R-SIG-Finance - February 2009 - Subject View

An extensive set of scaling laws...

2 msgs · Feb 4 – Feb 4

Alberto Santini An extensive set of scaling laws... Feb 4, 2009 Alberto Santini An extensive set of scaling laws... Feb 4, 2009

Appropriate model to data?

1 msg · Feb 24

Andreas Klein Appropriate model to data? Feb 24, 2009

Black Litterman portfolio optimization

5 msgs · Feb 19 – Feb 26

Reena Bansal Black Litterman portfolio optimization Feb 19, 2009 Debashis Dutta Black Litterman portfolio optimization Feb 19, 2009 Francisco Gochez Black Litterman portfolio optimization Feb 20, 2009 Alberto Santini Black Litterman portfolio optimization Feb 23, 2009 R@Nabble Black Litterman portfolio optimization Feb 26, 2009

Bloomberg chart window does not stay on the screen when working with R

1 msg · Feb 17

Marco Bianchi Bloomberg chart window does not stay on the screen when working with R Feb 17, 2009

Call for Beta Testers: R+ FIN (read R-PLUS FINANCE)

2 msgs · Feb 5 – Feb 9

Sue Turner Call for Beta Testers: R+ FIN (read R-PLUS FINANCE) Feb 5, 2009 Paul DeBruicker Call for Beta Testers: R+ FIN (read R-PLUS FINANCE) Feb 9, 2009

Capacity of fPortfolio

1 msg · Feb 4

Andy Zhu Capacity of fPortfolio Feb 4, 2009

Checking fit of data against student t distribution

3 msgs · Feb 17 – Feb 17

Reena Bansal Checking fit of data against student t distribution Feb 17, 2009 Carlos J. Gil Bellosta Checking fit of data against student t distribution Feb 17, 2009 Matthew Clegg Checking fit of data against student t distribution Feb 17, 2009

Conponent VaR for some option portfolio

2 msgs · Feb 2 – Feb 2

Brian G. Peterson Conponent VaR for some option portfolio Feb 2, 2009 Megh Dal Conponent VaR for some option portfolio Feb 2, 2009

Course - March/April R / Splus course in New York City *** by XLSolutions Corp

2 msgs · Feb 24 – Feb 24

Sue Turner Course - March/April ** R / Splus ** course in New York City *** by XLSolutions Corp Feb 24, 2009 Dirk Eddelbuettel Course - March/April ** R / Splus ** course in New York City *** by XLSolutions Corp Feb 24, 2009

DLM and matrices with 0 eigenvalues

2 msgs · Feb 19 – Feb 19

Rebecca Sela DLM and matrices with 0 eigenvalues Feb 19, 2009 Giovanni Petris DLM and matrices with 0 eigenvalues Feb 19, 2009

Data-set for Hamilton Time Series analysis.

4 msgs · Feb 17 – Feb 17

Christofer Bogaso Data-set for Hamilton Time Series analysis. Feb 17, 2009 Matthieu Stigler Data-set for Hamilton Time Series analysis. Feb 17, 2009 Christofer Bogaso Data-set for Hamilton Time Series analysis. Feb 17, 2009 Jeff Ryan Data-set for Hamilton Time Series analysis. Feb 17, 2009

Efficient Kalman Filter

1 msg · Feb 17

Shimrit Abraham Efficient Kalman Filter Feb 17, 2009

Function finding optimal lag length in ADL model using AIC?

1 msg · Jan 31

Markus Wråke Function finding optimal lag length in ADL model using AIC? Jan 31, 2009

Generating Data for Portfolio Simulation

2 msgs · Feb 17 – Feb 17

Tom Smythe Generating Data for Portfolio Simulation Feb 17, 2009 Rowe, Brian Lee Yung (Portfolio Analytics) Generating Data for Portfolio Simulation Feb 17, 2009

Help needed on Time Zone

2 msgs · Feb 25 – Feb 25

Yu, Wang Help needed on Time Zone Feb 25, 2009 Jeff Ryan Help needed on Time Zone Feb 25, 2009

Help with optimization

2 msgs · Feb 10 – Feb 11

Eduard Pieterse (Macquarie Securities) Help with optimization Feb 10, 2009 Rory Winston Help with optimization Feb 11, 2009

How should I use NeweyWest and vcovHAC in coeftest function?

