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R-SIG-Finance May 2009

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Sunday, May 31, 2009 1 email
Joshua Ulrich TTR Stochastics function - internal smoothing
Saturday, May 30, 2009 4 emails
Jeff Ryan quantmod getSymbols Jeff Ryan periodReturn() does not work anymore except for period="daily". Spencer Graves periodReturn() does not work anymore except for period="daily". Dodzi Attimu periodReturn() does not work anymore except for period="daily".
Friday, May 29, 2009 2 emails
Spencer Graves quantmod getSymbols Khanh Nguyen quantmod getSymbols
Thursday, May 28, 2009 4 emails
Dirk Eddelbuettel fArma- Prediction for ARFIMA not yet implemented? Joshua Ulrich xts and TTR problems Patrick Burns R training in London (and a talk) Valentin Dimitrov fArma- Prediction for ARFIMA not yet implemented?
Wednesday, May 27, 2009 5 emails
Diethelm Wuertz fPortfolio - Maximum Return Portfolio B Kim xts and TTR problems Guy Yollin Rglpk_solve_LP Yaakov Moser fPortfolio - Maximum Return Portfolio Diethelm Wuertz fPortfolio - Maximum Return Portfolio
Tuesday, May 26, 2009 3 emails
Diethelm Wuertz fPortfolio - Maximum Return Portfolio Yaakov Moser fPortfolio - Maximum Return Portfolio Subhrangshu Nandi Rglpk_solve_LP
Monday, May 25, 2009 6 emails
Mahesh Krishnan quantmod chart parameters Khanh Nguyen Rquantlib discount curve Cedrick Johnson Rquantlib discount curve Brian G. Peterson Rquantlib discount curve Martin.Prins at ingim.com Rquantlib discount curve Cedrick Johnson RBloomberg WAS: [R-sig-finance] intraday data for VIX?
Sunday, May 24, 2009 8 emails
gug intraday data for VIX? Charles Evans intraday data for VIX? Spencer Graves intraday data for VIX? gug intraday data for VIX? Spencer Graves intraday data for VIX? stefano iacus why does interpolation in high frequency time series create spurious correlation? Cedrick Johnson intraday data for VIX? Spencer Graves intraday data for VIX?
Saturday, May 23, 2009 11 emails
Spencer Graves portfolio rebalancing Mark Leeds time series question Spencer Graves time series question Mark Leeds time series question Spencer Graves time series question babel at centrum.sk legend in quantmod Ajay Shah time series question Michael intraday data for VIX? Cedrick Johnson RBloomberg (was Re: intraday data for VIX?) Charles Evans RBloomberg (was Re: intraday data for VIX?) Cedrick Johnson intraday data for VIX?
Friday, May 22, 2009 10 emails
Michael intraday data for VIX? Spencer Graves time series question Mark Leeds time series question Michael why does interpolation in high frequency time series create spurious correlation? Steve Wisdom Thoughts for "Michael" (was "high frequency") Carlos J. Gil Bellosta Preprocessing RData file (data.table and ff, bigmemory) Jose Iparraguirre D'Elia Preprocessing RData file (data.table and ff, bigmemory) Jeff Ryan Preprocessing RData file (data.table and ff, bigmemory) Steve Jaffe Preprocessing RData file (data.table and ff, bigmemory) Dale W.R. Rosenthal high frequency data analysis in R
Thursday, May 21, 2009 34 emails
Fuchs Ira portfolio rebalancing Michael hands-on model selection and statistical data analysis books in R? Whit Armstrong Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) Neil Tiffin high frequency data analysis in R Christofer Bogaso Newbie question on risk free Interest Rate Michael high frequency data analysis in R Michael high frequency data analysis in R Mark Leeds high frequency data analysis in R Michael high frequency data analysis in R Mark Leeds high frequency data analysis in R Reena Bansal Financial time series data mining in R Jeff Ryan Financial time series data mining in R Patrick Burns Financial time series data mining in R Jeff Ryan Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) Jeff