Brian Rowe

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🌍 Unlocking Climate Adaptation and Resilience with CADP: Your Path to Impactful…

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Experience & Education

  • Yeshiva University

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Publications

  • fractal rock (R)

    Open Source Software

    FractalRock is a simple library for simulating asset prices using a fractal generation process.

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  • lambda.r (R)

    Open Source Software

    Provides a syntax for writing functional programs in R. Lambda.R has a clean syntax for defining multi-part functions with optional guard statements. Simple pattern matching is also supported. Types can be easily defined and instantiated using the same functional notation. Type checking is integrated and optional, giving the programmer complete flexibility over their application or package.

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  • Modeling Data With Functional Programming In R

    Chapman & Hall

    This book is about designing and reasoning about computational systems in a data-driven world. The first part develops a mathematical theory and formalism around R/lambda.r and how this simplifies the modeling of numerical and statistical algorithms. The second part discusses the architecture of such systems from a data perspective. Examples span finance, NLP, and web analytics using R (including my new language extension lambda.r). To be published in 2014

  • tawny (R)

    Open Source Software

    Tawny is an R package for studying various covariance matrix estimation and correlation matrix filtering methods applied to asset returns. The filtering techniques included in the package are random matrix theory and shrinkage estimation. In addition to the filtering methods, also included in the package is a simple portfolio optimizer and functions to measure the effectiveness of the methods, including an implementation of the Kullback-Leibler divergence function.

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