1 msg · Feb 4

Markus Wråke How should I use NeweyWest and vcovHAC in coeftest function? Feb 4, 2009

How to fit GARCH(1, 1) with targeted unconditional variance?

1 msg · Feb 15

Unixunix99@gmail.com How to fit GARCH(1, 1) with targeted unconditional variance? Feb 15, 2009

London useR group

1 msg · Feb 24

Francisco Gochez London useR group Feb 24, 2009

Newey-West Long-run variance

3 msgs · Feb 22 – Feb 24

Jose Iparraguirre D'Elia Newey-West Long-run variance Feb 22, 2009 Matthieu Stigler Newey-West Long-run variance Feb 22, 2009 Jose Iparraguirre D'Elia Newey-West Long-run variance Feb 24, 2009

Package Update: TTR_0.2 now on CRAN

1 msg · Feb 15

Joshua Ulrich Package Update: TTR_0.2 now on CRAN Feb 15, 2009

Panel Data Unit Root tests

3 msgs · Feb 2 – Feb 3

Jose Iparraguirre D'Elia Panel Data Unit Root tests Feb 2, 2009 Adams, Zeno Panel Data Unit Root tests Feb 3, 2009 Adams, Zeno Panel Data Unit Root tests Feb 3, 2009

Plot TS-matrix as a surface

7 msgs · Feb 26 – Feb 27

R@Nabble Plot TS-matrix as a surface Feb 26, 2009 Adams, Zeno Plot TS-matrix as a surface Feb 26, 2009 Enrico Schumann Plot TS-matrix as a surface Feb 26, 2009 R@Nabble Plot TS-matrix as a surface Feb 26, 2009 Jeff Ryan Plot TS-matrix as a surface Feb 26, 2009 Paul Gilbert Plot TS-matrix as a surface Feb 26, 2009 R@Nabble Plot TS-matrix as a surface Feb 27, 2009

Problem with RBloomberg (not the usual one)

2 msgs · Feb 27 – Feb 27

Sergey Goriatchev Problem with RBloomberg (not the usual one) Feb 27, 2009 Sergey Goriatchev Problem with RBloomberg (not the usual one) Feb 27, 2009

Question about RSI command in the TTR package

2 msgs · Feb 28 – Feb 28

benn fine Question about RSI command in the TTR package Feb 28, 2009 Joshua Ulrich Question about RSI command in the TTR package Feb 28, 2009

Question on multiple sessions...

12 msgs · Feb 11 – Feb 12

R package update problem at Company's PC

4 msgs · Feb 12 – Feb 13

ning zhang R package update problem at Company's PC Feb 12, 2009 Joshua Ulrich R package update problem at Company's PC Feb 12, 2009 Andy Zhu R package update problem at Company's PC Feb 13, 2009 Dirk Eddelbuettel R package update problem at Company's PC Feb 13, 2009

R/Finance 2009: Applied Finance with R -- Registration now open

2 msgs · Feb 23 – Feb 24

Dirk Eddelbuettel R/Finance 2009: Applied Finance with R -- Registration now open Feb 23, 2009 Al R/Finance 2009: Applied Finance with R -- Registration now open Feb 24, 2009

R/Rmetrics Workshop: Computational Finance and Financial Engineering

1 msg · Feb 23

Diethelm Wuertz R/Rmetrics Workshop: Computational Finance and Financial Engineering Feb 23, 2009

RBloomberg Date

2 msgs · Feb 26 – Feb 26

John Hawver RBloomberg Date Feb 26, 2009 Paul DeBruicker RBloomberg Date Feb 26, 2009

