Specialties

Programming in R/S-Plus, SQL, bash scripting, some Fortran and C; process automation and integration across applications; statistical analysis; advanced estimation techniques.

R Packages

Author/co-author of five R packages:

  1. TTR - Technical Trading Rules - a suite of technical analysis functions
  2. opentick - an R API to the opentick databases
  3. xts - eXtensible Time Series - a time-based data class that integrates all of the current time-series classes (co-authored with Jeff Ryan)
  4. pack - convert binary to/from formats other programs and machines can understand
  5. LSPM - an R-based implementation of Ralph Vince's Leverage Space Portfolio Model (co-authored with Soren Macbeth)

Code

Blogs

Presentations