CFRM makes extensive use of the open source R language and computing environment in its instructional program and in research. We believe that R is an ideal tool for:
- Financial data modeling and analysis using existing R finance capabilities
- Rapid development and deployment of new quantitative finance methodology
- Teaching of standard and cutting-edge quantitative finance methodology
An emphasis on R computing is also made outside of the classroom with CFRM sponsorship, participation, and presence in the annual R in Finance Conference. At the most recent conferences in 2012 and 2013, CFRM Program Director Doug Martin, Co-Director Eric Zivot, and Instructor Guy Yollin made presentations.
A brief history of R
Since its introduction in the late 1990's the use of R has grown at a startling rate and R and has emerged as the de facto open source standard for statistical computing, data analysis, and graphics.
R is based on the S language developed by John Chambers at AT&T Bell Labs, with extensive contributions from Rick Becker and a number of Bell Labs colleagues focused on challenging data analysis problems and use of new statistical methodologies. Dr. Chambers received the ACM Software System award of 1998.
The support of the Statistical Research group that was located in the Bell Labs Mathematics Research Center located in Murray Hill, NJ, combined with the overall research environment at Bell Labs prior to the AT&T divestiture, provided a unique and ideal setting for the development and rapid evolution of S.
Much of the initial growth in the development and use of R can be attributed to the success of the S-PLUS product which was a commercial implementation of the S language by Statistical Sciences, Inc. (a company founded by CompFin Program Director Doug Martin).
Robert Gentleman and Ross Ihaka received the 2010 American Statistical Association Statistical Computing and Graphics Award for their work in initiating the R Project for Statistical Computing.
- For a brief overview of R, it’s history, and an introduction to R programming, see "Introduction to R" by Guy Yollin
- Further information and to download R, visit www.r-project.org