Ryan Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) Reena Bansal Financial time series data mining in R Shane Conway high frequency data analysis in R Rowe, Brian Lee Yung (Portfolio Analytics) Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) Jeff Ryan Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) Rowe, Brian Lee Yung (Portfolio Analytics) Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R)) Eugene Tyurin high frequency data analysis in R Dirk Eddelbuettel Kdb (Was: high frequency data analysis in R) Jeff Ryan high frequency data analysis in R Hae Kyung Im high frequency data analysis in R Hae Kyung Im high frequency data analysis in R Jeff Ryan high frequency data analysis in R Michael high frequency data analysis in R Michael high frequency data analysis in R Hae Kyung Im high frequency data analysis in R Liviu Andronic high frequency data analysis in R Michael high frequency data analysis in R Michael high frequency data analysis in R Jeff Ryan high frequency data analysis in R Michael high frequency data analysis in R
Wednesday, May 20, 2009 5 emails
Robert Iquiapaza R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] Cedrick Johnson getSymbols in quantmod Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] babel at centrum.sk getSymbols in quantmod Robert Iquiapaza R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18]
Tuesday, May 19, 2009 8 emails
BearXu Domestic risk free rate in FX option Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] Eric Zivot Hamilton Filters (and Kalman) Spencer Graves Hamilton Filters (and Kalman) Brian G. Peterson Hamilton Filters (and Kalman) Matthias.Koberstein at hsbctrinkaus.de Hamilton Filters Shane Conway positions in timeSeries object j. JOB: Permanent C++ Programmer in London, England, UK
Monday, May 18, 2009 13 emails
Robert Grossman some notes on using R in Amazon's EC2 Spencer Graves positions in timeSeries object Sarkar, Arup positions in timeSeries object Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] Melo Velandia Luis Fernando R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] Wind Calculating SharpeRatio for several managers with PerformanceAnalytics John C Frain Chi-sq Hausman test---R vs Stata Peter Carl Calculating SharpeRatio for several managers with PerformanceAnalytics Spencer Graves Chi-sq Hausman test---R vs Stata Jeff Ryan Calculating SharpeRatio for several managers with PerformanceAnalytics Stefan Grosse Non-parametric tests in R Wind Calculating SharpeRatio for several managers with PerformanceAnalytics
Sunday, May 17, 2009 5 emails
Steven Archambault Chi-sq Hausman test---R vs Stata Spencer Graves extract parameters from fitCopula outputs !! tawfiq just extract parameters from fitCopula outputs !! tawfiq just extract parameters from fitCopula outputs !! Spencer Graves extract parameters from fitCopula outputs !!
Saturday, May 16, 2009 1 email
Spencer Graves ca.jo help
Friday, May 15, 2009 6 emails
tawfiq just extract parameters from fitCopula outputs !! Subhrangshu Nandi Non-parametric tests in R Brian G. Peterson Convert Daily PnL to Returns Brian G. Peterson Convert Daily PnL to Returns Subhrangshu Nandi Convert Daily PnL to Returns Francisco Gochez BLCOP / Idzorek working paper
Thursday, May 14, 2009 8 emails
Heiko Mayer BLCOP / Idzorek working paper Spencer Graves TSLS: R^2 extraction and autocorrelation and heterokedasticity tests Spencer Graves TSLS: R^2 extraction and autocorrelation and heterokedasticity tests Charles Evans ca.jo help Jeff Ryan trying to plot coincident time series in quantmod... Eugene Tyurin trying to plot coincident time series in quantmod... Jeff Ryan trying to plot coincident time series in quantmod... Eugene Tyurin trying to plot coincident time series in quantmod...
