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Chronological Objects with Rmetrics


Diethelm Würtz, Tobias Setz, Yohan Chalabi, Andrew Ellis
Rmetrics eBooks 2010, NEW: Update 2015
Rmetrics Association and Finance Online Publishing, Zurich
279 pages, 9 figures
ISBN: 978-3-906041-03-2

About the Book:

This is an introductory book about chronological objects in R and Rmetrics. It is especially suited to quants, financial analysts and consultants. 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: 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: Calendars
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

Part 5: Appendix
FAQ: Time Series Basics
FAQ: Base, Stats, and Utilities Functions
FAQ: Printing and Plotting
Required Packages
Function Listings
R Manuals on CRAN