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R-SIG-Finance May 2009

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TTR Stochastics function - internal smoothing
1 msg
quantmod getSymbols
3 msgs
Khanh Nguyen quantmod getSymbols May 29, 2009
Spencer Graves quantmod getSymbols May 29, 2009
Jeff Ryan quantmod getSymbols May 30, 2009
periodReturn() does not work anymore except for period="daily".
3 msgs
Dodzi Attimu periodReturn() does not work anymore except for period="daily". May 30, 2009
Spencer Graves periodReturn() does not work anymore except for period="daily". May 30, 2009
Jeff Ryan periodReturn() does not work anymore except for period="daily". May 30, 2009
fArma- Prediction for ARFIMA not yet implemented?
2 msgs
Valentin Dimitrov fArma- Prediction for ARFIMA not yet implemented? May 28, 2009
Dirk Eddelbuettel fArma- Prediction for ARFIMA not yet implemented? May 28, 2009
xts and TTR problems
2 msgs
B Kim xts and TTR problems May 27, 2009
Joshua Ulrich xts and TTR problems May 28, 2009
R training in London (and a talk)
1 msg
Patrick Burns R training in London (and a talk) May 28, 2009
fPortfolio - Maximum Return Portfolio
5 msgs
Yaakov Moser fPortfolio - Maximum Return Portfolio May 26, 2009
Diethelm Wuertz fPortfolio - Maximum Return Portfolio May 26, 2009
Diethelm Wuertz fPortfolio - Maximum Return Portfolio May 27, 2009
Yaakov Moser fPortfolio - Maximum Return Portfolio May 27, 2009
Diethelm Wuertz fPortfolio - Maximum Return Portfolio May 27, 2009
Rglpk_solve_LP
2 msgs
Subhrangshu Nandi Rglpk_solve_LP May 26, 2009
Guy Yollin Rglpk_solve_LP May 27, 2009
quantmod chart parameters
1 msg
Mahesh Krishnan quantmod chart parameters May 25, 2009
Rquantlib discount curve
4 msgs
Martin.Prins at ingim.com Rquantlib discount curve May 25, 2009
Brian G. Peterson Rquantlib discount curve May 25, 2009
Cedrick Johnson Rquantlib discount curve May 25, 2009
Khanh Nguyen Rquantlib discount curve May 25, 2009
intraday data for VIX?
13 msgs
Michael intraday data for VIX? May 22, 2009
Cedrick Johnson intraday data for VIX? May 23, 2009
Charles Evans RBloomberg (was Re: intraday data for VIX?) May 23, 2009
Cedrick Johnson RBloomberg (was Re: intraday data for VIX?) May 23, 2009
Michael intraday data for VIX? May 23, 2009
Spencer Graves intraday data for VIX? May 24, 2009
Cedrick Johnson intraday data for VIX? May 24, 2009
Spencer Graves intraday data for VIX? May 24, 2009
gug intraday data for VIX? May 24, 2009
Spencer Graves intraday data for VIX? May 24, 2009
Charles Evans intraday data for VIX? May 24, 2009
gug intraday data for VIX? May 24, 2009
Cedrick Johnson RBloomberg WAS: [R-sig-finance] intraday data for VIX? May 25, 2009
why does interpolation in high frequency time series create spurious correlation?
