Trainings Program, Course Offerings and Webinars

 

Rmetrics Trainings Program, Course Offerings and Webinars

The Rmetrics Association offers in house training courses and webinars with topics concerning the R/Rmetrics Statistical Software Environment, Advanced Econometrics, Modern Portfolio Design, and Stress and Stability Metrics. We can also offer you tailored lectures and in-house courses for your company's needs and requirements. ln addition we offer for the attendees of our private or public courses optional post course support. Please feel free to contact us if you are interested in our Rmetrics lectures, courses and training programs.

 

List of Standard Course Modules and Webinars

Basic R for Finance (2 days)
Chronological Objects in R/Rmetrics (1 day)

Advanced Econometrics and Portfolio Design (4 days)

Portfolio Optimization with Rmetrics (2 days)
Advanced Portfolio Design with Rmetrics (1 day)

Financial Market Studies by Stress and Stability Metrics (1 day)

 

Brief Description of the Lectures and Courses

 

Basic R for Finance (2 days)

This 2 days course gives a gentle introduction to R. We teach you the language, we show you how to program in R, we present you to how to plot graphs, and we introduce the base statistical functions coming with the base environment of R. 

  • Block I: Introduction to R
    Object types, data structures, data manipulation, importing and exporting data
  • Block II: Programming with R
    Introduction to R programming, writing efficient code, object orientation
  • Block III: Plotting with R
    Graphics devices, high-level plotting, low-level plotting
  • Block IV: Statistics with R
    Basic statistical functions, exploratory data analysis, time series analysis

This course is well suited to students of quantitative finance, quants, financial advisors and consultants who want to get to grips with the R programming language.

The course consists of 4 blocks, each about 3 hours. The blocks are composed of 40% lecture and 60% lab session with detailed exercises. The required level of programming background is kept to a minimum.

This course was held for students at ETH and University Zurich (3x), in Mumbai (1x), in Kuala Lumpur (1x) and in Singapore (1x).

 

Chronological Objects in R/Rmetrics (1 day)

This is an introductory 1 day course about chronological objects in the base environment of R and
Rmetrics.

  • Part 1: timeDate Objects
    Time and Date Standards, Rmetrics TimeDate Objects, Financial
    Centers, Group Generic Operations, Subsetting TimeDate Objects,
    Base Functions and Methods, Coercions and Transformations
  • Part 2: Calendar Tools
    Calendar Functions and Methods, Ecclesiastical and Public Holidays,
    Holiday Calendars
  • Part 3: timeSeries Objects
    Rmetrics TimeSeries Objects, Group Generic Operations,
    Subsetting Operations, Coercions and Transformations
  • Part 4: Base, Stats and Financial Functions
    Base Functions and Methods, Stats Functions and Methods,
    Financial Functions and Methods

This course is well suited to students of quantitative finance, quants, financial advisiros and consultants who want to get a deeper insight into the use of chronological objets provided in the base environment of R and by the Rmetrics packages timeDate and timeSeries.

The course consists of 4 parts, each about 90 minutes. The parts are
composed of 40% lecture and 60% lab session with detailed exercises.

 

Advanced Econometrics and Portfolio Design (4 days)

This 4 days course provides lectures with topics from advanced econometrics and portfolio design.  Examples and exercises are given in R/Rmetrics.

  • Lecture 1: Financial Returns and their Characteristics
  • Lecture 2: Financial Time Series Analysis: ARMA Modeling
  • Lecture 3: Analysis of Extreme Values in Financial Time Series
  • Lecture 4: Financial Time Series: Garch Volatility Modeling
  • Lecture 5: Mean Variance Portfolio Optimization and Robustification
  • Lecture 6: Scenario Optimization and Nonlinear Risk Measures
  • Lecture 7: Risk Budgeting and Portfolio Performance and Risk Analysis
  • Lecture 8: Portfolio Backtesting and Rebalalncing Strategies

Each lecture takes 90 minutes and comes with detailed exercises in R/Rmetrics (also 90 minutes). Basic knowledge in econometrics and portfolio optimization is required. The students should also have a basic understanding of R for finance.

This course was offered by Diethelm Wuertz from ETH Zurich to students 6 times at ETH Zurich and twice at the University of Economics in Vienna. 

 

Portfolio Optimization with Rmetrics (2 days)

This is our well known "Portfolio Optimization" course which teaches you the basics more for modern portfolio optimization and portfolio design with R/Rmetrics.

  • Block I:  Portfolio Optimization from Scratch:
    Mean Variance Markowitz Portfolio
    MAD Scenario Portfolio Optimization
  • Block II: Portfolio Solver Factory:
    Mathematical Programming
    R/AMPL Interface and Coin-Or Infrastructure
  • Block III: Rmetrics' General Portfolio Framework:
    Robust Portfolios, Factor Models,
    Mean-CVaR Portfolios, General Risk Measues
  • Block IVPortfolio Backtesting Framework:
    Rolling Windows, Investment Strategies,
    Rebalancing Concepts, Performance Measurements

This 2 days course was held several times. e.g. in Zurich (2011, 2010), Mumbai (2009, 2010), Kuala Lumpur (2011), Singapore (2010)

 

Advanced Portfolio Design with Rmetrics (1 day)

This one day course extends the topics and materials from our "Portfolio Optimization" course.

  • Part 1: Complex Constraints
    Mixed Integer Programming, Risk Budget and Copulae Tail Risk Constraints
  • Part 2: Portfolio Performance and Risk Analysis
    Diversification Objectives, Risk Surfaces, Ternary Maps

The new course offers advanced topics and materials in R/Rmetrics for Portfolio Optimization and Design. It can be taken as an addon to our 2 days "Portfolio Optimization with Rmetrics" Course.

 

Financial Market Studies by Stress and Stability Metrics (1 day)

This course delivers four lectures of advanced topics useful for financial market studies by stress and stability metrics.

  • Lecture 1: Stress and Stability Metrics
  • Lecture 2: Quality Investment Strategies
  • Lecture 3: Risk Surfaces, Ternary Maps
  • Lecture 4: Geometric Shape Factor Modeling

This new course teaches you advanced topics. It can be taken as an addon to our  "Portfolio Optimization" and "Advanced Portfolio Design" courses. The course can be given also as a two day course with programming examples and exercises in R/Rmetrics.

This course was given at the IGIDR Mumbai (2010).

 

Financial Data Analysis with R
Bringing the Power of R/Rmetrics to the Financial Community in India

This course program delivers six courses in financial data analysis and portfolio optimization with R/Rmetrics

  • Course 1: Time Series Analysis (3 days)
  • Course 2: Panal Data Analysis (3 days)
  • Course 3: Business Analytics (3 days)
  • Course 4: Advanced Panel Data Analysis (4 days)
  • Course 5: Portfolio Optimization (3 days)
  • Course 6: Advanced Time Series Analysis (4 days)

The course program is held 2012/13 in Mumbai and Bangalore. The courses teach topics in the field of financial data analysis and portfolio optimization with R and Rmetrics. The lectures are organized jointly by the Rmetrics Association Zurich, IGIDR and Neural Risk Consulting in Mumbai. For further information please contact Mahendra Mehta from Rmetrics Asia Chapter in Mumbai: mahendra.mehta [at] rmetrics.org .

 

A the courses and lectures are coming with detailed course materials and optional offerings of our eBooks.