to identify the set of corner portfolios so that I can interpolate the entire efficient frontier. A ...
10
votes
2answers
442 views

GBM 3d plot with R

I want to plot the density of the GBM in a 3d plot. So I have on one axis the stock price, on the other the time and on the z axis the density. At the end I want to produce this graph. The formula I ...
10
votes
1answer
595 views

Is creating constrained random portfolios a hard problem?

Creating random portfolios with weights $x_i$ can be thought of as sampling from the surface of a simplex given by $$Ex = f$$ and $$Ax \le b$$ Where $E$ and $A$ are constraint matrices for equality ...
9
votes
4answers
20k views

How to fit ARMA+GARCH Model In R?

I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ...
9
votes
1answer
965 views

Why does the following data fail my cointegration test?

I have some closing price data for two Australian banks which track each other very closely. http://dl.dropbox.com/u/12337149/stat/CBA.csv http://dl.dropbox.com/u/12337149/stat/WBC.csv Code from ...
9
votes
1answer
6k views

Forecasting using rugarch package

I want to do one step ahead in-sample forecasts. My data can be found here. This is just a data frame with the date as the rownames. I specify my model and do the fit and show the plots with ...
9
votes
2answers
938 views

How do I replicate John Hussman's recession forecasting methodology?

John Hussman has a recession forecasting methodology he often posts about on his blog, and I am trying to replicate it using publicly available data. I would like to assess his accuracy in predicting ...
9
votes
1answer
3k views

Popular R packages for Quantitative Finance

Which R packages (in this list or not) do you use in quant finance, why not an alternative, do you use it in production and if so, how? There is a list of most of the R packages related to Finance by ...
8
votes
2answers
5k views

Using variance ratios to test for mean reversion

Can you use the variance ratio test to determine whether or not a time series is mean reverting? I'm using the Lo.Mac function in the ...
8
votes
0answers
184 views

Imposing Restrictions on Cointegrating Vectors, R example

The code given below estimates a VEC model with 4 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor). ...
7
votes
2answers
464 views

R Backtesters: Quantstrat vs SIT

I am learning R, and want to start using a backtester. I have spent about a day reading all I can about R backtesters, and it seems there are 2 main contenders: quantstrat, which uses the packages ...
7
votes
1answer
18k views

How to interpret results of Johansen Test?

I have two time-series a & b. The objective is to find out whether two series are cointegrated or not. I am using Johansen Test in R to find this out. I am using urca package of R. Here is the ...
7
votes
2answers
2k views

How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?

I have a question about the function Return.portfolio/Return.rebalancing from the Performance Analytics package in R. I take ...
7
votes
1answer
1k views

Tools/R code for predicting Dragon-Kings

The theory of the so called Dragon-Kings, esp. by Didier Sornette (ETH Z├╝rich), basically states that financial crises and crashes are predictable (contrary to the theory of black swans). The ...
7
votes
1answer
2k views

Cointegrating relationships - Johansen in R

I read the posts, How to interpret results of Johansen Test? and How to interpret the eigenmatrix from a Johansen cointegration test? But still I am quite confused by the output. I have a project with ...
7
votes
0answers
179 views

Computing Value at Risk for portfolio in R

I know how to compute VaR with long positions using PerformanceAnalytics. What about a portfolio consisting in two equities A and B, 100 USD long positions in each, and 2 stock options for the same ...
7
votes
0answers
636 views

Alternative to Block Bootstrap for Multivariate Time Series

I currently use the following process for bootstrapping a multivariate time series in R: Determine block sizes - run the function b.star in the np package which produces a block size for each series ...
6
votes
2answers
2k views

Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY)

I feel like I'm missing something fundamental here, but I can't shake the feeling that these two series should be equivalent. /edit: there is also dailyReturn(Cl(SPY)). I've seen all 3 of these ...
6
votes
2answers
373 views

Hidden Markov Models methods for selecting optimal number of states

Package RHmm (R) I have a vector which I fit into a hmm model in an attempt to select an optimal number of states for a hidden markov model. ...
6
votes
1answer
431 views

Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function

Consider the RQuantLib package function FloatingRateBond(). This takes as inputs gearings ...
6
votes
1answer
192 views

Obtaining risk-neutral probability from option prices

Suppose I have the following data (for the current stock and option prices of the Bank of America) Strike Last IV Probability 4 8 5.43 0.5813566 0.0000000 7 11 2.45 0.2868052 ...
6
votes
3answers
1k views

Generate tick data from candlestick

Is there software (or Python / R / ... scripts) to generate (pseudo) tick data from candlestick data. I have candlestick data (CSV format) from monthly timeframe (MN) to minute timeframe (M1) but ...
6
votes
2answers
704 views

The option values are different from two r package - foptions,rquantlib

The results are very different.I know the code from quantlib and the result of quantlib seem right(close to market price). Is there anyone know why the value from fOptions is so large or fOptions used ...
6
votes
1answer
6k views

GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about prediction in the ...
6
votes
1answer
443 views

Calculate turnover for portfolio

I am trying to calculate the turnover for a portfolio strategy. First I generate some random data and assign it dates: ...
6
votes
2answers
419 views

Is it too important that my residuals be normal? I am Using an ARMA/GARCH model

I am trying to fit an ARMA/GARCH model to a time series. I found that the best candidate is an ARMA(1,0) + GARCH(1,1) with gaussian white noise It has coefficients with p-values near cero and the ...
5
votes
2answers
955 views

Change periodicity on Rblpapi

So Dirk Eddelbuettel, Whit Armstrong, and John Laing released Rblpapi to CRAN recently, and it is awesome. I'm having some difficulty understanding how the overrides work though, hopefully someone can ...
5
votes
2answers
835 views

Use Trades as Input for PerformanceAnalytics

I'd like to use the PerformanceAnalytics R package to view various metrics from a list of trades with profit values. From looking at the documentation from the PerformanceAnalytics package that most ...
5
votes
2answers
396 views

R package for portfolio

In the context of modern portfolio theory, one often wishes to minimise $\mathbf{w}^{\mathrm{{\scriptstyle T}}}\boldsymbol{\Sigma}\mathbf{w}$ subject to $\mathbf{w}^{T}\boldsymbol{\mu}=c_{1}$, $\left\...
5
votes
2answers
670 views

good R package for vectorized option pricing

I am using for now the package fOptions but it doesn't allow for vectorized computation of black76 prices and delta. Which package can be used to do that? As noted ...
5
votes
1answer
1k views

How do I backtest a convertible bond arbitrage strategy in R/Matlab?

Since no one was able to answer my previous question, I am going to try to backtest a modern convertible bond arbitrage strategy myself (perhaps I'll report the results back here, if you're lucky :)). ...