R-Finance Tutorial

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R-Finance Tutorial

Ben Nachtrieb
Hello,

Does anyone have any good R-Finance tutorials?

I can perform basic operations in R and I have a Master's degree in
finance/investments; however, I would like to ties these together with an
R-Finance tutorial. In other words, I need better understanding of the
best packages and built-in functions available to me and how to use them. I
don't want to reinvent the wheel so-to-speak.

Basically I do quant analysis on forex, futures, and equities. So it is the
usual time series, trade execution, portfolio, security ranking, back
testing, optimization, etc. related functions and packages I am interested
in. I will be using these programatically, so a good "front-end" or UI is
not necessary (and would not be used).

Does anyone have any good R-Finance tutorials?

What I do not need is a Tutorial on R or Finance separately.

I already have "Time Series Analysis - With Applications in R end Edition",
but that is it...at this point.

Thanks!

--
Ben Nachtrieb
M.S.F. Investments, University of Denver
Beta Gamma Sigma member

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Re: R-Finance Tutorial

Patrick Burns-2
Can we presume that you've looked at the
Finance taskview?

On 30/06/2010 15:56, Ben Nachtrieb wrote:

> Hello,
>
> Does anyone have any good R-Finance tutorials?
>
> I can perform basic operations in R and I have a Master's degree in
> finance/investments; however, I would like to ties these together with an
> R-Finance tutorial. In other words, I need better understanding of the
> best packages and built-in functions available to me and how to use them. I
> don't want to reinvent the wheel so-to-speak.
>
> Basically I do quant analysis on forex, futures, and equities. So it is the
> usual time series, trade execution, portfolio, security ranking, back
> testing, optimization, etc. related functions and packages I am interested
> in. I will be using these programatically, so a good "front-end" or UI is
> not necessary (and would not be used).
>
> Does anyone have any good R-Finance tutorials?
>
> What I do not need is a Tutorial on R or Finance separately.
>
> I already have "Time Series Analysis - With Applications in R end Edition",
> but that is it...at this point.
>
> Thanks!
>

--
Patrick Burns
[hidden email]
http://www.burns-stat.com

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Re: R-Finance Tutorial

Sarbo
In reply to this post by Ben Nachtrieb
What Patrick wrote.

Learning R is really best done simply by diving straight in. It's not a
difficult language to learn, even if some of its quirks are really
peculiar. One good book to start with would be "Modern Applied
Statistics with R" by Venables and Ripley, which provides code, graphs,
and suggestions on how to write good, robust R code.

On Wed, 2010-06-30 at 08:56 -0600, Ben Nachtrieb wrote:

> Hello,
>
> Does anyone have any good R-Finance tutorials?
>
> I can perform basic operations in R and I have a Master's degree in
> finance/investments; however, I would like to ties these together with an
> R-Finance tutorial. In other words, I need better understanding of the
> best packages and built-in functions available to me and how to use them. I
> don't want to reinvent the wheel so-to-speak.
>
> Basically I do quant analysis on forex, futures, and equities. So it is the
> usual time series, trade execution, portfolio, security ranking, back
> testing, optimization, etc. related functions and packages I am interested
> in. I will be using these programatically, so a good "front-end" or UI is
> not necessary (and would not be used).
>
> Does anyone have any good R-Finance tutorials?
>
> What I do not need is a Tutorial on R or Finance separately.
>
> I already have "Time Series Analysis - With Applications in R end Edition",
> but that is it...at this point.
>
> Thanks!
>



        [[alternative HTML version deleted]]

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Re: R-Finance Tutorial

Ben Nachtrieb
In reply to this post by Ben Nachtrieb
Patrick,

Yes, I am a programmer; however, R is set up quite a bit different. It seems
like there are lots of redundancy in the community/resources. For example
there seem to be 3 or 4 time series packages. Also, the responses I have
received regarding my original question suggested 5 or 6 different packages
and only 1 of those packages was mentioned more than once by the
respondents. (Thank you!) From this perspective (finding and locating what
to 'dive into'), I have found R very difficult. Also, R is very different
from most languages I have used so that transition is quite challenging as
well.

That said I am committed to becoming an expert in R and see its
wonderful efficiencies once it is understood by the user.