2 msgs
Michael why does interpolation in high frequency time series create spurious correlation? May 22, 2009
stefano iacus why does interpolation in high frequency time series create spurious correlation? May 24, 2009
portfolio rebalancing
2 msgs
Fuchs Ira portfolio rebalancing May 21, 2009
Spencer Graves portfolio rebalancing May 23, 2009
time series question
1 msg
Mark Leeds time series question May 23, 2009
time series question
2 msgs
Mark Leeds time series question May 23, 2009
Spencer Graves time series question May 23, 2009
time series question
4 msgs
Mark Leeds time series question May 22, 2009
Spencer Graves time series question May 22, 2009
Ajay Shah time series question May 23, 2009
Spencer Graves time series question May 23, 2009
legend in quantmod
1 msg
babel at centrum.sk legend in quantmod May 23, 2009
Thoughts for "Michael" (was "high frequency")
1 msg
Steve Wisdom Thoughts for "Michael" (was "high frequency") May 22, 2009
Preprocessing RData file (data.table and ff, bigmemory)
2 msgs
Jose Iparraguirre D'Elia Preprocessing RData file (data.table and ff, bigmemory) May 22, 2009
Carlos J. Gil Bellosta Preprocessing RData file (data.table and ff, bigmemory) May 22, 2009
high frequency data analysis in R
24 msgs
Michael high frequency data analysis in R May 21, 2009
Jeff Ryan high frequency data analysis in R May 21, 2009
Michael high frequency data analysis in R May 21, 2009
Michael high frequency data analysis in R May 21, 2009
Liviu Andronic high frequency data analysis in R May 21, 2009
Hae Kyung Im high frequency data analysis in R May 21, 2009
Michael high frequency data analysis in R May 21, 2009
Michael high frequency data analysis in R May 21, 2009
Jeff Ryan high frequency data analysis in R May 21, 2009
Hae Kyung Im high frequency data analysis in R May 21, 2009
Hae Kyung Im high frequency data analysis in R May 21, 2009
Jeff Ryan high frequency data analysis in R May 21, 2009
Dirk Eddelbuettel Kdb (Was: high frequency data analysis in R) May 21, 2009
Eugene Tyurin high frequency data analysis in R May 21, 2009
Rowe, Brian Lee Yung (Portfolio Analytics) Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) May 21, 2009
Jeff Ryan Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) May 21, 2009
Rowe, Brian Lee Yung (Portfolio Analytics) Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) May 21, 2009
Shane Conway high frequency data analysis in R May 21, 2009
Jeff Ryan Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) May 21, 2009
Jeff Ryan Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) May 21, 2009
Michael high frequency data analysis in R May 21, 2009
Whit Armstrong Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) May 21, 2009
Steve Jaffe Preprocessing RData file (data.table and ff, bigmemory) May 22, 2009
Jeff Ryan Preprocessing RData file (data.table and ff, bigmemory) May 22, 2009
high frequency data analysis in R
1 msg
Dale W.R. Rosenthal high frequency data analysis in R May 22, 2009
hands-on model selection and statistical data analysis books in R?
1 msg
Michael hands-on model selection and statistical data analysis books in R? May 21, 2009
high frequency data analysis in R
3 msgs
Mark Leeds high frequency data analysis in R May 21, 2009
Michael high frequency data analysis in R May 21, 2009
Neil Tiffin high frequency data analysis in R May 21, 2009
Newbie question on risk free Interest Rate
1 msg
Christofer Bogaso Newbie question on risk free Interest Rate May 21, 2009
high frequency data analysis in R
2 msgs
Mark Leeds high frequency data analysis in R May 21, 2009
Michael high frequency data analysis in R May 21, 2009
Financial time series data mining in R
4 msgs
Reena Bansal Financial time series data mining in R May 21, 2009
Patrick Burns Financial time series data mining in R May 21, 2009
Jeff Ryan Financial time series data mining in R May 21, 2009
Reena Bansal Financial time series data mining in R May 21, 2009
R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18]
4 msgs
Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 19, 2009
Robert Iquiapaza R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 20, 2009
Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 20, 2009
Robert Iquiapaza R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 20, 2009
getSymbols in quantmod
2 msgs
babel at centrum.sk getSymbols in quantmod May 20, 2009
Cedrick Johnson getSymbols in quantmod May 20, 2009
Domestic risk free rate in FX option
6 msgs
Krishna Kumar Domestic risk free rate in FX option May 11, 2009
BearXu Domestic risk free rate in FX option May 12, 2009
davidr at rhotrading.com Domestic risk free rate in FXoption May 12, 2009
Ron Michael Domestic risk free rate in FX option May 12, 2009
BearXu Domestic risk free rate in FX option May 12, 2009
BearXu Domestic risk free rate in FX option May 19, 2009
Hamilton Filters
4 msgs
Matthias.Koberstein at hsbctrinkaus.de Hamilton Filters May 19, 2009
Brian G. Peterson Hamilton Filters (and Kalman) May 19, 2009
Spencer Graves Hamilton Filters (and Kalman) May 19, 2009
Eric Zivot Hamilton Filters (and Kalman) May 19, 2009
positions in timeSeries object
6 msgs
Sarkar, Arup positions in timeSeries object May 5, 2009
Spencer Graves positions in timeSeries object May 9, 2009
Sarkar, Arup positions in timeSeries object May 11, 2009
Sarkar, Arup positions in timeSeries object May 18, 2009
Spencer Graves positions in timeSeries object May 18, 2009
Shane Conway positions in timeSeries object May 19, 2009
JOB: Permanent C++ Programmer in London, England, UK
1 msg
j. JOB: Permanent C++ Programmer in London, England, UK May 19, 2009
some notes on using R in Amazon's EC2
1 msg
Robert Grossman some notes on using R in Amazon's EC2 May 18, 2009
R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18]
3 msgs
Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 18, 2009
Melo Velandia Luis Fernando R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 18, 2009
Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 18, 2009
Calculating SharpeRatio for several managers with PerformanceAnalytics
4 msgs
Wind Calculating SharpeRatio for several managers with PerformanceAnalytics May 18, 2009
Jeff Ryan Calculating SharpeRatio for several managers with PerformanceAnalytics May 18, 2009
Peter Carl Calculating SharpeRatio for several managers with PerformanceAnalytics May 18, 2009
Wind Calculating SharpeRatio for several managers with PerformanceAnalytics May 18, 2009
Chi-sq Hausman test---R vs Stata
3 msgs
Steven Archambault Chi-sq Hausman test---R vs Stata May 17, 2009
Spencer Graves Chi-sq Hausman test---R vs Stata May 18, 2009
John C Frain Chi-sq Hausman test---R vs Stata May 18, 2009
Non-parametric tests in R
2 msgs
Subhrangshu Nandi Non-parametric tests in R May 15, 2009
Stefan Grosse Non-parametric tests in R May 18, 2009
extract parameters from fitCopula outputs !!
