Featured post

Fixed Income Trading: New venues

A simple question came up recently in a conversation – how many new Fixed Income trading venues are there?  I could not think of anywhere th...

Tuesday, 27 January 2015

Excel to R?

For a small project I have been dusting off my knowledge of linking S to Excel.  The paid-for options include:
I decided to download and evaluate some free and open source versions:
[For anyone not used to this, at a high level S is the original version of a mathematical software language and S+ and R are fairly compatible children that have been extended in different ways.  Reality is more complex, but that'll do for an introduction.  By way of analogy, think of Ubuntu and CentOS as children of GNU/Linux]

The R Studio Shiny product also looks interesting and if I get time I'll cover it in a future post.  From a very brief examination it has the feel of a cross between node.js and R.  The Journal of Statistical Software has a good paper on graphical user interfaces for R here

When I started to write this post I was just going to perform an overview of the different free and open source user interfaces for R.  During that time the news was announced at Microsoft is to acquire Revolution Analytics (Revolution press release and Microsoft press release).  That seems like a smart move for Microsoft - the limitations of Excel in processing large data sets have been greatly reduced with:
But, there is still the problem that Excel is not greatly loved by any quantitative analysts I know or have worked with.  I perceive a few reasons for this:
  • Some quants are not up to date with the capabilities that recent versions of Excel have added
  • Quants are not the target audience for Microsoft Excel
  • Quants need a more specialised tool with greater flexibility
  • Excel VBA has not adapted and changed much since 1999 - we've covered this before here
In the past I have used Excel as a system integration tool and presentational layer on top of S+.  There are a number of resources available to assist:
I have not yet tested all of these, will update this post or create new posts over time as and when I get the time to do that.


No comments:

Post a Comment