Thanks!

Ben

Date: Thu, 01 Jul 2010 05:08:10 -0400
From: Sarbo <[hidden email]>
To: [hidden email]
Subject: Re: [R-SIG-Finance] R-Finance Tutorial
Message-ID: <[hidden email]>
Content-Type: text/plain

What Patrick wrote.

Learning R is really best done simply by diving straight in. It's not a
difficult language to learn, even if some of its quirks are really
peculiar. One good book to start with would be "Modern Applied
Statistics with R" by Venables and Ripley, which provides code, graphs,
and suggestions on how to write good, robust R code.

On Wed, 2010-06-30 at 08:56 -0600, Ben Nachtrieb wrote:

> Hello,
>
> Does anyone have any good R-Finance tutorials?
>
> I can perform basic operations in R and I have a Master's degree in
> finance/investments; however, I would like to ties these together with an
> R-Finance tutorial. In other words, I need better understanding of the
> best packages and built-in functions available to me and how to use them.
I
> don't want to reinvent the wheel so-to-speak.
>
> Basically I do quant analysis on forex, futures, and equities. So it is
the

> usual time series, trade execution, portfolio, security ranking, back
> testing, optimization, etc. related functions and packages I am interested
> in. I will be using these programatically, so a good "front-end" or UI is
> not necessary (and would not be used).
>
> Does anyone have any good R-Finance tutorials?
>
> What I do not need is a Tutorial on R or Finance separately.
>
> I already have "Time Series Analysis - With Applications in R end
Edition",
> but that is it...at this point.
>
> Thanks!
>
--
Ben Nachtrieb
M.S.F. Investments, University of Denver
Beta Gamma Sigma member

        [[alternative HTML version deleted]]

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Re: R-Finance Tutorial

Ben Nachtrieb
In reply to this post by Ben Nachtrieb
Hello Patrick,

No, what is the Finance taskview and how do I take a look at it?

Thanks,

Ben


Date: Wed, 30 Jun 2010 16:58:58 +0100
From: Patrick Burns <[hidden email]>
To: [hidden email]
Subject: Re: [R-SIG-Finance] R-Finance Tutorial
Message-ID: <[hidden email]>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed

Can we presume that you've looked at the
Finance taskview?

On 30/06/2010 15:56, Ben Nachtrieb wrote:
> Hello,
>
> Does anyone have any good R-Finance tutorials?
>
> I can perform basic operations in R and I have a Master's degree in
> finance/investments; however, I would like to ties these together with an
> R-Finance tutorial. In other words, I need better understanding of the
> best packages and built-in functions available to me and how to use them.
I
> don't want to reinvent the wheel so-to-speak.
>
> Basically I do quant analysis on forex, futures, and equities. So it is
the

> usual time series, trade execution, portfolio, security ranking, back
> testing, optimization, etc. related functions and packages I am interested
> in. I will be using these programatically, so a good "front-end" or UI is
> not necessary (and would not be used).
>
> Does anyone have any good R-Finance tutorials?
>
> What I do not need is a Tutorial on R or Finance separately.
>
> I already have "Time Series Analysis - With Applications in R end
Edition",
> but that is it...at this point.
>
> Thanks!
>

--
Patrick Burns
[hidden email]
http://www.burns-stat.com
--
Ben Nachtrieb
M.S.F. Investments, University of Denver
Beta Gamma Sigma member

        [[alternative HTML version deleted]]

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Re: R-Finance Tutorial

Ulrich Staudinger-2
http://www.google.ch/search?q=R+taskview




On Thu, Jul 1, 2010 at 3:03 PM, Ben Nachtrieb <[hidden email]>wrote:

