KCM Publications

Articles

• Kane, David, "Open Source Finance" (November 2006). Available at SSRN and forthcoming (with Joe Masters) from The Journal of Investing.
• J. Enos and D. Kane. Analysing equity portfolios in R. R News, 6(2):13-19, May 2006.
  Note: this article appeared in the R newsletter, the full issue of which can be found here. The article contains discussion of some software features that have been moved into a different package, portfolioSim. An updated version of this document that is consistent with the software's latest release can be found in the portfolio vignettes section below, under Using the portfolio package.
• K. Campbell, J. Enos, D. Gerlanc, and D. Kane. Backtests. R News, 7(1):36-41, April 2007. Full issue can be found here.
• J. Enos, D. Kane, A. Narayan, A. Schwartz, D. Suo, and L. Zhao. Trade Costs. R News, 8(1):10-13, May 2008. Full issue can be found here.
• Kevin Bartz and David Kane, "Matching Portfolios" (May 2008). Paper available at SSRN. R package available here.

Software

Below are three finance-related packages available on CRAN the Comprehensive R Archive Network, a repository of free software packages written in R. For each package please see its summary page and additional instructional documents, or vignettes.

• portfolio: Classes for analysing and implementing equity portfolios. The portfolio package provides a simple portfolio representation in R, and handles cross-sectional portfolio calculations such as exposures and single-period performance and contribution.
  • Matching portfolios
  • Using the portfolio package
  • Using the tradelist class
• portfolioSim: Classes that serve as a framework for designing equity portfolio simulations. The portfolioSim package builds upon the portfolio package to provide portfolio timeseries analysis.
  • Performing equity investment simulations with the portfolioSim package
• backtest: The backtest package provides facilities for exploring portfolio-based conjectures about financial instruments (stocks, bonds, swaps, options, et cetera). It is separate from and simpler than portfolio and portfolioSim, providing traditional spread style analysis.
  • Using the backtest package.

Other

• Comment to the SEC on executive compensation.
• David Kane taught ECON 18: Quantitative Equity Analysis at Williams College during January, 2009.
• KCM Track Record
• August 2007 Report
• Keynote speech at R/Finance 2009: Applied Finance with R.

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