5 msgs
tawfiq just extract parameters from fitCopula outputs !! May 15, 2009
Spencer Graves extract parameters from fitCopula outputs !! May 17, 2009
tawfiq just extract parameters from fitCopula outputs !! May 17, 2009
tawfiq just extract parameters from fitCopula outputs !! May 17, 2009
Spencer Graves extract parameters from fitCopula outputs !! May 17, 2009
ca.jo help
2 msgs
Charles Evans ca.jo help May 14, 2009
Spencer Graves ca.jo help May 16, 2009
Convert Daily PnL to Returns
3 msgs
Subhrangshu Nandi Convert Daily PnL to Returns May 15, 2009
Brian G. Peterson Convert Daily PnL to Returns May 15, 2009
Brian G. Peterson Convert Daily PnL to Returns May 15, 2009
BLCOP / Idzorek working paper
2 msgs
Heiko Mayer BLCOP / Idzorek working paper May 14, 2009
Francisco Gochez BLCOP / Idzorek working paper May 15, 2009
TSLS: R^2 extraction and autocorrelation and heterokedasticity tests
1 msg
Spencer Graves TSLS: R^2 extraction and autocorrelation and heterokedasticity tests May 14, 2009
TSLS: R^2 extraction and autocorrelation and heterokedasticity tests
2 msgs
josé maria Rodriguez TSLS: R^2 extraction and autocorrelation and heterokedasticity tests May 12, 2009
Spencer Graves TSLS: R^2 extraction and autocorrelation and heterokedasticity tests May 14, 2009
trying to plot coincident time series in quantmod...
4 msgs
Eugene Tyurin trying to plot coincident time series in quantmod... May 14, 2009
Jeff Ryan trying to plot coincident time series in quantmod... May 14, 2009
Eugene Tyurin trying to plot coincident time series in quantmod... May 14, 2009
Jeff Ryan trying to plot coincident time series in quantmod... May 14, 2009
"Next" in quantmod
2 msgs
Steve Wisdom "Next" in quantmod May 13, 2009
Jeff Ryan "Next" in quantmod May 13, 2009
the payoff of an call option
5 msgs
BearXu the payoff of an call option May 12, 2009
BearXu the payoff of an call option May 12, 2009
Paul DeBruicker the payoff of an call option May 12, 2009
Adams, Zeno the payoff of an call option May 13, 2009
BearXu the payoff of an call option May 13, 2009
Interfacing R with Interactive Brokers
4 msgs
TipTop Interfacing R with Interactive Brokers May 12, 2009
Brian G. Peterson Interfacing R with Interactive Brokers May 12, 2009
Jeff Ryan Interfacing R with Interactive Brokers May 12, 2009
TipTop Interfacing R with Interactive Brokers May 12, 2009
R^2 extraction and autocorrelation/heterokedasticity tests on tsls regression
1 msg
josé maria Rodriguez R^2 extraction and autocorrelation/heterokedasticity tests on tsls regression May 12, 2009
R^2 extraction and autocorrelation/heterokedasticity on TSLS regression
1 msg
josé maria Rodriguez R^2 extraction and autocorrelation/heterokedasticity on TSLS regression May 12, 2009
Domestic risk free rate in FX option
3 msgs
Ron Michael Domestic risk free rate in FX option May 6, 2009
Spencer Graves Domestic risk free rate in FX option May 10, 2009
Mahesh Krishnan Domestic risk free rate in FX option May 10, 2009
maxratioPortfolio
2 msgs
Michael Schulman maxratioPortfolio May 8, 2009
Diethelm Wuertz maxratioPortfolio May 10, 2009
Predictive Analytics Seminar: May 27-28, New York City
2 msgs
Elise Johnson Predictive Analytics Seminar: May 27-28, New York City May 9, 2009