> Hello Patrick,
>
> No, what is the Finance taskview and how do I take a look at it?
>
> Thanks,
>
> Ben
>
>
> Date: Wed, 30 Jun 2010 16:58:58 +0100
> From: Patrick Burns <[hidden email]>
> To: [hidden email]
> Subject: Re: [R-SIG-Finance] R-Finance Tutorial
> Message-ID: <[hidden email]>
> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>
> Can we presume that you've looked at the
> Finance taskview?
>
> On 30/06/2010 15:56, Ben Nachtrieb wrote:
> > Hello,
> >
> > Does anyone have any good R-Finance tutorials?
> >
> > I can perform basic operations in R and I have a Master's degree in
> > finance/investments; however, I would like to ties these together with an
> > R-Finance tutorial. In other words, I need better understanding of the
> > best packages and built-in functions available to me and how to use them.
> I
> > don't want to reinvent the wheel so-to-speak.
> >
> > Basically I do quant analysis on forex, futures, and equities. So it is
> the
> > usual time series, trade execution, portfolio, security ranking, back
> > testing, optimization, etc. related functions and packages I am
> interested
> > in. I will be using these programatically, so a good "front-end" or UI is
> > not necessary (and would not be used).
> >
> > Does anyone have any good R-Finance tutorials?
> >
> > What I do not need is a Tutorial on R or Finance separately.
> >
> > I already have "Time Series Analysis - With Applications in R end
> Edition",
> > but that is it...at this point.
> >
> > Thanks!
> >
>
> --
> Patrick Burns
> [hidden email]
> http://www.burns-stat.com
> --
> Ben Nachtrieb
> M.S.F. Investments, University of Denver
> Beta Gamma Sigma member
>
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>



--
Ulrich Staudinger
Klosterstr. 7
CH-6003 Luzern
Switzerland
++41-79-7020595

        [[alternative HTML version deleted]]

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!SPAM: Re: R-Finance Tutorial

braverock
In reply to this post by Ben Nachtrieb
On 07/01/2010 07:59 AM, Ben Nachtrieb wrote:
> Yes, I am a programmer; however, R is set up quite a bit different. It seems
> like there are lots of redundancy in the community/resources. For example
> there seem to be 3 or 4 time series packages. Also, the responses I have
> received regarding my original question suggested 5 or 6 different packages
> and only 1 of those packages was mentioned more than once by the
> respondents. (Thank you!) From this perspective (finding and locating what
> to 'dive into'), I have found R very difficult. Also, R is very different
> from most languages I have used so that transition is quite challenging as
> well.

Those redundancies serve different needs.  So, in time series, a couple of
packages are historical (e.g. ts, its), some are more general than just finance
(e.g. zoo) and others are optimized for large financial time series (e.g. xts,
and arguably timeSeries)

with timeSeries, it is used by default in all the RMetrics packages, so if you
need to do something they do well (e.g. pricing algorithms, or some Garch
methods) then you will use timeSeries.

xts, being optimized for financial time series applications, is probably the
best 'default' for you to use, because it has conversion methods for all the
other classes.

In the dedicated finance packages, similar 'specific purpose' answers will
apply.  Many of the topics you mentioned are covered by multiple packages
because different authors had different needs.  R is not a monolithic entity.
Many different people write packages as needed to solve particular problems.
You we not very specific in describing your particular problem, so you'll get
answers from many different points of view.

> That said I am committed to becoming an expert in R and see its
> wonderful efficiencies once it is understood by the user.

Well, the MASS book was a good suggestion, and the task views:

http://cran.r-project.org/web/views/

(this could have been found by using rseek.org or Google on 'r-project task views')

Regards,

    - Brian

> Date: Thu, 01 Jul 2010 05:08:10 -0400
> From: Sarbo<[hidden email]>
> To: [hidden email]
> Subject: Re: [R-SIG-Finance] R-Finance Tutorial
> Message-ID:<[hidden email]>
> Content-Type: text/plain
>
> What Patrick wrote.
>
> Learning R is really best done simply by diving straight in. It's not a
> difficult language to learn, even if some of its quirks are really
> peculiar. One good book to start with would be "Modern Applied
> Statistics with R" by Venables and Ripley, which provides code, graphs,
> and suggestions on how to write good, robust R code.
>
> On Wed, 2010-06-30 at 08:56 -0600, Ben Nachtrieb wrote:
>
>> Hello,
>>
>> Does anyone have any good R-Finance tutorials?
>>
>> I can perform basic operations in R and I have a Master's degree in
>> finance/investments; however, I would like to ties these together with an
>> R-Finance tutorial. In other words, I need better understanding of the
>> best packages and built-in functions available to me and how to use them.
> I
>> don't want to reinvent the wheel so-to-speak.
>>
>> Basically I do quant analysis on forex, futures, and equities. So it is
> the
>> usual time series, trade execution, portfolio, security ranking, back
>> testing, optimization, etc. related functions and packages I am interested
>> in. I will be using these programatically, so a good "front-end" or UI is
>> not necessary (and would not be used).
>>
>> Does anyone have any good R-Finance tutorials?
>>
>> What I do not need is a Tutorial on R or Finance separately.
>>
>> I already have "Time Series Analysis - With Applications in R end
> Edition",
>> but that is it...at this point.
>>
>> Thanks!
>>


