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R-SIG-Finance May 2009

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Adams, Zeno

Last active: May 13, 2009
3 msgs
Adams, Zeno A question on Interest Rate May 5, 2009 Adams, Zeno A question on Interest Rate May 5, 2009 Adams, Zeno the payoff of an call option May 13, 2009

Ajay Shah

Last active: May 23, 2009
1 msg
Ajay Shah time series question May 23, 2009

B Kim

Last active: May 27, 2009
1 msg
B Kim xts and TTR problems May 27, 2009

BearXu

Last active: May 19, 2009
6 msgs
BearXu Domestic risk free rate in FX option May 12, 2009 BearXu the payoff of an call option May 12, 2009 BearXu Domestic risk free rate in FX option May 12, 2009 BearXu the payoff of an call option May 12, 2009 BearXu the payoff of an call option May 13, 2009 BearXu Domestic risk free rate in FX option May 19, 2009

Brian G. Peterson

Last active: May 25, 2009
6 msgs
Brian G. Peterson quantmod and intraday time periods May 8, 2009 Brian G. Peterson Interfacing R with Interactive Brokers May 12, 2009 Brian G. Peterson Convert Daily PnL to Returns May 15, 2009 Brian G. Peterson Convert Daily PnL to Returns May 15, 2009 Brian G. Peterson Hamilton Filters (and Kalman) May 19, 2009 Brian G. Peterson Rquantlib discount curve May 25, 2009

Carlos J. Gil Bellosta

Last active: May 22, 2009
1 msg
Carlos J. Gil Bellosta Preprocessing RData file (data.table and ff, bigmemory) May 22, 2009

Cedrick Johnson

Last active: May 25, 2009
6 msgs
Cedrick Johnson getSymbols in quantmod May 20, 2009 Cedrick Johnson intraday data for VIX? May 23, 2009 Cedrick Johnson RBloomberg (was Re: intraday data for VIX?) May 23, 2009 Cedrick Johnson intraday data for VIX? May 24, 2009 Cedrick Johnson RBloomberg WAS: [R-sig-finance] intraday data for VIX? May 25, 2009 Cedrick Johnson Rquantlib discount curve May 25, 2009

Charles Evans

Last active: May 24, 2009
3 msgs
Charles Evans ca.jo help May 14, 2009 Charles Evans RBloomberg (was Re: intraday data for VIX?) May 23, 2009 Charles Evans intraday data for VIX? May 24, 2009

Charles Ward

Last active: May 7, 2009
1 msg
Charles Ward Intro Stock Market Time Series Questions May 7, 2009

Christofer Bogaso

Last active: May 21, 2009
1 msg
Christofer Bogaso Newbie question on risk free Interest Rate May 21, 2009

Dale W.R. Rosenthal

Last active: May 22, 2009
1 msg
Dale W.R. Rosenthal high frequency data analysis in R May 22, 2009

Diethelm Wuertz

Last active: May 27, 2009
5 msgs
Diethelm Wuertz NERC holiday calendar May 7, 2009 Diethelm Wuertz maxratioPortfolio May 10, 2009 Diethelm Wuertz fPortfolio - Maximum Return Portfolio May 26, 2009 Diethelm Wuertz fPortfolio - Maximum Return Portfolio May 27, 2009 Diethelm Wuertz fPortfolio - Maximum Return Portfolio May 27, 2009

Dirk Eddelbuettel

Last active: May 28, 2009
4 msgs
Dirk Eddelbuettel tick data database May 1, 2009 Dirk Eddelbuettel Predictive Analytics Seminar: May 27-28, New York City May 10, 2009 Dirk Eddelbuettel Kdb (Was: high frequency data analysis in R) May 21, 2009 Dirk Eddelbuettel fArma- Prediction for ARFIMA not yet implemented? May 28, 2009

Dodzi Attimu

Last active: May 30, 2009
1 msg
Dodzi Attimu periodReturn() does not work anymore except for period="daily". May 30, 2009

Elise Johnson

Last active: May 9, 2009
1 msg
Elise Johnson Predictive Analytics Seminar: May 27-28, New York City May 9, 2009

Eric Zivot

Last active: May 19, 2009
1 msg
Eric Zivot Hamilton Filters (and Kalman) May 19, 2009

Eugene Tyurin

Last active: May 21, 2009
3 msgs
Eugene Tyurin trying to plot coincident time series in quantmod... May 14, 2009 Eugene Tyurin trying to plot coincident time series in quantmod... May 14, 2009 Eugene Tyurin high frequency data analysis in R May 21, 2009

Francisco Gochez

Last active: May 15, 2009
1 msg
Francisco Gochez BLCOP / Idzorek working paper May 15, 2009

