R-SIG-Finance - June 2009 - Subject View

A question on VECM

8 msgs · Jun 3 – Jun 4

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

Antwort: Re: [R-sig-finance] Newbie question on risk free Interest Rate

1 msg · Jun 2

Matthias.Koberstein at hsbctrinkaus.de Antwort: Re: [R-sig-finance] Newbie question on risk free Interest Rate Jun 2, 2009

Asynchronous xts time series

1 msg · Jun 23

Roberto Osorio Asynchronous xts time series Jun 23, 2009

Backtesting framework package

2 msgs · Jun 23 – Jun 23

R_help Help Backtesting framework package Jun 23, 2009 Joshua Ulrich Backtesting framework package Jun 23, 2009

Basic Mean Variance Optimization

2 msgs · Jun 15 – Jun 27

burke nersesian Basic Mean Variance Optimization Jun 15, 2009 Spencer Graves Basic Mean Variance Optimization Jun 27, 2009

Business day conventions

4 msgs · Jun 10 – Jun 15

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

CQG API

2 msgs · Jun 23 – Jun 23

Samuel Kemp CQG API Jun 23, 2009 Brian G. Peterson CQG API Jun 23, 2009

CQG Gateway for R

2 msgs · Jun 16 – Jun 16

Brian G. Peterson CQG Gateway for R Jun 16, 2009 Dirk Eddelbuettel CQG Gateway for R Jun 16, 2009

Creating a VCEM data generating process

2 msgs · Jun 28 – Jun 28

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 · Jun 30

Matthieu Stigler Creating a VCEM data generating process Jun 30, 2009

Creating a VCEM data generating process

2 msgs · Jun 28 – Jun 28

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 · Jun 28

Ron Michael Creating a VCEM data generating process Jun 28, 2009

Download and parse CME data

2 msgs · Jun 17 – Jun 17

James Long Download and parse CME data Jun 17, 2009 Brian G. Peterson Download and parse CME data Jun 17, 2009

Downloading data from specific website

5 msgs · Jun 18 – Jun 21

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

Finance Data

2 msgs · Jun 15 – Jun 15

malcolm Crouch Finance Data Jun 15, 2009 Jeff Ryan Finance Data Jun 15, 2009

Fix ARMA parameters in garchfit

2 msgs · Jun 7 – Jun 8

Daniel Mail Fix ARMA parameters in garchfit Jun 7, 2009 Daniel Mail Fix ARMA parameters in garchfit Jun 8, 2009

Fundamental analysis library?

2 msgs · Jun 16 – Jun 30

Joshua Reich Fundamental analysis library? Jun 16, 2009 Spencer Graves Fundamental analysis library? Jun 30, 2009

Generating Monthly Returns from a ton of daily data

1 msg · Jun 4

Dirk Eddelbuettel Generating Monthly Returns from a ton of daily data Jun 4, 2009

Generating Monthly Returns from a ton of daily data

5 msgs · Jun 4 – Jun 4

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 Cedrick Johnson Generating Monthly Returns from a ton of daily data Jun 4, 2009

Help on constrained regression

1 msg · Jun 29

R_help Help Help on constrained regression Jun 29, 2009

Hi this is not a R-problem per se but an econometric problem of course

1 msg · Jun 15

Brian G. Peterson Hi this is not a R-problem per se but an econometric problem of course Jun 15, 2009

Hi this is not a R-problem per se but an econometric problem of course

1 msg · Jun 15

KAUSHIK BHATTACHARJEE Hi this is not a R-problem per se but an econometric problem of course Jun 15, 2009

How to compare two asynchroneous xts time series?

1 msg · Jun 11

Spencer Graves How to compare two asynchroneous xts time series? Jun 11, 2009

How to compare two asynchroneous xts time series?

9 msgs · Jun 11 – Jun 22

How to create seasonal variable for zoo object.

4 msgs · Jun 21 – Jun 21

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

How to pass user name and password via code

2 msgs · Jun 21 – Jun 21

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

Interactive Broker API

9 msgs · Jun 5 – Jun 5

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

Least Square estimate of Multi-variate time series data

2 msgs · Jun 18 – Jun 18

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

Name of output column xts vs. dataframe using ifelse statement

4 msgs · Jun 28 – Jun 29

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

Newbie question on risk free Interest Rate

1 msg · Jun 1

Mark Leeds Newbie question on risk free Interest Rate Jun 1, 2009

Newbie question on risk free Interest Rate

2 msgs · Jun 1 – Jun 2

Christofer Bogaso Newbie question on risk free Interest Rate Jun 1, 2009 Stanley Neo Newbie question on risk free Interest Rate Jun 2, 2009