--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

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Re: R-Finance Tutorial

Ben Nachtrieb
In reply to this post by Ulrich Staudinger-2
Ulrich,

Oh, yes, I have been there. Didn't know it was called the task view. Thanks!
I will review that again.

Ben

On Thu, Jul 1, 2010 at 7:21 AM, Ulrich Staudinger <[hidden email]>wrote:

> http://www.google.ch/search?q=R+taskview
>
>
>
>
>   On Thu, Jul 1, 2010 at 3:03 PM, Ben Nachtrieb <[hidden email]>wrote:
>
>>  Hello Patrick,
>>
>> No, what is the Finance taskview and how do I take a look at it?
>>
>> Thanks,
>>
>> Ben
>>
>>
>> Date: Wed, 30 Jun 2010 16:58:58 +0100
>> From: Patrick Burns <[hidden email]>
>> To: [hidden email]
>> Subject: Re: [R-SIG-Finance] R-Finance Tutorial
>> Message-ID: <[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>>
>> Can we presume that you've looked at the
>> Finance taskview?
>>
>> On 30/06/2010 15:56, Ben Nachtrieb wrote:
>> > Hello,
>> >
>> > Does anyone have any good R-Finance tutorials?
>> >
>> > I can perform basic operations in R and I have a Master's degree in
>> > finance/investments; however, I would like to ties these together with
>> an
>> > R-Finance tutorial. In other words, I need better understanding of the
>> > best packages and built-in functions available to me and how to use
>> them.
>> I
>> > don't want to reinvent the wheel so-to-speak.
>> >
>> > Basically I do quant analysis on forex, futures, and equities. So it is
>> the
>> > usual time series, trade execution, portfolio, security ranking, back
>> > testing, optimization, etc. related functions and packages I am
>> interested
>> > in. I will be using these programatically, so a good "front-end" or UI
>> is
>> > not necessary (and would not be used).
>> >
>> > Does anyone have any good R-Finance tutorials?
>> >
>> > What I do not need is a Tutorial on R or Finance separately.
>> >
>> > I already have "Time Series Analysis - With Applications in R end
>> Edition",
>> > but that is it...at this point.
>> >
>> > Thanks!
>> >
>>
>> --
>> Patrick Burns
>> [hidden email]
>> http://www.burns-stat.com
>>    --
>> Ben Nachtrieb
>> M.S.F. Investments, University of Denver
>> Beta Gamma Sigma member
>>
>>        [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>
>
>
>
> --
> Ulrich Staudinger
> Klosterstr. 7
> CH-6003 Luzern
> Switzerland
> ++41-79-7020595
>



--
Ben Nachtrieb
M.S.F. Investments, University of Denver
Beta Gamma Sigma member

        [[alternative HTML version deleted]]

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Re: R-Finance Tutorial

Jeffrey Ryan
With respect to what Brian said earlier, one of the powerful aspects
of R is that there isn't 'one way' to do something.

Depending on your needs, solutions come in different packages.  The
downside to this is that it become a challenge to not learn the
language per se, but more the 'best practices'

To get the answer to that, or part of the answer at least, the best
resource has to be the archives of R-SIG-Finance.  Additionally the
papers/presentations from R/Rmetrics Meielisalp (going on this week in
Switzerland for the 4th year...) and those from the 2009 and 2010
conferences in Chicago www.RinFinance.com

If you are looking to not reinvent the wheel, take a look there for
inspiration.  Also I have quite a few slides/presentations that will
give a good overview of things from an infrastructure perspective,
albeit biased toward the packages I cover. (quantmod, xts, IBrokers,
...)

