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R for research in finance

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Jérémy Morvan
Jérémy Morvan

Introduction of the software R to do research in finance and social sciences (statistical computing and graphics...)

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Jérémy Morvan Assistant professor Université de Bretagne Occidentale jeremy.morvan@univ-brest.fr 1
Assistant professor in finance in a French university Main research topics  Performance of SRI funds  Covered bonds  Financial crises Université de Bretagne Occidentale is here, at Brest ! 2
R is an open source software for statistical computing and graphics R provides a large variety of statistical and graphical techniques, and is very extensible R is increasingly used by researchers and data analysts The R community can help you if necessary 3
R comes with a standard set of packages  The capabilities of R are extended through packages,  Packages are collections of functions and data (to try the new functions) which allow more statistical techniques, and graphical devices  +10,000 additional packages (in 2017) are available for download  Once installed, packages have to be loaded into the session to be used. 4
Task Views are guides on CRAN that group sets of R packages and functions by type of analysis, fields, or methodologies  Econometrics  Finance  Genetics  Biology  Psychology  … 5
RStudio is a free and open-source integrated development environment (IDE) for R RStudio makes R easier to use, especially if you are a beginner RStudio limits the number of column to 100 RStudio has a channel on Youtube 6
7R without RStudio
Dataviewer Source editor for writing script 8 Code editor Workspace (data, values…) Pane for plots Package management Help R with RStudio
 You must perform the same analysis several times ?  But you are a little lazy or you like to optimize…  A script is a a text file (.txt) containing all your commands that you would enter on the command line one by one  You can write a script with  MS Notepad  A better solution is Notepad++ 9
Many references are available online, free of charge  CRAN web site, where you can download R and packages  Video-sharing website where skilled users show the capabilities of R  R-bloggers is blog aggregator of content contributed by users who write about R  All packages are (very well) described  Example : reference manual of the package fBasics here 10
 A task view is dedicated to finance  It contains a list of packages useful for empirical research in finance 11
 Many books are available, especially in social sciences 12 A must-read book !
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R for research in finance

  • 1. Jérémy Morvan Assistant professor Université de Bretagne Occidentale jeremy.morvan@univ-brest.fr 1
  • 2. Assistant professor in finance in a French university Main research topics  Performance of SRI funds  Covered bonds  Financial crises Université de Bretagne Occidentale is here, at Brest ! 2
  • 3. R is an open source software for statistical computing and graphics R provides a large variety of statistical and graphical techniques, and is very extensible R is increasingly used by researchers and data analysts The R community can help you if necessary 3
  • 4. R comes with a standard set of packages  The capabilities of R are extended through packages,  Packages are collections of functions and data (to try the new functions) which allow more statistical techniques, and graphical devices  +10,000 additional packages (in 2017) are available for download  Once installed, packages have to be loaded into the session to be used. 4
  • 5. Task Views are guides on CRAN that group sets of R packages and functions by type of analysis, fields, or methodologies  Econometrics  Finance  Genetics  Biology  Psychology  … 5
  • 6. RStudio is a free and open-source integrated development environment (IDE) for R RStudio makes R easier to use, especially if you are a beginner RStudio limits the number of column to 100 RStudio has a channel on Youtube 6
  • 8. Dataviewer Source editor for writing script 8 Code editor Workspace (data, values…) Pane for plots Package management Help R with RStudio
  • 9.  You must perform the same analysis several times ?  But you are a little lazy or you like to optimize…  A script is a a text file (.txt) containing all your commands that you would enter on the command line one by one  You can write a script with  MS Notepad  A better solution is Notepad++ 9
  • 10. Many references are available online, free of charge  CRAN web site, where you can download R and packages  Video-sharing website where skilled users show the capabilities of R  R-bloggers is blog aggregator of content contributed by users who write about R  All packages are (very well) described  Example : reference manual of the package fBasics here 10
  • 11.  A task view is dedicated to finance  It contains a list of packages useful for empirical research in finance 11
  • 12.  Many books are available, especially in social sciences 12 A must-read book !
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