Francisco Javier Perez Caballero

Last active: May 8, 2009
1 msg
Francisco Javier Perez Caballero Quantmod getFinancials May 8, 2009

Fuchs Ira

Last active: May 21, 2009
1 msg
Fuchs Ira portfolio rebalancing May 21, 2009

Gabor Grothendieck

Last active: May 1, 2009
1 msg
Gabor Grothendieck Chart formats May 1, 2009

Guy Yollin

Last active: May 27, 2009
1 msg
Guy Yollin Rglpk_solve_LP May 27, 2009

Hae Kyung Im

Last active: May 21, 2009
5 msgs
Hae Kyung Im tick data database May 1, 2009 Hae Kyung Im abline for quantmod charts May 5, 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 Hae Kyung Im high frequency data analysis in R May 21, 2009

Heiko Mayer

Last active: May 14, 2009
2 msgs
Heiko Mayer Chart formats May 1, 2009 Heiko Mayer BLCOP / Idzorek working paper May 14, 2009

Jeff Ryan

Last active: May 30, 2009
20 msgs
Jeff Ryan Chart formats May 1, 2009 Jeff Ryan R/Finance 2009 Presentations Online May 4, 2009 Jeff Ryan Problem with subsetting in xts package May 5, 2009 Jeff Ryan abline for quantmod charts May 5, 2009 Jeff Ryan Problem with Delt() from quantmod May 5, 2009 Jeff Ryan Interfacing R with Interactive Brokers May 12, 2009 Jeff Ryan "Next" in quantmod May 13, 2009 Jeff Ryan trying to plot coincident time series in quantmod... May 14, 2009 Jeff Ryan trying to plot coincident time series in quantmod... May 14, 2009 Jeff Ryan Calculating SharpeRatio for several managers with PerformanceAnalytics May 18, 2009 Jeff Ryan high frequency data analysis in R May 21, 2009 Jeff Ryan high frequency data analysis in R May 21, 2009 Jeff Ryan 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 Jeff Ryan Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) May 21, 2009 Jeff Ryan Financial time series data mining in R May 21, 2009 Jeff Ryan Preprocessing RData file (data.table and ff, bigmemory) May 22, 2009 Jeff Ryan periodReturn() does not work anymore except for period="daily". May 30, 2009 Jeff Ryan quantmod getSymbols May 30, 2009

John C Frain

Last active: May 18, 2009
1 msg
John C Frain Chi-sq Hausman test---R vs Stata May 18, 2009

Jose Iparraguirre D'Elia

Last active: May 22, 2009
1 msg
Jose Iparraguirre D'Elia Preprocessing RData file (data.table and ff, bigmemory) May 22, 2009

Joshua Ulrich

Last active: May 31, 2009
4 msgs
Joshua Ulrich quantmod and intraday time periods May 7, 2009 Joshua Ulrich Quantmod getFinancials May 8, 2009 Joshua Ulrich xts and TTR problems May 28, 2009 Joshua Ulrich TTR Stochastics function - internal smoothing May 31, 2009

Khalid Iqbal

Last active: May 5, 2009
1 msg
Khalid Iqbal VAR Modelling May 5, 2009

Khanh Nguyen

Last active: May 29, 2009
2 msgs
Khanh Nguyen Rquantlib discount curve May 25, 2009 Khanh Nguyen quantmod getSymbols May 29, 2009

Krishna Kumar

Last active: May 11, 2009
1 msg
Krishna Kumar Domestic risk free rate in FX option May 11, 2009

Liviu Andronic

Last active: May 21, 2009
4 msgs
Liviu Andronic fit NGARCH model May 1, 2009 Liviu Andronic issues with NGARCH in rgarch package May 2, 2009 Liviu Andronic issues with NGARCH in rgarch package May 7, 2009 Liviu Andronic high frequency data analysis in R May 21, 2009

Luis Torgo

Last active: May 5, 2009
2 msgs
Luis Torgo Problem with subsetting in xts package May 5, 2009 Luis Torgo Problem with Delt() from quantmod May 5, 2009

Mahesh Krishnan

Last active: May 25, 2009
2 msgs
Mahesh Krishnan Domestic risk free rate in FX option May 10, 2009 Mahesh Krishnan quantmod chart parameters May 25, 2009

Mark Breman

Last active: May 7, 2009
1 msg
Mark Breman Intro Stock Market Time Series Questions May 7, 2009

Mark Leeds

Last active: May 23, 2009
5 msgs
Mark Leeds high frequency data analysis in R May 21, 2009 Mark Leeds high frequency data analysis in R May 21, 2009 Mark Leeds time series question May 22, 2009 Mark Leeds time series question May 23, 2009 Mark Leeds time series question May 23, 2009

