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R-SIG-Finance June 2009

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applying na.locf to xts objects sometimes crashes R
2 msgs
davidr at rhotrading.com applying na.locf to xts objects sometimes crashes R Jun 30, 2009
Jeff Ryan applying na.locf to xts objects sometimes crashes R Jun 30, 2009
Creating a VCEM data generating process
3 msgs
Mark Leeds Creating a VCEM data generating process Jun 28, 2009
Ron Michael Creating a VCEM data generating process Jun 28, 2009
Matthieu Stigler Creating a VCEM data generating process Jun 30, 2009
Value-at-Risk
2 msgs
Wei-han Liu Value-at-Risk Jun 30, 2009
Adams, Zeno Value-at-Risk Jun 30, 2009
recommended books
1 msg
Stefan Janse van Rensburg recommended books Jun 30, 2009
efficient extraction of local extrema and zero-crossings in large multivariate zoo?
4 msgs
Christian Gunning efficient extraction of local extrema and zero-crossings in large multivariate zoo? Jun 25, 2009
Joshua Ulrich efficient extraction of local extrema and zero-crossings in large multivariate zoo? Jun 25, 2009
Gabor Grothendieck efficient extraction of local extrema and zero-crossings in large multivariate zoo? Jun 26, 2009
Christian Gunning efficient extraction of local extrema and zero-crossings in large multivariate zoo? Jun 30, 2009
Fundamental analysis library?
2 msgs
Joshua Reich Fundamental analysis library? Jun 16, 2009
Spencer Graves Fundamental analysis library? Jun 30, 2009
Help on constrained regression
1 msg
R_help Help Help on constrained regression Jun 29, 2009
SPS and QLPM portfolios
2 msgs
ssmith88 at umd.edu SPS and QLPM portfolios Jun 15, 2009
Spencer Graves SPS and QLPM portfolios Jun 29, 2009
Name of output column xts vs. dataframe using ifelse statement
4 msgs
Kenneth Spriggs Name of output column xts vs. dataframe using ifelse statement Jun 28, 2009
Joshua Ulrich Name of output column xts vs. dataframe using ifelse statement Jun 29, 2009
ksspriggs at gmail.com Name of output column xts vs. dataframe using ifelse statement Jun 29, 2009
Jeff Ryan Name of output column xts vs. dataframe using ifelse statement Jun 29, 2009
recommended books
5 msgs
Stefan Janse van Rensburg recommended books Jun 26, 2009
Gabor Grothendieck recommended books Jun 26, 2009
Christofer Bogaso re[R-sig-finance] commended books Jun 28, 2009
Liviu Andronic re[R-sig-finance] commended books Jun 28, 2009
Patrick Burns re[R-sig-finance] commended books Jun 29, 2009
Creating a VCEM data generating process
2 msgs
Mark Leeds Creating a VCEM data generating process Jun 28, 2009
Ron Michael Creating a VCEM data generating process Jun 28, 2009
Creating a VCEM data generating process
1 msg
Ron Michael Creating a VCEM data generating process Jun 28, 2009
Basic Mean Variance Optimization
2 msgs
burke nersesian Basic Mean Variance Optimization Jun 15, 2009
Spencer Graves Basic Mean Variance Optimization Jun 27, 2009
in xts behavior of to.minutes() and to.period()
9 msgs
Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009
Joshua Ulrich in xts behavior of to.minutes() and to.period() Jun 24, 2009
Jeff Ryan in xts behavior of to.minutes() and to.period() Jun 24, 2009
Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009
Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009
Joshua Ulrich in xts behavior of to.minutes() and to.period() Jun 24, 2009
Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009
Jeff Ryan in xts behavior of to.minutes() and to.period() Jun 24, 2009
Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009
Backtesting framework package
2 msgs
R_help Help Backtesting framework package Jun 23, 2009
Joshua Ulrich Backtesting framework package Jun 23, 2009
Performance Analytics
3 msgs
Sean Jewell Performance Analytics Jun 23, 2009
ssmith88 at umd.edu Performance Analytics Jun 23, 2009
Brian G. Peterson Performance Analytics Jun 23, 2009
standard error and p-value for the estimated parameter in AR model
1 msg
Matthieu Stigler standard error and p-value for the estimated parameter in AR model Jun 23, 2009
CQG API
2 msgs
Samuel Kemp CQG API Jun 23, 2009
Brian G. Peterson CQG API Jun 23, 2009
Asynchronous xts time series
1 msg
Roberto Osorio Asynchronous xts time series Jun 23, 2009
standard error and p-value for the estimated parameter in AR model
1 msg
Mark Leeds standard error and p-value for the estimated parameter in AR model Jun 22, 2009
standard error and p-value for the estimated parameter in AR model
2 msgs
Mark Leeds standard error and p-value for the estimated parameter in AR model Jun 22, 2009
Matthieu Stigler standard error and p-value for the estimated parameter in AR model Jun 22, 2009
standard error and p-value for the estimated parameter in AR model
2 msgs
FMH standard error and p-value for the estimated parameter in AR model Jun 22, 2009
Matthieu Stigler standard error and p-value for the estimated parameter in AR model Jun 22, 2009
how to read in this time series csv file with both dates and times?
