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useR! – at an investment bank?

Source: www.ci.tuwien.ac.at
Topic: Bank Investment

Sort Desciption: at an investment bank? Bernhard Pfaff. ∗. Frankfurt, January 29, 2004. Abstract ... econometric software utilised by an investment bank. It outlines the ...

Content Inside: useR! – at an investment bank? Bernhard Pfaff ∗ Frankfurt, January 29, 2004 Abstract This paper describes the demands placed on the statistical and/or econometric software utilised by an investment bank. It outlines the reasons and considerations for choosing R instead of alternative pro- grams/programming environments as the statistical software environment at Dresdner Kleinwort Wasserstein (henceforth referred to as DrKW). The features of a typical workflow process as well as examples of finan- cial econometric models and their implementation are also discussed. The experiences and insights described in this paper have been gained from day-to-day usage of R since mid-2002. Introduction Since the beginning of the 90s not only academic interest in econometric modelling of financial markets has increased but also in todays financial industry the role and necessity of quantitative research econ Pecularities Econometric Modelling Conclusion ∗ The views expressed in the paper are the author’s own and do not necessarily reflect those of Dresdner Kleinwort Wasserstein or any associated legal entity. This note was prepared for: “useR! 2004 – The R User Conference”, May 20-22, 2004, Vienna, Austria. Adress correspondence to: Bernhard Pfaff, Dresdner Kleinwort Wasserstein, Corporates & Markets, Capital Markets, Global Research, Theodor–Heuss–Allee 44–46, 60301 Frankfurt am Main, Germany, email: bernhard.pfaff@drkw.com

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