The blog Milktrader has been on a roll recently with a series of posts with practical examples of quantitative in finance, from backtesting to automated trading, and option pricing to data acquisition. The latest post focuses on calculating returns, with an example of downloading data for a silver ETF and calculating daily returns with the dailyReturn function in the quantmod package. If you're using R for quantitative finance, Milktrader is a great blog to add to your RSS feeds.
Milktrader: Chop, Slice and Dice Your Returns in R
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Posted by: talal khan | November 30, 2012 at 14:16
A really interesting point given here. I never new what "R" was but after reading this I now know. Thanks for the blog post.
Posted by: paretofp | January 29, 2013 at 06:32