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| bio | website | dirk.eddelbuettel.com |
|---|---|---|
| location | Chicago, IL | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | 9 hours ago | |
| stats | profile views | 603 |
- See my blog for some updates on what I've been up to.
- Sometimes I tweet using the @eddelbuettel tag.
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May 10 |
answered | knowing the order of GARCH model |
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Mar 2 |
reviewed | Approve suggested edit on How to annualize Sharpe Ratio? |
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Feb 27 |
comment |
Why C is still in use especially in area of numerical optimization (instead of C++)? Feel free to close it. There is no value-added; same question has been asked a bazillion times already... |
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Feb 27 |
comment |
Why C is still in use especially in area of numerical optimization (instead of C++)? I think I disagree with this assertion. C++ projects like Boost, Eigen, Armadillo, half a dozen ML libraries, ... all do very well with C++ interfaces. And if you must, you can always use a C interface for glue (as eg offered by R and used by Rcpp). |
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Jan 31 |
awarded | Yearling |
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Dec 6 |
awarded | Favorite Question |
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Dec 1 |
comment |
Is there a piratebay for data(bases)? (here, talking about historical financial data) +1 for mentioning both billion dollar business and some free (but generally delayed access) accessor functions. I have been standing the corresponding Perl / CPAN package Finance::YahooQuote for longer than I care to admit too :) |
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Oct 22 |
awarded | Notable Question |
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Oct 14 |
comment |
Analyzing tick data +1, but typo in Tim Bollerslev's name. |
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Sep 21 |
awarded | Custodian |
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May 22 |
comment |
What is a commonly accepted econometric model for volume? As an aside, GARCH models volatility (i.e. second moment), not price (first moment). |
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May 4 |
awarded | Enlightened |
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Apr 24 |
answered | How to get greeks using Monte-Carlo for arbitrary option? |
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Apr 7 |
revised |
Ways of treating time in the BS formula added 114 characters in body |
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Apr 7 |
answered | Ways of treating time in the BS formula |
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Mar 29 |
awarded | Nice Answer |
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Feb 2 |
comment |
R: How feasible is it to store — and work with — tick data in a database connected to R? The beancounter package has been available since the late 1990s to download price data, automatically store it in SQL backends with support for PostgreSQL, MySQL, SQLite and ODBC, and also run P/L and risk (VaR) reports. Runs just fine as a cron job, and its easy to then chain R jobs onto it once the data is in SQL. Beancounter itself is a small Perl package and runs on any OS just fine. |
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Feb 2 |
comment |
R: How feasible is it to store — and work with — tick data in a database connected to R? ODBC will always be slower than direct binary connections, so it is really just the fallback choice. I once built a direct R bridge to OneTick using their C++ API -- that was pretty fast for large data too. |
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Feb 2 |
revised |
What are the advantages of switching platforms/languages between strategy development and implementation? added 6 characters in body |
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Feb 2 |
answered | What are the advantages of switching platforms/languages between strategy development and implementation? |
