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Convert Dowd's Code

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peterccarl edited this page Mar 19, 2015 · 1 revision

GSOC 2015 - Convert Kevin Dowd's Matlab code

Summary: Convert Kevin Dowd's Matlab code from 'Measuring Market Risk'.

Description: Kevin Dowd is the author of 'Measuring Market Risk', a well-regarded and widely used book covering important topics in risk measurement that is in it's second edition. He is currently a Professor of Finance and Economics at Durham University Business School and a partner in Cobden Partners based in London.

This project endeavors to convert that code to R to make it more widely assessible. We see developing a complementary package for students and readers, at first. Beyond the initial conversion, we would expect to functionalize key aspects of that code and consider including functions in PerformanceAnalytics, an R package that provides a collection of econometric functions for performance and risk analysis.

Potential tasks:

  • Replicate the functionality provided in the Matlab code distributed alongside the book in R.
  • Document and package the functions for distribution.
  • Propose and create functionality to complement or extend the PerformanceAnalytics package from themes explored in the book and code.

Skills required:

Applicants should have:

  • A strong interest in finance, such as a graduate student interested in portfolio-risk-related research

  • At least some experience using or developing in R, and comfort with tools such as svn, Roxygen2, LaTeX (for equations in particular), and familiarity with base graphics. See "How to Contribute to Performance Analytics" for more details

  • Those with demonstrable experience with finance-related packages will be preferred.

  • The ability to read Matlab and Python code will also be helpful.

Test:

A successful applicant will:

  • Discuss the list of proposed functionality and associated visualization for inclusion in PerformanceAnalytics or other relevant packages based on the literature cited here.

  • Develop a specific plan with a timeline for development, documentation (consider adding a vignette as well), and testing the functionality.

  • Provide a complete code example of a function with documentation that could be used in the package PerformanceAnalytics (exceptional examples will be considered for inclusion in the package and their author given full credit for the contribution). The example does not need to pertain to the subject of this project, but should demonstrate your coding ability and familiarity with the tools used in developing PerformanceAnalytics.

  • Clearly identify any other committments or possible conflicts for their time during the coming summer.

Mentors:

  • Peter Carl ([@](mailto:peter {at} braverock {dot} com)) is one of the primary authors of these related packages, and has previously mentored several GSOC projects. He is a primary author of the PerformanceAnalytics package.

  • Brian Peterson ([@](mailto:brian {at} braverock {dot} com)) is one of the primary authors of these packages, has previously mentored several GSoC projects. He is a primary author of the PerformanceAnalytics package.

References:

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