Martin.Prins at ingim.com

Last active: May 25, 2009
1 msg
Martin.Prins at ingim.com Rquantlib discount curve May 25, 2009

Matthias.Koberstein at hsbctrinkaus.de

Last active: May 19, 2009
2 msgs
Matthias.Koberstein at hsbctrinkaus.de WG: Re: RBloomberg - limit on size of return array? May 4, 2009 Matthias.Koberstein at hsbctrinkaus.de Hamilton Filters May 19, 2009

Melo Velandia Luis Fernando

Last active: May 18, 2009
1 msg
Melo Velandia Luis Fernando R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 18, 2009

Michael

Last active: May 23, 2009
12 msgs
Michael 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 Michael 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 Michael high frequency data analysis in R May 21, 2009 Michael high frequency data analysis in R May 21, 2009 Michael hands-on model selection and statistical data analysis books in R? May 21, 2009 Michael why does interpolation in high frequency time series create spurious correlation? May 22, 2009 Michael intraday data for VIX? May 22, 2009 Michael intraday data for VIX? May 23, 2009

Michael Schulman

Last active: May 8, 2009
1 msg
Michael Schulman maxratioPortfolio May 8, 2009

Neil Tiffin

Last active: May 21, 2009
3 msgs
Neil Tiffin Intro Stock Market Time Series Questions May 7, 2009 Neil Tiffin Intro Stock Market Time Series Questions May 7, 2009 Neil Tiffin high frequency data analysis in R May 21, 2009

Patrick Burns

Last active: May 28, 2009
2 msgs
Patrick Burns Financial time series data mining in R May 21, 2009 Patrick Burns R training in London (and a talk) May 28, 2009

Paul DeBruicker

Last active: May 12, 2009
2 msgs
Paul DeBruicker RBloomberg - limit on size of return array? May 1, 2009 Paul DeBruicker the payoff of an call option May 12, 2009

Peter Carl

Last active: May 18, 2009
1 msg
Peter Carl Calculating SharpeRatio for several managers with PerformanceAnalytics May 18, 2009

Phil Joubert

Last active: May 1, 2009
1 msg
Phil Joubert RBloomberg - limit on size of return array? May 1, 2009

Reena Bansal

Last active: May 21, 2009
2 msgs
Reena Bansal Financial time series data mining in R May 21, 2009 Reena Bansal Financial time series data mining in R May 21, 2009

Robert Grossman

Last active: May 18, 2009
1 msg
Robert Grossman some notes on using R in Amazon's EC2 May 18, 2009

Robert Iquiapaza

Last active: May 20, 2009
2 msgs
Robert Iquiapaza 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

Ron Michael

Last active: May 12, 2009
4 msgs
Ron Michael A question on Interest Rate May 4, 2009 Ron Michael A question on Interest Rate May 5, 2009 Ron Michael Domestic risk free rate in FX option May 6, 2009 Ron Michael Domestic risk free rate in FX option May 12, 2009

Rowe, Brian Lee Yung (Portfolio Analytics)

Last active: May 21, 2009
2 msgs
Rowe, Brian Lee Yung (Portfolio Analytics) 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

Sarkar, Arup

Last active: May 18, 2009
3 msgs
Sarkar, Arup positions in timeSeries object May 5, 2009 Sarkar, Arup positions in timeSeries object May 11, 2009 Sarkar, Arup positions in timeSeries object May 18, 2009

Sean Carmody

Last active: May 5, 2009
1 msg
Sean Carmody A question on Interest Rate May 5, 2009

Shane Conway

Last active: May 21, 2009
2 msgs
Shane Conway positions in timeSeries object May 19, 2009 Shane Conway high frequency data analysis in R May 21, 2009

Spencer Graves

Last active: May 30, 2009
19 msgs
Spencer Graves positions in timeSeries object May 9, 2009 Spencer Graves Domestic risk free rate in FX option May 10, 2009 Spencer Graves TSLS: R^2 extraction and autocorrelation and heterokedasticity tests May 14, 2009 Spencer Graves TSLS: R^2 extraction and autocorrelation and heterokedasticity tests May 14, 2009 Spencer Graves ca.jo help May 16, 2009 Spencer Graves extract parameters from fitCopula outputs !! May 17, 2009 Spencer Graves extract parameters from fitCopula outputs !! May 17, 2009 Spencer Graves Chi-sq Hausman test---R vs Stata May 18, 2009 Spencer Graves positions in timeSeries object May 18, 2009 Spencer Graves Hamilton Filters (and Kalman) May 19, 2009 Spencer Graves time series question May 22, 2009 Spencer Graves time series question May 23, 2009 Spencer Graves time series question May 23, 2009 Spencer Graves portfolio rebalancing May 23, 2009 Spencer Graves intraday data for VIX? May 24, 2009 Spencer Graves intraday data for VIX? May 24, 2009 Spencer Graves intraday data for VIX? May 24, 2009 Spencer Graves quantmod getSymbols May 29, 2009 Spencer Graves periodReturn() does not work anymore except for period="daily". May 30, 2009

