[R] R in Industry

[Patrick Burns]

 From what I know Matlab is much more popular in
fixed income than R, but R is vastly more popular in
equities.  R seems to be making quite a lot of headway
in finance, even in fixed income to some degree.

At least to some extent, this is probably logical behavior --
fixed income is more mathematical, and equities is more
statistical.

Matlab is easier to learn mainly because it has much simpler
data structures.  However, once you are doing something
where a complex data structure is natural, then R is going to
be easier to use and you are likely to have a more complete
implementation of what you want.

If speed becomes a limiting factor, then moving the heavy
computing to C is a natural thing to do, and very easy with R.

Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Albrecht, Dr. Stefan (AZ Private Equity Partner) wrote:

>Dear all,
> 
>I was reading with great interest your comments about the use of R in
>the industry. Personally, I use R as scripting language in the financial
>industry, not so much for its statistical capabilities (which are
>great), but more for programming. I once switched from S-Plus to R,
>because I liked R more, it had a better and easier to use documentation
>and it is faster (especially with loops).
> 
>Now some colleagues of mine are (finally) eager to join me in my
>quantitative efforts, but they feel that they are more at ease with
>Matlab. I can understand this. Matlab has a real IDE with symbolic
>debugger, integrated editor and profiling, etc. The help files are
>great, very comprehensive and coherent. It also could be easier to
>learn.
> 
>And, I was very astonished to realise, Matlab is very, very much faster
>with simple "for" loops, which would speed up simulations considerably.
>So I have trouble to argue for a use of R (which I like) instead of
>Matlab. The price of Matlab is high, but certainly not prohibitive. R is
>great and free, but maybe less comfortable to use than Matlab.
> 
>Finally, after all, I have the impression that in many job offerings in
>the financial industry R is much less often mentioned than Matlab.
> 
>I would very much appreciate any comments on my above remarks. I know
>there has been some discussions of R vs. Matlab on R-help, but these
>could be somewhat out-dated, since both languages are evolving quite
>quickly.
> 
>With many thanks and best regards,
>Stefan Albrecht
> 
> 
>
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