Quantitative Finance

Statistical Computing in R

Heuristic Optimization

Portfolio Probe

Portfolio Probe, an R package that performs portfolio optimization and more importantly generates random portfolios.  The term ”random portfolio” means a portfolio that obeys the constraints but pays no attention to the utility measure.

Portfolio analysis in practice

Portfolio Probe is a software platform built to apply rigorous statistical methods to real-world portfolio analysis. It supports the evaluation of investment strategies through a structured approach to risk, return, and performance attribution. By combining probabilistic modeling with practical tools, it enables a clearer understanding of how portfolios behave under different conditions and assumptions.Your Content Goes Here

A framework for informed decisions

Portfolio Probe supports portfolio decisions through a structured, statistical approach to allocation, risk, and uncertainty. It enables continuous evaluation as conditions change, bringing clarity and consistency to the investment process.

About Burns statistics

Specialties include:

  • Programming in the R language
  • Statistics, including quantitative finance
  • Solving difficult problems via heuristic optimization (genetic algorithms and simulated annealing).

Consulting

At Burns statistics we have well over a decade of experience as a statistical consultant mostly in the financial and medical industries. Previous assignments have included analysis of equity data with R, building GARCH modules in S, tutoring S and statistics, automated trading, risk management, and evaluating the efficacy of medical devices.

Software development

We have years of experience developing f S-PLUS in its early years. Tasks have included adding functionality (such as principal components and robust estimation in several settings), finding and fixing bugs, and documentation.

Essential reading

By Patrick Burns

S Poetry

The definitive guide to the soul of the S language and its transition into R.

The R Inferno

Navigating the hidden pitfalls and logical circles of the R programming environment.

Tao Te Programming

A philosophical exploration of the craftsmanship behind high-
stakes quantitative code.

Blog

Recent explorations in finance, statistics, and the peculiar intricacies of computing.