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The aim of this workshop is to provide an introduction to the statistical software R for professionals and academics in Finance. This course gives an insight into possibilities of data analysis and statistics with R, import of data sets, generation of graphics and the preparation of reports. The main focus is on applications in Finance. An example of portfolio optimization highlights the options of Rmetrics, which is a collection of several hundreds of functions in the area of Financial Engineering and Computational Finance.
Key features:
-Preparations and installation of R
-Data import, data types and variables
-Simulations in R
-Graphics in R
-Exploratory analysis in R with special focus to time series data
-Applications in Finance: Portfolio optimization and VaR
-R and Excel
-Preparing reports
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The workshop provides insight into the statistical models and concepts in R, which are useful for various problems arising in Finance. The attendees will be able to import datasets into R, analyse them statistically and apply concepts from time series modelling. An example on how to optimise a portfolio in R will show various concepts in financial mathematics and statistics, which are provided in R. In practical sessions, the attendees will learn and practice how to use R.
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Programme - DAY ONE |
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| 9.00 |
Registration and Coffee |
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| 9.30 |
Welcome and Introduction to the Programme |
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9.35 |
Preparations and installation of R:
- Some background on R, how to obtain and how to install it
- Contributed packages
- R documentation and available help and web resources
- R Console and R GUI
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Dr. Christina Erlwein |
| 10.45 |
Data import, data types and variables:
- Elementary import functions
- Data types
- Variable generation, inspection and modification
- Coding categorical Variables
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Dr. Peter Ruckdeschel |
| 11.00 |
Coffee Break |
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| 11.30 |
Data import, data types and variables, Part II:
- Indexing
- Date types
- Missing data
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Dr. Peter Ruckdeschel |
| 12.00 |
Hands-on Session—data import, data types and variables |
Dr. Peter Ruckdeschel |
| 13.00 |
Lunch |
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| 14:00 |
Simulations in R:
- Random in R: sample
- Simulating from given distributions
- Reproducible numbers: seed
- Simulating outliers
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Dr. Christina Erlwein |
| 15.00 |
Hands-on Session - Simulations in R |
Dr. Christina Erlwein |
| 15.30 |
Tea Break |
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| 16.00 |
Graphics in R:
- Command "plot" and where to plot to
- Setting the setting: par
- High-level and low-level plotting functions legends
- Math in plots
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Dr. Peter Ruckdeschel |
| 17.00 |
Hands-on Session—Graphics in R
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Dr. Peter Ruckdeschel |
| 17.30 |
Close
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Programme-DAY TWO |
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| 9.00 |
Registration and Coffee |
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| 9.30 |
Application in Finance:
- R Metrics
- Calculating Value at Risk
- Packages for Portfolio Optimization
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Dr. Christina Erlwein |
10:30 |
Hands-on Session—Application in Finance |
Dr. Christina Erlwein |
| 11.00 |
Coffee Break |
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| 11.30 |
Parametric Volatility Modeling in R:
- GARCH modelling
- APARCH modelling
- How to compare forecast power ?
This session is half theory and half hands-on practice
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| 13.00 |
Lunch |
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| 14:00 |
Performance limit of R
- Understand the performance limit of R
- How to link external code to R
- A simple parallel approach to apply the code developed in the
previous session to a large number of assets
This session is half theory and half hands-on practice
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| 15.00 |
Tea Break |
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| 15.30 |
R and Excel:
- The classic way: im-/exporting .csv files
- Excel-like: Rcommander (J.Fox)
- Real Excel: RExcel (T. Baier, E. Neuwirth)
- xlsReadWrite
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Dr. Peter Ruckdeschel |
| 16.00 |
Hands-on Session—R and Excel |
Dr. Peter Ruckdeschel |
| 16.30 |
Preparing reports and outlook
- Programming in R
- Writing R Documentation
- Own Packages
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Dr. Peter Ruckdeschel |
| 17.30 |
Close |
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Dr Peter Ruckdeschel is a research associate at the Financial mathematics group at Fraunhofer ITWM, Kaiserslautern and at the University of Kaiserslautern.
He received his PhD in Statistics at University Bayreuth in 2001 with an award-winning dissertation on Robust Kalman Filtering. He is co-/author of 13 R packages available on the comprehensive R archive network, ranging from integration of automatic markup to R documents, over objected-oriented implementations of distributions to optimally robust estimation. Within the collaborative software development platform r-forge, he is developing—with other authors—R package robKalman. Since his affiliation to ITWM, he has been working on several industry projects covering parameter estimation in stochastic correlation models, quantification of operational risk, and pricing of loans in illiquid markets.
Dr Christina Erlwein is a research associate at the Financial mathematics group at Fraunhofer ITWM, Kaiserslautern. She received her PhD in financial ma¬the¬matics on hidden Markov models in Finance from CARISMA, Brunel University in 2008. She was awarded a Marie Curie Fellowship for Early Stage Researchers and worked within international research projects on financial mathematics at CMA, University of Oslo, Norway, Heriott-Watt University, UK and University of Western Ontario, Canada. She published several papers on applications of HMMs in Finance. Since 2008 she is affiliated to ITWM, where she works on various projects with the financial industry ranging from modelling alternative investments to software concepts for statistical models and credit pricing.
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Industry Rate: 2 days £1025 + VAT
Thanks to our sponsors, there are a limited number of generous bursaries available for academics and research students so they can attend at reduced rates.
For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com
Discounted rates for group bookings can be also arranged on request.
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