Quantitative Finance

Statistical Computing in R

Heuristic Optimization

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

Pat has worked, mainly in finance, for over thirty years both as a consultant and an employee. We are currently not in the market for new consulting jobs.

Software development

Pat was a lead developer of S-PLUS, the precursor to the R language, in its early years. His tasks included adding functionality (such as principal components and robust estimation in several settings), finding and fixing bugs, and documentation. He has been a user of R for over 25 years.

Essential reading

By Patrick Burns

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.

Additional reading

S Poetry

An earlier publication exploring the transition from S to R. Included for readers interested in the language’s history.

Blog

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

  • jun 25, 26

    R database interfaces

    Several packages on CRAN provide (or relate to) interfaces between databases and R.  Here is a summary, mostly in the words of the package descriptions.  Remember that package names are [...]

  • jun 25, 26

    Bricks not monoliths

    Chapter 32 of Tao Te Programming advises you to make bricks instead of monoliths.  Here is an example. The example is written with the syntax of R and is a [...]

  • jun 25, 26

    The three-dots construct in R

    There is a mechanism that allows variability in the arguments given to R functions.  Technically it is ellipsis, but more commonly called ”…”, dots, dot-dot-dot or three-dots. Basics The three-dots [...]