http://www.quantmod.com
http://www.quantmod.com/examples

http://www.quantmod.com/Columbia2008/
http://www.quantmod.com/Rmetrics2008/
http://www.quantmod.com/Rmetrics2009/
http://www.quantmod.com/Vienna2009/

For time series, do read the vignettes on zoo and xts, as they will
give you a taste of what both can do.  There is also a book about the
time-series classes from Rmetrics that is free (in addition to some
very nice ones that cost a little money).  The book isn't completely
unbiased of course, but more information is always better.

for xts specific manipulation tricks and tips, this is probably the
easiest starting point:

http://www.quantmod.com/examples/data/

Enjoy and welcome to the wonderful world of R in Finance!

Jeff

On Thu, Jul 1, 2010 at 8:24 AM, Ben Nachtrieb <[hidden email]> wrote:

> Ulrich,
>
> Oh, yes, I have been there. Didn't know it was called the task view. Thanks!
> I will review that again.
>
> Ben
>
> On Thu, Jul 1, 2010 at 7:21 AM, Ulrich Staudinger <[hidden email]>wrote:
>
>> http://www.google.ch/search?q=R+taskview
>>
>>
>>
>>
>>   On Thu, Jul 1, 2010 at 3:03 PM, Ben Nachtrieb <[hidden email]>wrote:
>>
>>>  Hello Patrick,
>>>
>>> No, what is the Finance taskview and how do I take a look at it?
>>>
>>> Thanks,
>>>
>>> Ben
>>>
>>>
>>> Date: Wed, 30 Jun 2010 16:58:58 +0100
>>> From: Patrick Burns <[hidden email]>
>>> To: [hidden email]
>>> Subject: Re: [R-SIG-Finance] R-Finance Tutorial
>>> Message-ID: <[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>>>
>>> Can we presume that you've looked at the
>>> Finance taskview?
>>>
>>> On 30/06/2010 15:56, Ben Nachtrieb wrote:
>>> > Hello,
>>> >
>>> > Does anyone have any good R-Finance tutorials?
>>> >
>>> > I can perform basic operations in R and I have a Master's degree in
>>> > finance/investments; however, I would like to ties these together with
>>> an
>>> > R-Finance tutorial. In other words, I need better understanding of the
>>> > best packages and built-in functions available to me and how to use
>>> them.
>>> I
>>> > don't want to reinvent the wheel so-to-speak.
>>> >
>>> > Basically I do quant analysis on forex, futures, and equities. So it is
>>> the
>>> > usual time series, trade execution, portfolio, security ranking, back
>>> > testing, optimization, etc. related functions and packages I am
>>> interested
>>> > in. I will be using these programatically, so a good "front-end" or UI
>>> is
>>> > not necessary (and would not be used).
>>> >
>>> > Does anyone have any good R-Finance tutorials?
>>> >
>>> > What I do not need is a Tutorial on R or Finance separately.
>>> >
>>> > I already have "Time Series Analysis - With Applications in R end
>>> Edition",
>>> > but that is it...at this point.
>>> >
>>> > Thanks!
>>> >
>>>
>>> --
>>> Patrick Burns
>>> [hidden email]
>>> http://www.burns-stat.com
>>>    --
>>> Ben Nachtrieb
>>> M.S.F. Investments, University of Denver
>>> Beta Gamma Sigma member
>>>
>>>        [[alternative HTML version deleted]]
>>>
>>> _______________________________________________
>>> [hidden email] mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>
>>
>>
>> --
>> Ulrich Staudinger
>> Klosterstr. 7
>> CH-6003 Luzern
>> Switzerland
>> ++41-79-7020595
>>
>
>
>
> --
> Ben Nachtrieb
> M.S.F. Investments, University of Denver
> Beta Gamma Sigma member
>
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>



--
Jeffrey Ryan
[hidden email]

ia: insight algorithmics
www.insightalgo.com

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Re: R-Finance Tutorial

Gabor Grothendieck
In reply to this post by Ben Nachtrieb
On Thu, Jul 1, 2010 at 8:59 AM, Ben Nachtrieb <[hidden email]> wrote:

