R/Finance March Meetup – Exploring high dimensional asset dependence through Vine Copulas

Join us from 4.30pm on Thursday, 23 March at Rise Cape Town when Hanjo Odendaal (Data Scientist – Eighty20 Analytics) will be giving a talk on copulas and their growing usage in the fields of Finance and Economics.

For an introduction to the topic you can view Hanjo’s lightning talk at the recently held R conference in Cape Town, satRday here.

Copulas are a popular framework for both defining multivariate distributions and modeling multivariate data. A copula characterizes the dependence—and only the dependence—between the components of a multivariate distribution; they can be combined with any set of univariate marginal distributions to form a full joint distribution. Consequently, the use of copulas allows us to take advantage of the wide variety of univariate models that are available. The primary financial application of copula models is risk assessment and management of portfolios that contain assets which exhibit co-movements in extreme behavior. For example, a pair of assets may have weakly correlated returns, but their largest losses may tend to occur in the same periods. They are commonly applied to portfolios of loans, bonds, and collateralized debt obligations (CDOs).

The concept of copula has received growing attention in finance and economics in recent years. From the early days of use in finance over copulas finding their way to Wall Street in a mass market of credit derivatives, this episode of quantitative modelling of markets was also one of euphoria, exaggerations, misconceptions and debates. Bringing tools from the “hard-sciences” like mathematics or physics to a “soft-science”, i.e. to use formulas and models for financial markets or the behaviour of market participants always bears a certain portion of model risk. But the complexity and dynamics of financial markets makes it necessary to employ those tools and thereby improve existing methods. The case of copulas in finance is a typical example of how generally appealing and sensible models may cause unforeseen problems and can lead to debates on the applicability of quantitative methods.

Registration is from 4.30pm with the presentation set to begin at 5pm. The talk should last roughly 40mins after which Hanjo is willing to take some questions and the rest of the time until 6.30pm is available for networking.

PLEASE NOTE: Seating is limited to 40 people and therefore subject to RSVP.

Thanks to Rise Cape Town for hosting us as well as for their generous hospitality!

New sponsor and satRday

Very happy to announce that the R Consortium have sponsored the Cape R Users group. One of the asks is that we agree and adhere to the code of conduct (here) which in brief means we are agreeing to be open, respectful and considerate, which I think we already are.

r_consortium-100594113-primary-idge

The satRday is coming to Cape Town 18th of Feb, 2017. Registration is inexpensive and they are taking submissions for talks/workshops/etc. Some of you have great skills and knowledge to share, I’d really encourage you to participate. 

 

Is it Real? Or is it Random? A Financial Turing Test of the JSE

R/Finance November Meetup

Join us from 4.30pm on Thursday, 24 November at Rise Cape Town where Stuart Reid (Quantitative Strategist at NMRQL and blogger at Turing Finance) will be presenting his R implementation of the heteroscedasticity-consistent variance ratio test developed by Lo and MacKinlay in 1988 to test the Random Walk Hypothesis. Stuart will then test whether or not the variance ratio test can distinguish between random fictitious securities and those traded on the JSE. Stuart will end off with some theories which could explain the results of the test, including the controversial Stable Paretian Hypothesis presented by Benoit Mandelbrot in 1963.

Some more to whet your appetite from Stuart…”In his now legendary Turing test of the weak-form Random Walk Hypothesis esteemed professor Burton G. Malkiel had his students flip a coin and record an increase or decrease in the price of a fictitious random security. The resulting equity curve was presented to a chartist who exclaimed that it was a massive buying opportunity. To quote Nassim Taleb: “the chartist was fooled by randomness”. The problem with this test is that is doesn’t actually imply that security prices are random, it only implies that at least some chartists can’t tell the difference between what is real and what is random.”

Registration is from 4.30pm with the presentation set to begin at 5pm. The talk should last 45mins after which Stuart is willing to take some questions and the rest of the time until 6.30pm is available for networking.