4 msgs
Michael how to read in this time series csv file with both dates and times? Jun 20, 2009
Gabor Grothendieck how to read in this time series csv file with both dates and times? Jun 21, 2009
Michael how to read in this time series csv file with both dates and times? Jun 22, 2009
Gabor Grothendieck how to read in this time series csv file with both dates and times? Jun 22, 2009
RBloomberg with rcom
3 msgs
Ana Nelson RBloomberg with rcom Jun 18, 2009
Ian Coe RBloomberg with rcom Jun 22, 2009
Ana Nelson RBloomberg with rcom Jun 22, 2009
How to compare two asynchroneous xts time series?
10 msgs
Anass Mouhsine How to compare two asynchroneous xts time series? Jun 11, 2009
Joshua Ulrich How to compare two asynchroneous xts time series? Jun 11, 2009
Jeff Ryan How to compare two asynchroneous xts time series? Jun 11, 2009
anass How to compare two asynchroneous xts time series? Jun 11, 2009
Joshua Ulrich How to compare two asynchroneous xts time series? Jun 11, 2009
Anass Mouhsine How to compare two asynchroneous xts time series? Jun 11, 2009
Spencer Graves How to compare two asynchroneous xts time series? Jun 11, 2009
anass How to compare two asynchroneous xts time series? Jun 22, 2009
Gabor Grothendieck How to compare two asynchroneous xts time series? Jun 22, 2009
Gabor Grothendieck How to compare two asynchroneous xts time series? Jun 22, 2009
How to pass user name and password via code
2 msgs
Anura Karunaratne How to pass user name and password via code Jun 21, 2009
Joshua Ulrich How to pass user name and password via code Jun 21, 2009
How to create seasonal variable for zoo object.
4 msgs
Christofer Bogaso How to create seasonal variable for zoo object. Jun 21, 2009
Gabor Grothendieck How to create seasonal variable for zoo object. Jun 21, 2009
Christofer Bogaso How to create seasonal variable for zoo object. Jun 21, 2009
Gabor Grothendieck How to create seasonal variable for zoo object. Jun 21, 2009
Downloading data from specific website
5 msgs
Christofer Bogaso Downloading data from specific website Jun 18, 2009
Cedrick Johnson Downloading data from specific website Jun 18, 2009
Gabor Grothendieck Downloading data from specific website Jun 18, 2009
Christofer Bogaso Downloading data from specific website Jun 21, 2009
Gabor Grothendieck Downloading data from specific website Jun 21, 2009
how to compute the daily return?