Wednesday, May 13, 2009 4 emails
Jeff Ryan "Next" in quantmod Steve Wisdom "Next" in quantmod BearXu the payoff of an call option Adams, Zeno the payoff of an call option
Tuesday, May 12, 2009 14 emails
Paul DeBruicker the payoff of an call option BearXu the payoff of an call option BearXu Domestic risk free rate in FX option Ron Michael Domestic risk free rate in FX option davidr at rhotrading.com Domestic risk free rate in FXoption BearXu the payoff of an call option BearXu Domestic risk free rate in FX option TipTop Interfacing R with Interactive Brokers josé maria Rodriguez TSLS: R^2 extraction and autocorrelation and heterokedasticity tests Jeff Ryan Interfacing R with Interactive Brokers josé maria Rodriguez R^2 extraction and autocorrelation/heterokedasticity tests on tsls regression Brian G. Peterson Interfacing R with Interactive Brokers josé maria Rodriguez R^2 extraction and autocorrelation/heterokedasticity on TSLS regression TipTop Interfacing R with Interactive Brokers
Monday, May 11, 2009 2 emails
Sarkar, Arup positions in timeSeries object Krishna Kumar Domestic risk free rate in FX option
Sunday, May 10, 2009 4 emails
Mahesh Krishnan Domestic risk free rate in FX option Spencer Graves Domestic risk free rate in FX option Diethelm Wuertz maxratioPortfolio Dirk Eddelbuettel Predictive Analytics Seminar: May 27-28, New York City
Saturday, May 9, 2009 3 emails
Elise Johnson Predictive Analytics Seminar: May 27-28, New York City Spencer Graves positions in timeSeries object dmhutch at gmail.com R-SIG-Finance Digest, Vol 60, Issue 9
Friday, May 8, 2009 4 emails
Joshua Ulrich Quantmod getFinancials Francisco Javier Perez Caballero Quantmod getFinancials Michael Schulman maxratioPortfolio Brian G. Peterson quantmod and intraday time periods
Thursday, May 7, 2009 9 emails
Tom H quantmod and intraday time periods Joshua Ulrich quantmod and intraday time periods Tom H quantmod and intraday time periods Liviu Andronic issues with NGARCH in rgarch package Neil Tiffin Intro Stock Market Time Series Questions Mark Breman Intro Stock Market Time Series Questions Charles Ward Intro Stock Market Time Series Questions Neil Tiffin Intro Stock Market Time Series Questions Diethelm Wuertz NERC holiday calendar
Wednesday, May 6, 2009 1 email
Ron Michael Domestic risk free rate in FX option
Tuesday, May 5, 2009 14 emails
Sarkar, Arup positions in timeSeries object Jeff Ryan Problem with Delt() from quantmod Sean Carmody A question on Interest Rate Luis Torgo Problem with Delt() from quantmod Jeff Ryan abline for quantmod charts Jeff Ryan Problem with subsetting in xts package Hae Kyung Im abline for quantmod charts Luis Torgo Problem with subsetting in xts package Adams, Zeno A question on Interest Rate Adams, Zeno A question on Interest Rate Ron Michael A question on Interest Rate davidr at rhotrading.com A question on Interest Rate Stefan Grosse VAR Modelling Khalid Iqbal VAR Modelling
Monday, May 4, 2009 4 emails
Ron Michael A question on Interest Rate Jeff Ryan R/Finance 2009 Presentations Online Yaakov Moser fPortfolio - Change in getWeights function Matthias.Koberstein at hsbctrinkaus.de WG: Re: RBloomberg - limit on size of return array?
Sunday, May 3, 2009 1 email
Yaakov Moser fPortfolio - Change in getWeights function
Saturday, May 2, 2009 3 emails
Liviu Andronic issues with NGARCH in rgarch package Ulrich Staudinger tick data database Wind tick data database
Friday, May 1, 2009 8 emails
Dirk Eddelbuettel tick data database Hae Kyung Im tick data database Phil Joubert RBloomberg - limit on size of return array? Gabor Grothendieck Chart formats Paul DeBruicker RBloomberg - limit on size of return array? Jeff Ryan Chart formats Heiko Mayer Chart formats Liviu Andronic fit NGARCH model