PLEASE NOTE: Seating is limited to 40 people and therefore subject to RSVP.

Shiny head to head

We have a Shiny head to head planned for August 18th (Seminar Room 2, ground floor, Falmouth Building, Entrance 4 or 5, Faculty of Health Sciences Campus, Anzio Road, University of Cape Town) – come any time from 17:30, we’ll start talks at 17:45.

Corner 1: “Interactive maps with Shiny and Leaflet”by Glenn Moncrieff

Corner 2: “A Shiny future: Using R to facilitate science by beautifully disseminating data.” by Robert Schlegel

So, if you want to see how to use Shiny, plan on coming out!

Shiny: http://shiny.rstudio.com/

Gallery: http://shiny.rstudio.com/gallery/

July CapeR & R/Finance user group meeting

On 13 July (17h30 SAST),  please join us for a talk by Brian Peterson on “Trading Strategy Development in R using Quantstrat”.

Brian Peterson, currently Partner and Director of Quantitative Trading at leading market making firm DV Trading is also the maintainer, author and co-author of multiple R/Finance packages and functions including Performance Analytics and Quantstrat. He is a member of the program committee for the global R/Finance and UseR! Conferences and has publications in multiple journals including the Journal of Risk and the Journal of Statistical Software.

You can join us for beer in the UCT Club on Upper Campus, or if you really can’t make (but please try) you can join digitally via this link:

Join from PC, Mac, Linux, iOS or Android: https://zoom.us/j/423767227

RSVP’s are useful, you can do so here: http://goo.gl/forms/v02tYWnEQHOzDigM2

See you Wednesday!

Meetings, meetings, meetings (finally) and R/Finance

Oh, Hello June!

I’m super pleased to announce that there is a growing R/Finance user group in Cape Town and they are joining us to co-host some user group meetings. Specifically, the next two.

Save these dates:

Update June 9 seminar location: Seminar Room 2, Falmouth Building, Health Sciences Campus, UCT
Entrance 4 or 5, I will be close by from 5 – and will put a sign on the door. Sorry, beer place was booked. We can go after. Email if you want detailed directions..

Next week! On June 9 (17h30) on UCT campus somewhere, Dirk Eddelbuettel, who is the primary developer of the Rcpp package will speak to us about Rcpp. Rcpp is the engine that lets you integrate C/C++ with R, and anyone developing or interested in developing packages for R shouldn’t miss this opportunity.

On 13 July (17h30 SAST),  please join us for a talk by Brian Peterson on “Trading Strategy Development in R using Quantstrat”.

Brian Peterson, currently Partner and Director of Quantitative Trading at leading market making firm DV Trading is also the maintainer, author and co-author of multiple R/Finance packages and functions including Performance Analytics and Quantstrat. He is a member of the program committee for the global R/Finance and UseR! Conferences and has publications in multiple journals including the Journal of Risk and the Journal of Statistical Software.”

This will be via some technology, but special thanks to Jasen Mackie (aka R/Finance) who set this up.

 

In August, we have Glenn Moncrieff and “Creating interactive reports with Shiny”

Abstract: Shiny is a package from Rstudio (http://shiny.rstudio.com/) for building interactive web applications with R, allowing users to interact with graphs and data. We will look at the basics of building and deploying a Shiny app, and go on to look at a more advanced example where I will demo an app I am working on.  Using the leaflet package together with Shiny (https://rstudio.github.io/leaflet/shiny.html), my app allows users to view and interact with maps and perform simple geographic analyses.

Please please RSVP just so I get a sense of numbers and can book appropriate venues. Look forward to getting together again.

ps. the satRdays (which is funded by R Consortium) is coming to Cape Town in 2017 (I think). I’m not involved in organisation, but will try to keep you informed – it should be a great event and opportunity.

pps: If you are interested in statistics, the Div. of Epi & Biostats at UCT has a talk on June 14 at 12:30, by Justine Nasejje on “Random survival forests as alternative methods to Cox proportional hazards in analysing survival data”