2 msgs
Michael how to compute the daily return? Jun 20, 2009
Khanh Nguyen how to compute the daily return? Jun 20, 2009
Least Square estimate of Multi-variate time series data
2 msgs
Rohit Garg Least Square estimate of Multi-variate time series data Jun 18, 2009
John Kerpel Least Square estimate of Multi-variate time series data Jun 18, 2009
zoo plotting - invalid 'ylim' value
7 msgs
Khanh Nguyen zoo plotting - invalid 'ylim' value Jun 17, 2009
Gabor Grothendieck zoo plotting - invalid 'ylim' value Jun 17, 2009
Gabor Grothendieck zoo plotting - invalid 'ylim' value Jun 17, 2009
Spencer Graves zoo plotting - invalid 'ylim' value Jun 17, 2009
Gabor Grothendieck zoo plotting - invalid 'ylim' value Jun 17, 2009
Dirk Eddelbuettel zoo plotting - invalid 'ylim' value Jun 17, 2009
Gabor Grothendieck zoo plotting - invalid 'ylim' value Jun 17, 2009
chart.PerformanceAnalytics(), character string is not in a standard unambiguous format
4 msgs
Khanh Nguyen chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009
Brian G. Peterson chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009
Peter Carl chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009
Khanh Nguyen chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009
chart.PerformanceAnalytics(), character string is not in a standard unambiguous format
2 msgs
Khanh Nguyen chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009
Brian G. Peterson chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009
Vasicek model estimation via linear regression
1 msg
Mark Leeds Vasicek model estimation via linear regression Jun 17, 2009
Vasicek model estimation via linear regression
3 msgs
Zanella Marco Vasicek model estimation via linear regression Jun 17, 2009
Schaeffer, Derek BGI SF Vasicek model estimation via linear regression Jun 17, 2009
Eric Zivot Vasicek model estimation via linear regression Jun 17, 2009
Vasicek model estimation via linear regression
1 msg
Mark Leeds Vasicek model estimation via linear regression Jun 17, 2009
prices in usd
16 msgs
Robert Sams prices in usd Jun 12, 2009
Ana Nelson prices in usd Jun 12, 2009
Bastian.Offermann at zzgmbh.at Real interest rate data Jun 12, 2009
Ian Coe prices in usd Jun 12, 2009
Ana Nelson prices in usd Jun 12, 2009
Spencer Graves prices in usd Jun 12, 2009
Ana Nelson prices in usd Jun 12, 2009
Ana Nelson prices in usd Jun 12, 2009
Spencer Graves prices in usd Jun 12, 2009
Spencer Graves prices in usd Jun 12, 2009
Ana Nelson prices in usd Jun 12, 2009
Ian Coe prices in usd Jun 12, 2009
Brian G. Peterson prices in usd Jun 12, 2009
Ana Nelson prices in usd Jun 12, 2009
Spencer Graves Real interest rate data Jun 14, 2009
Ana Nelson prices in usd Jun 17, 2009
Download and parse CME data
2 msgs
James Long Download and parse CME data Jun 17, 2009
Brian G. Peterson Download and parse CME data Jun 17, 2009
CQG Gateway for R
2 msgs
Brian G. Peterson CQG Gateway for R Jun 16, 2009
Dirk Eddelbuettel CQG Gateway for R Jun 16, 2009
hands-on book on financial time series with R?
5 msgs
Michael hands-on book on financial time series with R? Jun 15, 2009
Bastian.Offermann at zzgmbh.at hands-on book on financial time series with R? Jun 15, 2009
Robert Iquiapaza hands-on book on financial time series with R? Jun 15, 2009
Spencer Graves hands-on book on financial time series with R? Jun 15, 2009
Pfaff, Bernhard Dr. hands-on book on financial time series with R? Jun 16, 2009
Speed optimization on minutes distribution calculation
6 msgs
Wind Speed optimization on minutes distribution calculation Jun 15, 2009
Brian G. Peterson Speed optimization on minutes distribution calculation Jun 15, 2009
Wind Speed optimization on minutes distribution calculation Jun 15, 2009
Jeff Ryan Speed optimization on minutes distribution calculation Jun 15, 2009
Jeff Ryan Speed optimization on minutes distribution calculation Jun 15, 2009
Wind Speed optimization on minutes distribution calculation Jun 16, 2009
portfolioFrontier nonsense
2 msgs
Bengoechea Bartolomé Enrique (SIES 73) portfolioFrontier nonsense Jun 15, 2009
ssmith88 at umd.edu portfolioFrontier nonsense Jun 15, 2009
Finance Data
2 msgs
malcolm Crouch Finance Data Jun 15, 2009
Jeff Ryan Finance Data Jun 15, 2009
portfolioFrontier nonsense
1 msg
Andy Zhu portfolioFrontier nonsense Jun 15, 2009
Sharpe ratio in tseries
4 msgs
Subhrangshu Nandi Sharpe ratio in tseries Jun 15, 2009
Gabor Grothendieck Sharpe ratio in tseries Jun 15, 2009
Subhrangshu Nandi Sharpe ratio in tseries Jun 15, 2009
Jeff Ryan Sharpe ratio in tseries Jun 15, 2009
Hi this is not a R-problem per se but an econometric problem of course
2 msgs
KAUSHIK BHATTACHARJEE Hi this is not a R-problem per se but an econometric problem of course Jun 15, 2009
Brian G. Peterson Hi this is not a R-problem per se but an econometric problem of course Jun 15, 2009
Business day conventions
4 msgs
Phil Joubert Business day conventions Jun 10, 2009
Dirk Eddelbuettel Business day conventions Jun 10, 2009
Spencer Graves Business day conventions Jun 14, 2009
Dirk Eddelbuettel Business day conventions Jun 15, 2009
portfolioFrontier nonsense
1 msg
ssmith88 at umd.edu portfolioFrontier nonsense Jun 13, 2009
portfolioFrontier nonsense
2 msgs
ssmith88 at umd.edu portfolioFrontier nonsense Jun 12, 2009
Diethelm Wuertz portfolioFrontier nonsense Jun 12, 2009
Return.calculate strange results?