> Patrick,
>
> Yes, I am a programmer; however, R is set up quite a bit different. It seems
> like there are lots of redundancy in the community/resources. For example
> there seem to be 3 or 4 time series packages. Also, the responses I have
> received regarding my original question suggested 5 or 6 different packages
> and only 1 of those packages was mentioned more than once by the
> respondents. (Thank you!) From this perspective (finding and locating what
> to 'dive into'), I have found R very difficult. Also, R is very different
> from most languages I have used so that transition is quite challenging as
> well.
>
> That said I am committed to becoming an expert in R and see its
> wonderful efficiencies once it is understood by the user.
>
> Thanks!
>
> Ben
>

There are typically multiple ways to do something in R and there are
often multiple packages to do the same thing.  Sometimes there is a
preferred package but in other cases it just boils down to personal
preference.

Regarding your comment on time series frameworks, these:

- "zoo" and "xts" packages (these two packages are closely related),
- the rmetrics group of packages and
- "fts" (and also an older package "its" by the same author as "fts")

all have facilities to represent irregularly spaced series such as you
would need in finance.  There is also "rts" in the "tseries" package.

"ts" class in the core of R and the "tis" package can represent
regularly spaced series and, of course, since regularly spaces series
are a subset of irregularly spaced you can also use irregularly spaced
series package for regularly spaced series.


Each of the frameworks has its own characteristics and and since many
are under continual development they are moving targets so comments
can get quickly outdated; however, being a "zoo" developer I can at
least speak to that one.  In terms of learning, the interface to "zoo"
is very similar to that of "ts" in the core of R so if you know "ts"
then its relatively easy to pick up "zoo" and visa versa - if you know
"zoo" its easy to pick up "ts".  Particular attention was paid to
making it compatible with and to work the same as  the rest of R. Also
"zoo" is particularly general with the ability to represent an
unlimited number of time classes and all the series from any of the
other frameworks can be represented as zoo objects.  Mixtures are
possible so that, for example, you can have a "zoo" object which uses
the "timeDate" class of rmetrics as its time class.  The various "as"
functions in "zoo" can be used to translate among the representations
in many of the other packages.  It also has a long history yet is
still under active development, has quite a bit of documentation and
has spawned an ecosystem of over 50 other packages  that depend on or
are used with it.  Thus its easy to move back and forth among "zoo"
and "ts" and "xts" providing additional flexibility.

Some elements of the "zoo" package can be used without using "zoo"
objects at all including certain lattice graphics which have since
migrated to the "lattice" package (which is distributed as part of the
R download), "yearmon" and "yearqtr" time classes and the "na.locf"
function.

To learn more, see this page:

http://cran.r-project.org/web/packages/zoo

and read the three vignettes (pdf documents) linked there.  Also at
the bottom of the same web page in the reverse dependencies portion of
that page are links to the 50 or so other packages that depend on or
use ".  (The "zoo" FAQ also has such a list.) You can click on each of
those and find out more info on each of those packages.  You can also
access the "zoo" vignettes mentioned above like this from within R:

library(zoo)
vignette(package = "zoo")
vignette("zoo")
vignette("zoo-faq")
etc.

and can also list the help information from that web page or from
within R like this:

help(package = zoo)

and get individual help page like this, e.g. to get the help page on
the zoo command:

?zoo

That will bring up a local web page which you can read.  Also at the
bottom of that page click on "Index" to get a detailed list of links
to help pages of other commands which you can click on in turn.

Then try the same thing with the related "xts" package ("xts" is a
subclass of "zoo") and also the "FinTS" package (which has no vignette
but does have a book associated with it which you may wish to read).
"FinTS" has a GUI to run its scripts that you start like this:
runscript()

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Re: R-Finance Tutorial

Ben Nachtrieb
In reply to this post by Jeffrey Ryan
The R'ers are prolific contributors!  Thank you everyone who offered
information/help. I will be back after I sift through all of these sources
and develop more questions.