Package Quantmod: reading csv files

4 msgs · Jun 4 – Jun 4

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

Performance Analytics

3 msgs · Jun 23 – Jun 23

Sean Jewell Performance Analytics Jun 23, 2009 ssmith88 at umd.edu Performance Analytics Jun 23, 2009 Brian G. Peterson Performance Analytics Jun 23, 2009

R-SIG-Finance Digest, Vol 61, Issue 2

1 msg · Jun 2

Stanley Neo R-SIG-Finance Digest, Vol 61, Issue 2 Jun 2, 2009

R/Rmetrics ebook and Meielisalp Workshop

1 msg · Jun 5

Diethelm Wuertz R/Rmetrics ebook and Meielisalp Workshop Jun 5, 2009

RBloomberg with rcom

3 msgs · Jun 18 – Jun 22

Ana Nelson RBloomberg with rcom Jun 18, 2009 Ian Coe RBloomberg with rcom Jun 22, 2009 Ana Nelson RBloomberg with rcom Jun 22, 2009

Real interest rate data

2 msgs · Jun 12 – Jun 14

Bastian.Offermann at zzgmbh.at Real interest rate data Jun 12, 2009 Spencer Graves Real interest rate data Jun 14, 2009

Return.calculate strange results?

2 msgs · Jun 12 – Jun 12

Mark Breman Return.calculate strange results? Jun 12, 2009 Robert Iquiapaza Return.calculate strange results? Jun 12, 2009

SPS and QLPM portfolios

2 msgs · Jun 15 – Jun 29

ssmith88 at umd.edu SPS and QLPM portfolios Jun 15, 2009 Spencer Graves SPS and QLPM portfolios Jun 29, 2009

Sharpe ratio in tseries

4 msgs · Jun 15 – Jun 15

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

Speed optimization on minutes distribution calculation

1 msg · Jun 15

Brian G. Peterson Speed optimization on minutes distribution calculation Jun 15, 2009

Speed optimization on minutes distribution calculation

5 msgs · Jun 15 – Jun 16

Wind 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

Surface plot of multivariate time series

1 msg · Jun 2

Paul Gilbert Surface plot of multivariate time series Jun 2, 2009

Surface plot of multivariate time series

6 msgs · Jun 1 – Jun 2

Megh Dal Surface plot of multivariate time series Jun 1, 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 Megh Dal Surface plot of multivariate time series Jun 2, 2009

TTR Stochastics function - internal smoothing

3 msgs · May 31 – Jun 1

Stanley Neo TTR Stochastics function - internal smoothing May 31, 2009 Stanley Neo TTR Stochastics function - internal smoothing Jun 1, 2009 Joshua Ulrich TTR Stochastics function - internal smoothing Jun 1, 2009

Value-at-Risk

2 msgs · Jun 30 – Jun 30

Wei-han Liu Value-at-Risk Jun 30, 2009 Adams, Zeno Value-at-Risk Jun 30, 2009

Vasicek model estimation via linear regression

5 msgs · Jun 17 – Jun 17

Zanella Marco Vasicek model estimation via linear regression Jun 17, 2009 Schaeffer, Derek BGI SF Vasicek model estimation via linear regression Jun 17, 2009 Mark Leeds Vasicek model estimation via linear regression Jun 17, 2009 Eric Zivot Vasicek model estimation via linear regression Jun 17, 2009 Mark Leeds Vasicek model estimation via linear regression Jun 17, 2009

Vector autoregression with Newey-West standard errors

7 msgs · Jun 9 – Jun 10

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 Liviu Andronic Vector autoregression with Newey-West standard errors Jun 10, 2009 Liviu Andronic Vector autoregression with Newey-West standard errors Jun 10, 2009

applying na.locf to xts objects sometimes crashes R

2 msgs · Jun 30 – Jun 30

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

buildModel in quantmod issue

2 msgs · Jun 12 – Jun 12

Menezes, Ian buildModel in quantmod issue Jun 12, 2009 Jeff Ryan buildModel in quantmod issue Jun 12, 2009

chart.PerformanceAnalytics(), character string is not in a standard unambiguous format

3 msgs · Jun 17 – Jun 17

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 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

3 msgs · Jun 17 – Jun 17

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

client id issue with IBrokers

1 msg · Jun 4

Wind client id issue with IBrokers Jun 4, 2009

determine non-linear correlation

12 msgs · Jun 3 – Jun 10

efficient extraction of local extrema and zero-crossings in large multivariate zoo?

4 msgs · Jun 25 – Jun 30

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

fPortfolio and R/Rmetrics

2 msgs · Jun 7 – Jun 7

Charles Ward fPortfolio and R/Rmetrics Jun 7, 2009 Gabor Grothendieck fPortfolio and R/Rmetrics Jun 7, 2009

hands-on book on financial time series with R?

