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Basic R for Finance


Diethelm Würtz, Tobias Setz, Yohan Chalabi, Longhow Lam, Andrew Ellis
Rmetrics eBooks 2010, NEW: Update 2015
Rmetrics Association & Finance Online Publishing, Zurich
304 pages, 48 figures
ISBN: 978-3-906041-02-5

About the Book:

This is an introductory book about the rapid model prototyping language R. It is especially suited to programmers and researcher in finance and insurance. What sets this book apart from all the other introductory R books is the number of examples from computational finance and financial engineering. Part 1 to 4 give an introduction to the R language and environment: Computations, programming, plotting, statistics and inference. Part 5 to 8 are dedicated to case studies: Utility functions, asset management, option valuation and portfolio design. The NEW Update 2015 supports R Version 3.2.

About the Authors:

Diethelm Würtz is Professor at the “Swiss Federal Institute of Technology”
(ETH) in Zurich. Diethelm is teaching regular ETH lectures and seminars in Computational Finance and Financial Engineering. He is involved in the organization of the “Rmetrics Summer Schools” and in several international workshops, courses and meetings in Europe and Asia. He is President of the Open Source “Rmetrics Association”, Senior Partner of “Finance Online GmbH” and Co-Founder of “Sidenis AG” in Zurich.

Tobias Setz holds a master in Computational Science and Engineering from ETH in Zurich with a major specialization in theoretical physics and a minor specialization in financial engineering. Currently he is doing his PhD in the Econophysics group of Prof Diethelm Würtz. In his theses he focused on stability indicators to describe the condition of financial or economic markets or to improve trading strategies. Besides this academic work, he is also a developer of the R/Rmetrics packages covering time series analysis and portfolio optimization (

Andrew Ellis read neuroscience and mathematics at the University in Zurich. He did a Student Internship in the Econophysics group at ETH Zurich at the Institute for Theoretical Physics. Andrew is worked on the Rmetrics documentation project and co-authored this ebook on portfolio optimization with Rmetrics.

Yohan Chalabi has a master in Physics from the Swiss Federal Institute of Technology in Lausanne. He made his Doctorat Degree in the Econophysics group at ETH Zurich at the Institute for Theoretical Physics. Yohan is a co-author of the Rmetrics packages.

Table of Contents: Download extract



Part 1: Computations
Data Structures
Data Manipulation
Importing and Exporting Data
Object Types 

Part 2: Programming
Writing Functions 
Debugging Your R Functions
Efficient Calculations
Object Orientation

Part 3: Plotting
High Level Plots
Customizing Plots
Graphical Devices

Part 4: Statistics and Inference
Basic Statistical Functions
More About Time Series Objects
Linear Time Series Analysis
Regression Models
Dissimilarities of Data Records

Part 5: Case Studies: Utility Functions
Compute Skewness and Kurtosis Statistics
Extracting Package Descriptions
Function Listing and Counting

Part 6: Case Studies: Asset Managment
Generalized Error Distribution

Skewed Return Distribution
Jarque-Bera Hypothesis Test
PCA Ordering of Assets
Clustering of Asset Returns

Part 7: Case Studies: Option Valuation
Black Scholes Option Price
Black Scholes Option Greeks
American Calls with Dividends
Monte Carlo Option Pricing

Part 8: Case Studies: Portfolio Design
Mean-Variance Markowitz Portfolio
Markowitz Tangency Portfolio
Long-only Portfolio Frontier
Minimum Regret Portfolio