3,258 reputation
1124
bio website dirk.eddelbuettel.com
location Chicago, IL
age
visits member for 3 years, 2 months
seen 2 days ago
  • See my blog for some updates on what I've been up to.
  • Sometimes I tweet using the @eddelbuettel tag.

Mar
16
answered Reading XBRL Data from the SEC FTP SITE
Feb
15
awarded  Nice Answer
Jan
31
awarded  Yearling
Dec
28
awarded  Good Answer
Aug
23
comment Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
Oh, and I'm familiar with the library will qualify as the quant.stackexchange.com understatement of the year ;-)
Aug
23
comment Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
The fixed-income code in RQuantLib needs an overhaul pretty badly... I have been asked this before, including by Lisa Ann, and I generally respond that a pure C++ solution is a good first step after which one can address the R connection issues...
Aug
6
answered garchOxFit in R
May
10
answered knowing the order of GARCH model
Mar
2
reviewed Approve suggested edit on How to annualize Sharpe Ratio?
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...
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).
Jan
31
awarded  Yearling
Dec
6
awarded  Favorite Question
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 :)
Oct
22
awarded  Notable Question
Oct
14
comment Analyzing tick data
+1, but typo in Tim Bollerslev's name.
Sep
21
awarded  Custodian
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).
May
4
awarded  Enlightened
Apr
24
answered How to get greeks using Monte-Carlo for arbitrary option?