R-SIG-Finance - May 2009 - Subject View

"Next" in quantmod

2 msgs · May 13 – May 13

Steve Wisdom "Next" in quantmod May 13, 2009 Jeff Ryan "Next" in quantmod May 13, 2009

A question on Interest Rate

6 msgs · May 4 – May 5

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

BLCOP / Idzorek working paper

2 msgs · May 14 – May 15

Heiko Mayer BLCOP / Idzorek working paper May 14, 2009 Francisco Gochez BLCOP / Idzorek working paper May 15, 2009

Calculating SharpeRatio for several managers with PerformanceAnalytics

4 msgs · May 18 – May 18

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

Chart formats

3 msgs · May 1 – May 1

Heiko Mayer Chart formats May 1, 2009 Jeff Ryan Chart formats May 1, 2009 Gabor Grothendieck Chart formats May 1, 2009

Chi-sq Hausman test---R vs Stata

3 msgs · May 17 – May 18

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

Convert Daily PnL to Returns

3 msgs · May 15 – May 15

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

Domestic risk free rate in FX option

1 msg · May 11

Krishna Kumar Domestic risk free rate in FX option May 11, 2009

Domestic risk free rate in FX option

7 msgs · May 6 – May 19

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 BearXu Domestic risk free rate in FX option 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

Domestic risk free rate in FXoption

1 msg · May 12

davidr at rhotrading.com Domestic risk free rate in FXoption May 12, 2009

Financial time series data mining in R

4 msgs · May 21 – May 21

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

Hamilton Filters

1 msg · May 19

Matthias.Koberstein at hsbctrinkaus.de Hamilton Filters May 19, 2009

Hamilton Filters (and Kalman)

3 msgs · May 19 – May 19

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

Interfacing R with Interactive Brokers

4 msgs · May 12 – May 12

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

Intro Stock Market Time Series Questions

4 msgs · May 7 – May 7

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

JOB: Permanent C++ Programmer in London, England, UK

1 msg · May 19

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

Kdb (Was: high frequency data analysis in R)

1 msg · May 21

Dirk Eddelbuettel Kdb (Was: high frequency data analysis in R) May 21, 2009

NERC holiday calendar

1 msg · May 7

Diethelm Wuertz NERC holiday calendar May 7, 2009

Newbie question on risk free Interest Rate

1 msg · May 21

Christofer Bogaso Newbie question on risk free Interest Rate May 21, 2009

Non-parametric tests in R

2 msgs · May 15 – May 18

Subhrangshu Nandi Non-parametric tests in R May 15, 2009 Stefan Grosse Non-parametric tests in R May 18, 2009

Predictive Analytics Seminar: May 27-28, New York City

2 msgs · May 9 – May 10

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

Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R))

6 msgs · May 21 – May 21

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

Preprocessing RData file (data.table and ff, bigmemory)

4 msgs · May 22 – May 22

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 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

Problem with Delt() from quantmod

2 msgs · May 5 – May 5

Luis Torgo Problem with Delt() from quantmod May 5, 2009 Jeff Ryan Problem with Delt() from quantmod May 5, 2009

Problem with subsetting in xts package

2 msgs · May 5 – May 5

Luis Torgo Problem with subsetting in xts package May 5, 2009 Jeff Ryan Problem with subsetting in xts package May 5, 2009

Quantmod getFinancials

2 msgs · May 8 – May 8

Francisco Javier Perez Caballero Quantmod getFinancials May 8, 2009 Joshua Ulrich Quantmod getFinancials May 8, 2009

R training in London (and a talk)

1 msg · May 28

Patrick Burns R training in London (and a talk) May 28, 2009

R-SIG-Finance Digest, Vol 60, Issue 9

1 msg · May 9

dmhutch at gmail.com R-SIG-Finance Digest, Vol 60, Issue 9 May 9, 2009

R/Finance 2009 Presentations Online

1 msg · May 4

Jeff Ryan R/Finance 2009 Presentations Online May 4, 2009

R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18]

7 msgs · May 18 – May 20

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 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

RBloomberg (was Re: intraday data for VIX?)

2 msgs · May 23 – May 23

Charles Evans RBloomberg (was Re: intraday data for VIX?) May 23, 2009 Cedrick Johnson RBloomberg (was Re: intraday data for VIX?) May 23, 2009

RBloomberg - limit on size of return array?