Thanks!
Ben Nachtrieb

On Thu, Jul 1, 2010 at 8:23 AM, Jeff Ryan <[hidden email]> wrote:

> With respect to what Brian said earlier, one of the powerful aspects
> of R is that there isn't 'one way' to do something.
>
> Depending on your needs, solutions come in different packages.  The
> downside to this is that it become a challenge to not learn the
> language per se, but more the 'best practices'
>
> To get the answer to that, or part of the answer at least, the best
> resource has to be the archives of R-SIG-Finance.  Additionally the
> papers/presentations from R/Rmetrics Meielisalp (going on this week in
> Switzerland for the 4th year...) and those from the 2009 and 2010
> conferences in Chicago www.RinFinance.com <http://www.rinfinance.com/>
>
> If you are looking to not reinvent the wheel, take a look there for
> inspiration.  Also I have quite a few slides/presentations that will
> give a good overview of things from an infrastructure perspective,
> albeit biased toward the packages I cover. (quantmod, xts, IBrokers,
> ...)
>
> http://www.quantmod.com
> http://www.quantmod.com/examples
>
> http://www.quantmod.com/Columbia2008/
> http://www.quantmod.com/Rmetrics2008/
> http://www.quantmod.com/Rmetrics2009/
> http://www.quantmod.com/Vienna2009/
>
> For time series, do read the vignettes on zoo and xts, as they will
> give you a taste of what both can do.  There is also a book about the
> time-series classes from Rmetrics that is free (in addition to some
> very nice ones that cost a little money).  The book isn't completely
> unbiased of course, but more information is always better.
>
> for xts specific manipulation tricks and tips, this is probably the
> easiest starting point:
>
> http://www.quantmod.com/examples/data/
>
> Enjoy and welcome to the wonderful world of R in Finance!
>
> Jeff
>
> On Thu, Jul 1, 2010 at 8:24 AM, Ben Nachtrieb <[hidden email]>
> wrote:
> > Ulrich,
> >
> > Oh, yes, I have been there. Didn't know it was called the task view.
> Thanks!
> > I will review that again.
> >
> > Ben
> >
> > On Thu, Jul 1, 2010 at 7:21 AM, Ulrich Staudinger <[hidden email]
> >wrote:
> >
> >> http://www.google.ch/search?q=R+taskview
> >>
> >>
> >>
> >>
> >>   On Thu, Jul 1, 2010 at 3:03 PM, Ben Nachtrieb <
> [hidden email]>wrote:
> >>
> >>>  Hello Patrick,
> >>>
> >>> No, what is the Finance taskview and how do I take a look at it?
> >>>
> >>> Thanks,
> >>>
> >>> Ben
> >>>
> >>>
> >>> Date: Wed, 30 Jun 2010 16:58:58 +0100
> >>> From: Patrick Burns <[hidden email]>
> >>> To: [hidden email]
> >>> Subject: Re: [R-SIG-Finance] R-Finance Tutorial
> >>> Message-ID: <[hidden email]>
> >>> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
> >>>
> >>> Can we presume that you've looked at the
> >>> Finance taskview?
> >>>
> >>> On 30/06/2010 15:56, Ben Nachtrieb wrote:
> >>> > Hello,
> >>> >
> >>> > Does anyone have any good R-Finance tutorials?
> >>> >
> >>> > I can perform basic operations in R and I have a Master's degree in
> >>> > finance/investments; however, I would like to ties these together
> with
> >>> an
> >>> > R-Finance tutorial. In other words, I need better understanding of
> the
> >>> > best packages and built-in functions available to me and how to use
> >>> them.
> >>> I
> >>> > don't want to reinvent the wheel so-to-speak.
> >>> >
> >>> > Basically I do quant analysis on forex, futures, and equities. So it
> is
> >>> the
> >>> > usual time series, trade execution, portfolio, security ranking, back
> >>> > testing, optimization, etc. related functions and packages I am
> >>> interested
> >>> > in. I will be using these programatically, so a good "front-end" or
> UI
> >>> is
> >>> > not necessary (and would not be used).
> >>> >
> >>> > Does anyone have any good R-Finance tutorials?
> >>> >
> >>> > What I do not need is a Tutorial on R or Finance separately.
> >>> >
> >>> > I already have "Time Series Analysis - With Applications in R end
> >>> Edition",
> >>> > but that is it...at this point.
> >>> >
> >>> > Thanks!
> >>> >
> >>>
> >>> --
> >>> Patrick Burns
> >>> [hidden email]
> >>> http://www.burns-stat.com
> >>>    --
> >>> Ben Nachtrieb
> >>> M.S.F. Investments, University of Denver
> >>> Beta Gamma Sigma member
> >>>
> >>>        [[alternative HTML version deleted]]
> >>>
> >>> _______________________________________________
> >>> [hidden email] mailing list
> >>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >>> -- Subscriber-posting only. If you want to post, subscribe first.
> >>> -- Also note that this is not the r-help list where general R questions
> >>> should go.
> >>>
> >>
> >>
> >>
> >> --
> >> Ulrich Staudinger
> >> Klosterstr. 7
> >> CH-6003 Luzern
> >> Switzerland
> >> ++41-79-7020595
> >>
> >
> >
> >
> > --
> > Ben Nachtrieb
> > M.S.F. Investments, University of Denver
> > Beta Gamma Sigma member
> >
> >        [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> should go.
> >
>
>
>
> --
> Jeffrey Ryan
> [hidden email]
>
> ia: insight algorithmics
> www.insightalgo.com
>