Dirk Eddelbuettel Predictive Analytics Seminar: May 27-28, New York City May 10, 2009
R-SIG-Finance Digest, Vol 60, Issue 9
1 msg
dmhutch at gmail.com R-SIG-Finance Digest, Vol 60, Issue 9 May 9, 2009
Quantmod getFinancials
2 msgs
Francisco Javier Perez Caballero Quantmod getFinancials May 8, 2009
Joshua Ulrich Quantmod getFinancials May 8, 2009
quantmod and intraday time periods
4 msgs
Tom H quantmod and intraday time periods May 7, 2009
Joshua Ulrich quantmod and intraday time periods May 7, 2009
Tom H quantmod and intraday time periods May 7, 2009
Brian G. Peterson quantmod and intraday time periods May 8, 2009
issues with NGARCH in rgarch package
2 msgs
Liviu Andronic issues with NGARCH in rgarch package May 2, 2009
Liviu Andronic issues with NGARCH in rgarch package May 7, 2009
Intro Stock Market Time Series Questions
4 msgs
Neil Tiffin Intro Stock Market Time Series Questions May 7, 2009
Charles Ward Intro Stock Market Time Series Questions May 7, 2009
Mark Breman Intro Stock Market Time Series Questions May 7, 2009
Neil Tiffin Intro Stock Market Time Series Questions May 7, 2009
NERC holiday calendar
1 msg
Diethelm Wuertz NERC holiday calendar May 7, 2009
Problem with Delt() from quantmod
2 msgs
Luis Torgo Problem with Delt() from quantmod May 5, 2009
Jeff Ryan Problem with Delt() from quantmod May 5, 2009
A question on Interest Rate
6 msgs
Ron Michael A question on Interest Rate May 4, 2009
davidr at rhotrading.com A question on Interest Rate May 5, 2009
Ron Michael A question on Interest Rate May 5, 2009
Adams, Zeno A question on Interest Rate May 5, 2009
Adams, Zeno A question on Interest Rate May 5, 2009
Sean Carmody A question on Interest Rate May 5, 2009
abline for quantmod charts
2 msgs
Hae Kyung Im abline for quantmod charts May 5, 2009
Jeff Ryan abline for quantmod charts May 5, 2009
Problem with subsetting in xts package
2 msgs
Luis Torgo Problem with subsetting in xts package May 5, 2009
Jeff Ryan Problem with subsetting in xts package May 5, 2009
VAR Modelling
2 msgs
Khalid Iqbal VAR Modelling May 5, 2009
Stefan Grosse VAR Modelling May 5, 2009
R/Finance 2009 Presentations Online
1 msg
Jeff Ryan R/Finance 2009 Presentations Online May 4, 2009
fPortfolio - Change in getWeights function
1 msg
Yaakov Moser fPortfolio - Change in getWeights function May 4, 2009
WG: Re: RBloomberg - limit on size of return array?
1 msg
Matthias.Koberstein at hsbctrinkaus.de WG: Re: RBloomberg - limit on size of return array? May 4, 2009
fPortfolio - Change in getWeights function
1 msg
Yaakov Moser fPortfolio - Change in getWeights function May 3, 2009
tick data database
4 msgs
Hae Kyung Im tick data database May 1, 2009
Dirk Eddelbuettel tick data database May 1, 2009
Wind tick data database May 2, 2009
Ulrich Staudinger tick data database May 2, 2009
RBloomberg - limit on size of return array?
1 msg
Phil Joubert RBloomberg - limit on size of return array? May 1, 2009
Chart formats
3 msgs
Heiko Mayer Chart formats May 1, 2009
Jeff Ryan Chart formats May 1, 2009
Gabor Grothendieck Chart formats May 1, 2009
RBloomberg - limit on size of return array?
1 msg
Paul DeBruicker RBloomberg - limit on size of return array? May 1, 2009
fit NGARCH model
1 msg
Liviu Andronic fit NGARCH model May 1, 2009