Embedding R in Windows applications, and executing R remotely
Embedding R in Windows applications, and executing R remotely
Embedding R in Windows applications, and executing R remotely
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useR! – at an <strong>in</strong>vestment bank?<br />
Bernhard Pfaff ∗<br />
Frankfurt, January 29, 2004<br />
Abstract<br />
This paper describes the dem<strong>and</strong>s placed on the statistical <strong>and</strong>/or<br />
econometric software utilised by an <strong>in</strong>vestment bank. It outl<strong>in</strong>es the<br />
reasons <strong>and</strong> considerations for choos<strong>in</strong>g R <strong>in</strong>stead of alternative programs/programm<strong>in</strong>g<br />
environments as the statistical software environment<br />
at Dresdner Kle<strong>in</strong>wort Wasserste<strong>in</strong> (henceforth referred to as DrKW).<br />
The features of a typical workflow process as well as examples of f<strong>in</strong>ancial<br />
econometric models <strong>and</strong> their implementation are also discussed. The<br />
experiences <strong>and</strong> <strong>in</strong>sights described <strong>in</strong> this paper have been ga<strong>in</strong>ed from<br />
day-to-day usage of R s<strong>in</strong>ce mid-2002.<br />
Introduction<br />
S<strong>in</strong>ce the beg<strong>in</strong>n<strong>in</strong>g of the 90s not only academic <strong>in</strong>terest <strong>in</strong> econometric<br />
modell<strong>in</strong>g of f<strong>in</strong>ancial markets has <strong>in</strong>creased but also <strong>in</strong> todays f<strong>in</strong>ancial<br />
<strong>in</strong>dustry the role <strong>and</strong> necessity of quantitative research econ<br />
Pecularities<br />
Econometric Modell<strong>in</strong>g<br />
Conclusion<br />
∗ The views expressed <strong>in</strong> the paper are the author’s own <strong>and</strong> do not necessarily reflect those<br />
of Dresdner Kle<strong>in</strong>wort Wasserste<strong>in</strong> or any associated legal entity. This note was prepared<br />
for: “useR! 2004 – The R User Conference”, May 20-22, 2004, Vienna, Austria. Adress<br />
correspondence to: Bernhard Pfaff, Dresdner Kle<strong>in</strong>wort Wasserste<strong>in</strong>, Corporates & Markets,<br />
Capital Markets, Global Research, Theodor–Heuss–Allee 44–46, 60301 Frankfurt am Ma<strong>in</strong>,<br />
Germany, email: bernhard.pfaff@drkw.com