Stefan Grosse

Last active: May 18, 2009
2 msgs
Stefan Grosse VAR Modelling May 5, 2009 Stefan Grosse Non-parametric tests in R May 18, 2009

Steve Jaffe

Last active: May 22, 2009
1 msg
Steve Jaffe Preprocessing RData file (data.table and ff, bigmemory) May 22, 2009

Steve Wisdom

Last active: May 22, 2009
2 msgs
Steve Wisdom "Next" in quantmod May 13, 2009 Steve Wisdom Thoughts for "Michael" (was "high frequency") May 22, 2009

Steven Archambault

Last active: May 20, 2009
5 msgs
Steven Archambault Chi-sq Hausman test---R vs Stata May 17, 2009 Steven Archambault 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 Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 19, 2009 Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 20, 2009

Subhrangshu Nandi

Last active: May 26, 2009
3 msgs
Subhrangshu Nandi Convert Daily PnL to Returns May 15, 2009 Subhrangshu Nandi Non-parametric tests in R May 15, 2009 Subhrangshu Nandi Rglpk_solve_LP May 26, 2009

TipTop

Last active: May 12, 2009
2 msgs
TipTop Interfacing R with Interactive Brokers May 12, 2009 TipTop Interfacing R with Interactive Brokers May 12, 2009

Tom H

Last active: May 7, 2009
2 msgs
Tom H quantmod and intraday time periods May 7, 2009 Tom H quantmod and intraday time periods May 7, 2009

Ulrich Staudinger

Last active: May 2, 2009
1 msg
Ulrich Staudinger tick data database May 2, 2009

Valentin Dimitrov

Last active: May 28, 2009
1 msg
Valentin Dimitrov fArma- Prediction for ARFIMA not yet implemented? May 28, 2009

Whit Armstrong

Last active: May 21, 2009
1 msg
Whit Armstrong Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) May 21, 2009

Wind

Last active: May 18, 2009
3 msgs
Wind tick data database May 2, 2009 Wind Calculating SharpeRatio for several managers with PerformanceAnalytics May 18, 2009 Wind Calculating SharpeRatio for several managers with PerformanceAnalytics May 18, 2009

Yaakov Moser

Last active: May 27, 2009
4 msgs
Yaakov Moser fPortfolio - Change in getWeights function May 3, 2009 Yaakov Moser fPortfolio - Change in getWeights function May 4, 2009 Yaakov Moser fPortfolio - Maximum Return Portfolio May 26, 2009 Yaakov Moser fPortfolio - Maximum Return Portfolio May 27, 2009

babel at centrum.sk

Last active: May 23, 2009
2 msgs
babel at centrum.sk getSymbols in quantmod May 20, 2009 babel at centrum.sk legend in quantmod May 23, 2009

davidr at rhotrading.com

Last active: May 12, 2009
2 msgs
davidr at rhotrading.com A question on Interest Rate May 5, 2009 davidr at rhotrading.com Domestic risk free rate in FXoption May 12, 2009

dmhutch at gmail.com

Last active: May 9, 2009
1 msg
dmhutch at gmail.com R-SIG-Finance Digest, Vol 60, Issue 9 May 9, 2009

gug

Last active: May 24, 2009
2 msgs
gug intraday data for VIX? May 24, 2009 gug intraday data for VIX? May 24, 2009

j.

Last active: May 19, 2009
1 msg
j. JOB: Permanent C++ Programmer in London, England, UK May 19, 2009

josé maria Rodriguez

Last active: May 12, 2009
3 msgs
josé maria Rodriguez R^2 extraction and autocorrelation/heterokedasticity on TSLS regression May 12, 2009 josé maria Rodriguez R^2 extraction and autocorrelation/heterokedasticity tests on tsls regression May 12, 2009 josé maria Rodriguez TSLS: R^2 extraction and autocorrelation and heterokedasticity tests May 12, 2009

stefano iacus

Last active: May 24, 2009
1 msg
stefano iacus why does interpolation in high frequency time series create spurious correlation? May 24, 2009

tawfiq just

Last active: May 17, 2009
3 msgs
tawfiq just extract parameters from fitCopula outputs !! May 15, 2009 tawfiq just extract parameters from fitCopula outputs !! May 17, 2009 tawfiq just extract parameters from fitCopula outputs !! May 17, 2009