2 msgs
Mark Breman Return.calculate strange results? Jun 12, 2009
Robert Iquiapaza Return.calculate strange results? Jun 12, 2009
buildModel in quantmod issue
2 msgs
Menezes, Ian buildModel in quantmod issue Jun 12, 2009
Jeff Ryan buildModel in quantmod issue Jun 12, 2009
prices in usd
2 msgs
Ian Coe prices in usd Jun 11, 2009
Ian Coe prices in usd Jun 11, 2009
Vector autoregression with Newey-West standard errors
2 msgs
Liviu Andronic Vector autoregression with Newey-West standard errors Jun 10, 2009
Liviu Andronic Vector autoregression with Newey-West standard errors Jun 10, 2009
quantmod error downloading .AORD data
2 msgs
Sean Carmody quantmod error downloading .AORD data Jun 10, 2009
Wind quantmod error downloading .AORD data Jun 10, 2009
Vector autoregression with Newey-West standard errors
5 msgs
Liviu Andronic Vector autoregression with Newey-West standard errors Jun 9, 2009
Achim Zeileis Vector autoregression with Newey-West standard errors Jun 9, 2009
Matthieu Stigler Vector autoregression with Newey-West standard errors Jun 9, 2009
Achim Zeileis Vector autoregression with Newey-West standard errors Jun 9, 2009
Liviu Andronic Vector autoregression with Newey-West standard errors Jun 10, 2009
retrieving option info from IB
6 msgs
Wind retrieving option info from IB Jun 4, 2009
Jeff Ryan retrieving option info from IB Jun 4, 2009
Wind retrieving option info from IB Jun 4, 2009
Jeff Ryan retrieving option info from IB Jun 4, 2009
Wind retrieving option info from IB Jun 4, 2009
Wind re[R-sig-finance] trieving option info from IB Jun 10, 2009
determine non-linear correlation
1 msg
Mark Breman determine non-linear correlation Jun 10, 2009
determine non-linear correlation
1 msg
Mark Breman determine non-linear correlation Jun 9, 2009
Fix ARMA parameters in garchfit
1 msg
Daniel Mail Fix ARMA parameters in garchfit Jun 8, 2009
fPortfolio and R/Rmetrics
2 msgs
Charles Ward fPortfolio and R/Rmetrics Jun 7, 2009
Gabor Grothendieck fPortfolio and R/Rmetrics Jun 7, 2009
Fix ARMA parameters in garchfit
1 msg
Daniel Mail Fix ARMA parameters in garchfit Jun 7, 2009
determine non-linear correlation
2 msgs
Mark Breman determine non-linear correlation Jun 5, 2009
manulemalin determine non-linear correlation Jun 6, 2009
determine non-linear correlation
3 msgs
Mark Breman determine non-linear correlation Jun 5, 2009
Robert Iquiapaza determine non-linear correlation Jun 5, 2009
Mark Breman determine non-linear correlation Jun 6, 2009
Interactive Broker API
9 msgs
zubin Interactive Broker API Jun 5, 2009
Jeff Ryan Interactive Broker API Jun 5, 2009
Joshua Ulrich Interactive Broker API Jun 5, 2009
R P Herrold Interactive Broker API Jun 5, 2009
Joshua Ulrich Interactive Broker API Jun 5, 2009
R P Herrold Interactive Broker API Jun 5, 2009
Dirk Eddelbuettel Interactive Broker API Jun 5, 2009
Brian G. Peterson Interactive Broker API Jun 5, 2009
Jeff Ryan Interactive Broker API Jun 5, 2009
determine non-linear correlation
5 msgs
Mark Breman determine non-linear correlation Jun 3, 2009
Liviu Andronic determine non-linear correlation Jun 3, 2009
Mark Breman determine non-linear correlation Jun 4, 2009
Stefan Grosse determine non-linear correlation Jun 4, 2009
Matthieu Stigler determine non-linear correlation Jun 5, 2009
R/Rmetrics ebook and Meielisalp Workshop
1 msg
Diethelm Wuertz R/Rmetrics ebook and Meielisalp Workshop Jun 5, 2009
Generating Monthly Returns from a ton of daily data
6 msgs
Cedrick Johnson Generating Monthly Returns from a ton of daily data Jun 4, 2009
Brian G. Peterson Generating Monthly Returns from a ton of daily data Jun 4, 2009
Joshua Ulrich Generating Monthly Returns from a ton of daily data Jun 4, 2009
Cedrick Johnson Generating Monthly Returns from a ton of daily data Jun 4, 2009
Dirk Eddelbuettel Generating Monthly Returns from a ton of daily data Jun 4, 2009
Cedrick Johnson Generating Monthly Returns from a ton of daily data Jun 4, 2009
subscripting variable names?
