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Optimizing Market Data Analysis with R

Practitioners in the financial services industry can learn about rebalancing portfolios to both minimize risk and increase returns in a new software environment during a Thursday webinar with Yale University researchers. The Sybase-sponsored “Portfolio Rebalancing Using R and Sybase RAP for Intraday Risk Management” will focus on R, an open-source statistical programming language that is already popular with data scientists and business analysts.

The webinar will cover storing historical market data and rebalancing a portfolio using different timeframes, such as a daily or weekly basis. It will also discuss pre-processing and extracting the relevant subset of historical data for analysis within R.

Portfolio Rebalancing Using RThursday’s session dovetails with Sybase’s Tuesday announcement that its market data analytics platform Sybase RAP – The Trading Edition now supports R. The pairing enables faster algorithm development and extensive back-testing on historical data, which enhances data management and analysis for traders, risk managers and quantitative analysts.

“Intraday portfolio rebalancing can yield impressive returns even in periods of profound market volatility,” Casey King, executive director of the Yale Center of Analytical Sciences, said in a statement about the webcast. “But what is essential to these returns is a quick and efficient reaction to changing market conditions.”

King and fellow Yale researcher Michael Kane used R to crunch years’ worth of data in their market circuit breaker study, which appeared in Barron’s last August.

Click here to register for the one-hour discussion on R and how Sybase RAP can improve portfolio rebalancing and intraday risk oversight. The webinar takes place on Thursday, Nov. 10, at 11 a.m. EST.

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