Quantitative Finance with R

Abstract:

This talk will be an overview of doing quantitative finance with R. The focus will be on using a few key R packages (quantmod, quantstrat, and PortfolioAnalytics) to access financial data, generate financial charts, implement quantitative trading strategies, and perform portfolio optimization.

Speaker Bio:

Guy Yollin is a faculty member in the Department of Applied Mathematics at the University of Washington where he teaches in the Computational Finance & Risk Management Program.

Guy is also the principal consultant for r-programming.org (http://www.google.com/url?q=http%3A%2F%2Fr-programming.org&sa=D&sntz=1&usg=AFQjCNGINxOSUXthsSShgnlcaj6aJ7QfXA), a professional services organization that specializes in applying the R programming language to develop solutions in computational finance, quantitative risk management, and business analytics.

Prior to his current positions, Guy served as a quantitative analyst, risk manager, and R language evangelist for two different Pacific Northwest hedge funds. In between these hedge fund roles, Guy led the quant finance software development team at Insightful Corporation, developers of S-PLUS and S+FinMetrics.

More Details:

The meeting will be in our usual spot in the Arnold building, check the map for details:

http://www.fhcrc.org/content/public/en/contact-us/visit-us.html

Feel free to park in Visitor Parking

We will have the usual pizza and a donation jar for those interested in contributing.