--
Ben Nachtrieb
M.S.F. Investments, University of Denver
Beta Gamma Sigma member

        [[alternative HTML version deleted]]

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Re: R-Finance Tutorial

Gabor Grothendieck
In reply to this post by Jeffrey Ryan
On Thu, Jul 1, 2010 at 10:23 AM, Jeff Ryan <[hidden email]> wrote:

> With respect to what Brian said earlier, one of the powerful aspects
> of R is that there isn't 'one way' to do something.
>
> Depending on your needs, solutions come in different packages.  The
> downside to this is that it become a challenge to not learn the
> language per se, but more the 'best practices'
>
> To get the answer to that, or part of the answer at least, the best
> resource has to be the archives of R-SIG-Finance.  Additionally the
> papers/presentations from R/Rmetrics Meielisalp (going on this week in
> Switzerland for the 4th year...) and those from the 2009 and 2010
> conferences in Chicago www.RinFinance.com
>
> If you are looking to not reinvent the wheel, take a look there for
> inspiration.  Also I have quite a few slides/presentations that will
> give a good overview of things from an infrastructure perspective,
> albeit biased toward the packages I cover. (quantmod, xts, IBrokers,
> ...)
>
> http://www.quantmod.com
> http://www.quantmod.com/examples
>
> http://www.quantmod.com/Columbia2008/
> http://www.quantmod.com/Rmetrics2008/
> http://www.quantmod.com/Rmetrics2009/
> http://www.quantmod.com/Vienna2009/
>
> For time series, do read the vignettes on zoo and xts, as they will
> give you a taste of what both can do.  There is also a book about the
> time-series classes from Rmetrics that is free (in addition to some
> very nice ones that cost a little money).  The book isn't completely
> unbiased of course, but more information is always better.

More information is better but misinformation is not better.  I assume
that the material in the free book is accurate relative to rmetrics
since it was written by the rmetrics developers but it has basic
misunderstandings and mis-statements relating to the design and
functionality of zoo. If you want to learn zoo properly you need to
read the zoo vignettes and help pages.  For example, the book in
question states that zoo does not handle Financial Centers but that
confuses the time series class with the time class.  zoo, the time
series class, does not need to handle properties of the time class
since the time class handles those.  The zoo user can certainly use
Financial Centers by using the appropriate time class.  This requires
no development or customization.  It just works right out of the box.
A second option is that the zoo user can use zoo via the xts subclass
of zoo (in the xts package) which in turn can handle timeDate and its
Financial Centers.  A fairer comparison might have instead pointed out
that zoo handles just about any time class so that you can use the
appropriate class to the problem.  Some of the other comparisons are
misleading in other ways such as showing a black and white graph from
zoo vs a color graph from rmetrics instead of pointing out that zoo
supports significant portions of the vast array of both classic
graphics and lattice graphics and xts and quantmod have further
graphical facilities.  Also some of the comparisons are actually false
whereas certain others were true (zoo has been developed over  many
years) but not now.  Yet other statements are true but immaterial
since they relate to features that are basically never or almost never
used so they are not really a consideration.   Undoubtedly not all of
it is false and misleading but enough is that it can't be recommended
for learning zoo.

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