2 msgs
Charles Evans subscripting variable names? Jun 4, 2009
Brian G. Peterson subscripting variable names? Jun 4, 2009
Package Quantmod: reading csv files
4 msgs
anass Package Quantmod: reading csv files Jun 4, 2009
Gabor Grothendieck Package Quantmod: reading csv files Jun 4, 2009
Joshua Ulrich Package Quantmod: reading csv files Jun 4, 2009
anass Package Quantmod: reading csv files Jun 4, 2009
A question on VECM
8 msgs
Ron Michael A question on VECM Jun 3, 2009
Pfaff, Bernhard Dr. A question on VECM Jun 3, 2009
Ron Michael A question on VECM Jun 4, 2009
Pfaff, Bernhard Dr. A question on VECM Jun 4, 2009
Ron Michael A question on VECM Jun 4, 2009
John C Frain A question on VECM Jun 4, 2009
Ron Michael A question on VECM Jun 4, 2009
Ron Michael A question on VECM Jun 4, 2009
client id issue with IBrokers
1 msg
Wind client id issue with IBrokers Jun 4, 2009
working levelplot with zoo - surface plot of multivariate time series
1 msg
Christian Gunning working levelplot with zoo - surface plot of multivariate time series Jun 2, 2009
iterations inside odfWeave
5 msgs
Eugene Tyurin iterations inside odfWeave Jun 2, 2009
Brian G. Peterson iterations inside odfWeave Jun 2, 2009
Eugene Tyurin iterations inside odfWeave Jun 2, 2009
Joshua Ulrich iterations inside odfWeave Jun 2, 2009
Matthias Kohl iterations inside odfWeave Jun 2, 2009
Newbie question on risk free Interest Rate
1 msg
Stanley Neo Newbie question on risk free Interest Rate Jun 2, 2009
Surface plot of multivariate time series
1 msg
Megh Dal Surface plot of multivariate time series Jun 2, 2009
Surface plot of multivariate time series
6 msgs
Megh Dal Surface plot of multivariate time series Jun 1, 2009
Paul Gilbert Surface plot of multivariate time series Jun 2, 2009
Megh Dal Surface plot of multivariate time series Jun 2, 2009
Shane Conway Surface plot of multivariate time series Jun 2, 2009
Jeff Ryan Surface plot of multivariate time series Jun 2, 2009
Megh Dal Surface plot of multivariate time series Jun 2, 2009
R-SIG-Finance Digest, Vol 61, Issue 2
1 msg
Stanley Neo R-SIG-Finance Digest, Vol 61, Issue 2 Jun 2, 2009
skew normal cond.dist in fGarch::garchFit
1 msg
Valentin Dimitrov skew normal cond.dist in fGarch::garchFit Jun 2, 2009
Newbie question on risk free Interest Rate
2 msgs
Mark Leeds Newbie question on risk free Interest Rate Jun 1, 2009
Matthias.Koberstein at hsbctrinkaus.de Antwort: Re: [R-sig-finance] Newbie question on risk free Interest Rate Jun 2, 2009
TTR Stochastics function - internal smoothing
2 msgs
Stanley Neo TTR Stochastics function - internal smoothing Jun 1, 2009
Joshua Ulrich TTR Stochastics function - internal smoothing Jun 1, 2009
Newbie question on risk free Interest Rate
1 msg
Christofer Bogaso Newbie question on risk free Interest Rate Jun 1, 2009
TTR Stochastics function - internal smoothing
1 msg