Blogs

Mumbai, Nov 2011, IGIDR - Stress and Stability Metrics

Diethelm Wuertz from the Swiss Federal Institute of Technology and the Rmetrics Association in Zurich is offering a seminar in computational finance and financial engineering covering modern topics in

New York, Sep 2011 - Portfolio Selection and Optimization in Practice

Rmetrics teaches a course in "Portfolio Selection and Optimization in Practice" for Portfolio Managers and Decision Makers in New York, September 8/9.

Zurich, Jun 2011 - Modern Portfolio Design with Rmetrics

Rmetrics teaches a public course in "Modern Portfolio Design with Rmetrics" for Portfolio Managers and Decision Makers in Zurich, June 24/25..

Vienna, May 2011 - Advanced Topics in Financial Econometrics Lectures

Diethelm Wuertz presents 7 lectures in "Advanced Topics in Financial Econometrics" at University of Economics and Business, Vienna, Austria. Dates: May 5/6, May 12/13, May, 19/20, May 25.

Kuala Lumpur, March 2011 - Portfolio Management and Optimization

The Rmetrics Association helds a 3-Day in-House course in Malaysia, March 29-31, 2011, prepared for an investment bank in Kuala Lumpur.

Zurich, Mar 2011 - Rmetrics eBooks Bundle for Finance

Rmetrics offers his eBooks "Basic R for Finance", "Chronological Objects", "Financial Market Data", and 'Portfolio Optimization" in a Bundle.

Mumbai, March 2011 - R for Finance and Advanced Portfolio Optimization

The Rmetrics Association announces a one day R course, March 24, and a two day Advanced Portfolio course, March 25/26, 2011, in Mumbay.

Zurich, March 9, 2011 - Rmetrics Presentation at ZurichR User Group

Rmetrics presents its fPortfolio package at the first “Zurich R” meeting. The meeting will be held on Wednesday, March 9, at the Technopark in Zurich.

Zurich, Jan 2011 - Portfolio Webinar

We like to bring to your attention a free webinar on Wednesday, January 26, presented by Diethelm Wuertz and Mahendra Mehta about "Portfolio Design, Optimization and Stability Analysis".

Zurich, Dec 2010 - Asian Option Pricing

We are proud to annnounce a new eBook about "Exponential Brownian Motion and Pricing Asian Options" with R/Rmetrics.

Mumbai, Nov 2010 - Basic R Course for Finance

Rmetrics offers a high quality training course in the R programming language, based on their "Basic R for Finance" eBook.

Zurich, Oct 2010 - A 3 Day Basic R Course for Finance

Rmetrics offers for students at ETH and University of Zurich a high quality training course in the R programming language, based on their "Basic R for Finance" ebook.

Zurich, Sep 2010 - Portfolio Cycle Charts

"Portfolio Cycle Charts" are a new approach to characterize economic conditions by rolling portfolios. This report from Rmetrics offers views on the dynamics of the feasible set of a portfolio.

Gaithersburg, Rmetrics at useR! 2010

Diethelm Würtz was invited at the 2010 useR! Gaithersburg Conference to give a presentation.

Basel, Jul 2010 - Rmetrics at BaselR

The Basel R user group has organized on July 29, 2010, a meeting with presentations based on R/Rmetrics.

Update to 'Basic R' eBook

We have added lots of new chapters to the 'Basic R for Finance' book.

Singapore Presentations

All presentation from the Rmetrics Singapore workshop in February 2010 have been published.

New eBook: Indian Financial Market Data

We are proud to annnounce a new eBook about Indian financial market date.

Follow Rmetrics on Twitter

You can now follow the Rmetrics project for all the latest news on packages, books, events, etc: http://twitter.com/rmetrics

Solving Factor Models

"Solving Factor Models in fPortfolio" was the topic in Diethelm Würtz' last econophysics lecture at ETH Zurich (May 2010). Since this may be of general interest we will give in the following some hints how to do it.

New Software: Rmetrics AMPL Interface

"Rmetrics2AMPL" is a project under development to make professional solvers available for portfolio design and optimization with R/Rmetrics. Rmetrics2AMPL provides functions and tools to create and extend a library of model, data, and run files for the AMPL environment, a comprehensive and powerful algebraic modeling language for linear and nonlinear optimization problems, in discrete or continuous variables.

THETA AG uses Rmetrics

THETA AG is a Swiss asset management firm located in Zurich. They offer to their customers dynamic investment and risk solutions. For their advanced analytic support and decision finding they use Rmetrics in several aspects. Have a look on their Graph Matrix for the "dynAAx" index allocations.

Programming: S4 timeDate Package

We have uploaded a short documentation which summarizes the concepts and methods behind the S4 class timeDate used in Rmetrics for financial data with time and holiday management.

Portfolio Risk Surfaces

"Portfolio Risk Surfaces" is an initiative to explore the feasible set of a portfolio and to make risk and related measures visible across the feasible set. The resulting graphs can be considered as surfaces showing the diversification or concentration of risk for any feasible portfolio.

Stability Watch Views

"Stability Watch" is a report from Rmetrics offering views on the stability of historical economic indicators and financial time series. The report helps everybody to watch non-stationarities, instabilities and stressed scenarios in historical time series.

Lambda Distribution

We have added to the Rmetrics fBasics package functions for the generalized lambda distribution with infinite support as an alternative distribution for modeling financial return series with power law tails.

New datafeed eBook

We are proud to announce a new eBook entitled Financial Market Data for R/Rmetrics. The book introduces how to download and manage economic and financial market data from the Internet.

Programming: Lynx Reader for R/Rmetrics

The Rmetrics package fImport has now a function "read.lynx()" which simplifies the download of economic and financial market data from the Internet and the conversion of the data records into time series objects.

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