RDCOMClient install package problem

3 msgs · Feb 26 – Feb 26

John Hawver RDCOMClient install package problem Feb 26, 2009 Cedrick Johnson RDCOMClient install package problem Feb 26, 2009 John Hawver RDCOMClient install package problem Feb 26, 2009

RNG from skewed Normal distribution

3 msgs · Feb 4 – Feb 6

Zanella Marco RNG from skewed Normal distribution Feb 4, 2009 Megh Dal RNG from skewed Normal distribution Feb 4, 2009 Krishna Kumar RNG from skewed Normal distribution Feb 6, 2009

Rbloomberg problem "Seems like this is not a Bloomberg Workstation"

3 msgs · Feb 3 – Feb 9

Voss, Kent Rbloomberg problem "Seems like this is not a Bloomberg Workstation" Feb 3, 2009 Paul DeBruicker Rbloomberg problem "Seems like this is not a Bloomberg Workstation" Feb 9, 2009 Voss, Kent Rbloomberg problem "Seems like this is not a Bloomberg Workstation" Feb 9, 2009

Spread Libor-Fed Fund Rate: ARIMA(1,1,1)

1 msg · Feb 10

Andreas Klein Spread Libor-Fed Fund Rate: ARIMA(1,1,1) Feb 10, 2009

Standard Errors for VAR(p) Estimation with dse1

1 msg · Feb 8

Andreas Klein Standard Errors for VAR(p) Estimation with dse1 Feb 8, 2009

TAR Models and predictive residuals (Tsay, 1989)

2 msgs · Feb 19 – Feb 19

Andreas Klein TAR Models and predictive residuals (Tsay, 1989) Feb 19, 2009 Matthieu Stigler TAR Models and predictive residuals (Tsay, 1989) Feb 19, 2009

Tracing gradient during optimization

3 msgs · Feb 24 – Feb 24

Shimrit Abraham Tracing gradient during optimization Feb 24, 2009 Dirk Eddelbuettel Tracing gradient during optimization Feb 24, 2009 Rob Steele Tracing gradient during optimization Feb 24, 2009

Using dummy variables R

3 msgs · Feb 12 – Feb 13

P vanzweden Using dummy variables R Feb 12, 2009 Mark Leeds Using dummy variables R Feb 12, 2009 Patrick Burns Using dummy variables R Feb 13, 2009

Yield Curve

3 msgs · Feb 4 – Feb 4

Joe W. Byers Yield Curve Feb 4, 2009 Micha Keijzers Yield Curve Feb 4, 2009 Robert Sams Yield Curve Feb 4, 2009

adding p&l streams

2 msgs · Feb 9 – Feb 9

brian meehan adding p&l streams Feb 9, 2009 Joshua Ulrich adding p&l streams Feb 9, 2009

convert coordinate system to percentage

2 msgs · Feb 27 – Feb 28

Yana Roth convert coordinate system to percentage Feb 27, 2009 Enrico Schumann convert coordinate system to percentage Feb 28, 2009

dummy variables in regression

1 msg · Feb 12

Mark Leeds dummy variables in regression Feb 12, 2009

efficient sandwich matrix multiplication and determinant

4 msgs · Feb 16 – Feb 17

Shimrit Abraham efficient sandwich matrix multiplication and determinant Feb 16, 2009 Brian G. Peterson efficient sandwich matrix multiplication and determinant Feb 16, 2009 rkevinburton at charter.net efficient sandwich matrix multiplication and determinant Feb 17, 2009 Shimrit Abraham efficient sandwich matrix multiplication and determinant Feb 17, 2009

get data in quantmod

3 msgs · Feb 25 – Feb 25

BearXu get data in quantmod Feb 25, 2009 Rowe, Brian Lee Yung (Portfolio Analytics) get data in quantmod Feb 25, 2009 Jeff Ryan get data in quantmod Feb 25, 2009

implement quasi-bayesian maximum likelihood estimation for normal mixtures