2 msgs · May 1 – May 1

Paul DeBruicker RBloomberg - limit on size of return array? May 1, 2009 Phil Joubert RBloomberg - limit on size of return array? May 1, 2009

RBloomberg WAS: [R-sig-finance] intraday data for VIX?

1 msg · May 25

Cedrick Johnson RBloomberg WAS: [R-sig-finance] intraday data for VIX? May 25, 2009

R^2 extraction and autocorrelation/heterokedasticity on TSLS regression

1 msg · May 12

josé maria Rodriguez R^2 extraction and autocorrelation/heterokedasticity on TSLS regression May 12, 2009

R^2 extraction and autocorrelation/heterokedasticity tests on tsls regression

1 msg · May 12

josé maria Rodriguez R^2 extraction and autocorrelation/heterokedasticity tests on tsls regression May 12, 2009

Rglpk_solve_LP

2 msgs · May 26 – May 27

Subhrangshu Nandi Rglpk_solve_LP May 26, 2009 Guy Yollin Rglpk_solve_LP May 27, 2009

Rquantlib discount curve

4 msgs · May 25 – May 25

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

TSLS: R^2 extraction and autocorrelation and heterokedasticity tests

3 msgs · May 12 – May 14

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 Spencer Graves TSLS: R^2 extraction and autocorrelation and heterokedasticity tests May 14, 2009

TTR Stochastics function - internal smoothing

1 msg · May 31

Joshua Ulrich TTR Stochastics function - internal smoothing May 31, 2009

Thoughts for "Michael" (was "high frequency")

1 msg · May 22

Steve Wisdom Thoughts for "Michael" (was "high frequency") May 22, 2009

VAR Modelling

2 msgs · May 5 – May 5

Khalid Iqbal VAR Modelling May 5, 2009 Stefan Grosse VAR Modelling May 5, 2009

WG: Re: RBloomberg - limit on size of return array?

1 msg · May 4

Matthias.Koberstein at hsbctrinkaus.de WG: Re: RBloomberg - limit on size of return array? May 4, 2009

abline for quantmod charts

2 msgs · May 5 – May 5

Hae Kyung Im abline for quantmod charts May 5, 2009 Jeff Ryan abline for quantmod charts May 5, 2009

ca.jo help

2 msgs · May 14 – May 16

Charles Evans ca.jo help May 14, 2009 Spencer Graves ca.jo help May 16, 2009

extract parameters from fitCopula outputs !!

5 msgs · May 15 – May 17

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

fArma- Prediction for ARFIMA not yet implemented?

2 msgs · May 28 – May 28

Valentin Dimitrov fArma- Prediction for ARFIMA not yet implemented? May 28, 2009 Dirk Eddelbuettel fArma- Prediction for ARFIMA not yet implemented? May 28, 2009

fPortfolio - Change in getWeights function

2 msgs · May 3 – May 4

Yaakov Moser fPortfolio - Change in getWeights function May 3, 2009 Yaakov Moser fPortfolio - Change in getWeights function May 4, 2009

fPortfolio - Maximum Return Portfolio

5 msgs · May 26 – May 27

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

fit NGARCH model

1 msg · May 1

Liviu Andronic fit NGARCH model May 1, 2009

getSymbols in quantmod

2 msgs · May 20 – May 20

babel at centrum.sk getSymbols in quantmod May 20, 2009 Cedrick Johnson getSymbols in quantmod May 20, 2009

hands-on model selection and statistical data analysis books in R?

1 msg · May 21

Michael hands-on model selection and statistical data analysis books in R? May 21, 2009

high frequency data analysis in R

21 msgs · May 21 – May 22

intraday data for VIX?

10 msgs · May 22 – May 24

Michael intraday data for VIX? May 22, 2009 Cedrick Johnson 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

issues with NGARCH in rgarch package

2 msgs · May 2 – May 7

Liviu Andronic issues with NGARCH in rgarch package May 2, 2009 Liviu Andronic issues with NGARCH in rgarch package May 7, 2009

legend in quantmod

1 msg · May 23

babel at centrum.sk legend in quantmod May 23, 2009

maxratioPortfolio

2 msgs · May 8 – May 10

Michael Schulman maxratioPortfolio May 8, 2009 Diethelm Wuertz maxratioPortfolio May 10, 2009

periodReturn() does not work anymore except for period="daily".

3 msgs · May 30 – May 30

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

portfolio rebalancing

2 msgs · May 21 – May 23

Fuchs Ira portfolio rebalancing May 21, 2009 Spencer Graves portfolio rebalancing May 23, 2009

positions in timeSeries object

6 msgs · May 5 – May 19

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

quantmod and intraday time periods

4 msgs · May 7 – May 8

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

quantmod chart parameters

1 msg · May 25

Mahesh Krishnan quantmod chart parameters May 25, 2009

quantmod getSymbols

3 msgs · May 29 – May 30

Khanh Nguyen quantmod getSymbols May 29, 2009 Spencer Graves quantmod getSymbols May 29, 2009 Jeff Ryan quantmod getSymbols May 30, 2009

some notes on using R in Amazon's EC2

1 msg · May 18

Robert Grossman some notes on using R in Amazon's EC2 May 18, 2009

the payoff of an call option

5 msgs · May 12 – May 13

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

tick data database

4 msgs · May 1 – May 2

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

time series question

7 msgs · May 22 – May 23

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 Mark Leeds time series question May 23, 2009 Spencer Graves time series question May 23, 2009 Mark Leeds time series question May 23, 2009

trying to plot coincident time series in quantmod...

4 msgs · May 14 – May 14

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

why does interpolation in high frequency time series create spurious correlation?

1 msg · May 24

stefano iacus why does interpolation in high frequency time series create spurious correlation? May 24, 2009

why does interpolation in high frequency time series create spurious correlation?

1 msg · May 22

Michael why does interpolation in high frequency time series create spurious correlation? May 22, 2009

xts and TTR problems

2 msgs · May 27 – May 28

B Kim xts and TTR problems May 27, 2009 Joshua Ulrich xts and TTR problems May 28, 2009

R-SIG-Finance May 2009

"Next" in quantmod

A question on Interest Rate

BLCOP / Idzorek working paper

Calculating SharpeRatio for several managers with PerformanceAnalytics

Chart formats

Chi-sq Hausman test---R vs Stata

Convert Daily PnL to Returns

Domestic risk free rate in FX option

Domestic risk free rate in FX option

Domestic risk free rate in FXoption

Financial time series data mining in R

Hamilton Filters

Hamilton Filters (and Kalman)

Interfacing R with Interactive Brokers

Intro Stock Market Time Series Questions

JOB: Permanent C++ Programmer in London, England, UK

Kdb (Was: high frequency data analysis in R)

NERC holiday calendar

Newbie question on risk free Interest Rate

Non-parametric tests in R

Predictive Analytics Seminar: May 27-28, New York City

Preprocessing RData file (Was: Kdb (Was: high frequency data analysis in R))

Preprocessing RData file (data.table and ff, bigmemory)

Problem with Delt() from quantmod

Problem with subsetting in xts package

Quantmod getFinancials

R training in London (and a talk)

R-SIG-Finance Digest, Vol 60, Issue 9

R/Finance 2009 Presentations Online

R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18]

RBloomberg (was Re: intraday data for VIX?)

RBloomberg - limit on size of return array?

RBloomberg WAS: [R-sig-finance] intraday data for VIX?

R^2 extraction and autocorrelation/heterokedasticity on TSLS regression

R^2 extraction and autocorrelation/heterokedasticity tests on tsls regression

Rglpk_solve_LP

Rquantlib discount curve

TSLS: R^2 extraction and autocorrelation and heterokedasticity tests

TTR Stochastics function - internal smoothing

Thoughts for "Michael" (was "high frequency")

VAR Modelling

WG: Re: RBloomberg - limit on size of return array?

abline for quantmod charts

ca.jo help

extract parameters from fitCopula outputs !!

fArma- Prediction for ARFIMA not yet implemented?

fPortfolio - Change in getWeights function

fPortfolio - Maximum Return Portfolio

fit NGARCH model

getSymbols in quantmod

hands-on model selection and statistical data analysis books in R?

high frequency data analysis in R

intraday data for VIX?

issues with NGARCH in rgarch package

legend in quantmod

maxratioPortfolio

periodReturn() does not work anymore except for period="daily".

portfolio rebalancing

positions in timeSeries object

quantmod and intraday time periods

quantmod chart parameters

quantmod getSymbols

some notes on using R in Amazon's EC2

the payoff of an call option

tick data database

time series question

trying to plot coincident time series in quantmod...

why does interpolation in high frequency time series create spurious correlation?

why does interpolation in high frequency time series create spurious correlation?

xts and TTR problems