5 msgs · Jun 15 – Jun 16

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

how to compute the daily return?

2 msgs · Jun 20 – Jun 20

Michael how to compute the daily return? Jun 20, 2009 Khanh Nguyen how to compute the daily return? Jun 20, 2009

how to read in this time series csv file with both dates and times?

4 msgs · Jun 20 – Jun 22

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

in xts behavior of to.minutes() and to.period()

9 msgs · Jun 24 – Jun 24

iterations inside odfWeave

5 msgs · Jun 2 – Jun 2

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

portfolioFrontier nonsense

6 msgs · Jun 12 – Jun 15

ssmith88 at umd.edu portfolioFrontier nonsense Jun 12, 2009 Diethelm Wuertz portfolioFrontier nonsense Jun 12, 2009 ssmith88 at umd.edu portfolioFrontier nonsense Jun 13, 2009 Bengoechea Bartolomé Enrique (SIES 73) portfolioFrontier nonsense Jun 15, 2009 Andy Zhu portfolioFrontier nonsense Jun 15, 2009 ssmith88 at umd.edu portfolioFrontier nonsense Jun 15, 2009

prices in usd

16 msgs · Jun 11 – Jun 17

quantmod error downloading .AORD data

2 msgs · Jun 10 – Jun 10

Sean Carmody quantmod error downloading .AORD data Jun 10, 2009 Wind quantmod error downloading .AORD data Jun 10, 2009

re[R-sig-finance] commended books

3 msgs · Jun 28 – Jun 29

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

re[R-sig-finance] trieving option info from IB

1 msg · Jun 10

Wind re[R-sig-finance] trieving option info from IB Jun 10, 2009

recommended books

3 msgs · Jun 26 – Jun 30

Stefan Janse van Rensburg recommended books Jun 26, 2009 Gabor Grothendieck recommended books Jun 26, 2009 Stefan Janse van Rensburg recommended books Jun 30, 2009

retrieving option info from IB

5 msgs · Jun 4 – Jun 4

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

skew normal cond.dist in fGarch::garchFit

1 msg · Jun 2

Valentin Dimitrov skew normal cond.dist in fGarch::garchFit Jun 2, 2009

standard error and p-value for the estimated parameter in AR model

6 msgs · Jun 22 – Jun 23

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 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 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 23, 2009

subscripting variable names?

2 msgs · Jun 4 – Jun 4

Charles Evans subscripting variable names? Jun 4, 2009 Brian G. Peterson subscripting variable names? Jun 4, 2009

working levelplot with zoo - surface plot of multivariate time series

1 msg · Jun 2

Christian Gunning working levelplot with zoo - surface plot of multivariate time series Jun 2, 2009

zoo plotting - invalid 'ylim' value

7 msgs · Jun 17 – Jun 17

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

R-SIG-Finance June 2009

A question on VECM

Antwort: Re: [R-sig-finance] Newbie question on risk free Interest Rate

Asynchronous xts time series

Backtesting framework package

Basic Mean Variance Optimization

Business day conventions

CQG API

CQG Gateway for R

Creating a VCEM data generating process

Creating a VCEM data generating process

Creating a VCEM data generating process

Creating a VCEM data generating process

Download and parse CME data

Downloading data from specific website

Finance Data

Fix ARMA parameters in garchfit

Fundamental analysis library?

Generating Monthly Returns from a ton of daily data

Generating Monthly Returns from a ton of daily data

Help on constrained regression

Hi this is not a R-problem per se but an econometric problem of course

Hi this is not a R-problem per se but an econometric problem of course

How to compare two asynchroneous xts time series?

How to compare two asynchroneous xts time series?

How to create seasonal variable for zoo object.

How to pass user name and password via code

Interactive Broker API

Least Square estimate of Multi-variate time series data

Name of output column xts vs. dataframe using ifelse statement

Newbie question on risk free Interest Rate

Newbie question on risk free Interest Rate

Package Quantmod: reading csv files

Performance Analytics

R-SIG-Finance Digest, Vol 61, Issue 2

R/Rmetrics ebook and Meielisalp Workshop

RBloomberg with rcom

Real interest rate data

Return.calculate strange results?

SPS and QLPM portfolios

Sharpe ratio in tseries

Speed optimization on minutes distribution calculation

Speed optimization on minutes distribution calculation

Surface plot of multivariate time series

Surface plot of multivariate time series

TTR Stochastics function - internal smoothing

Value-at-Risk

Vasicek model estimation via linear regression

Vector autoregression with Newey-West standard errors

applying na.locf to xts objects sometimes crashes R

buildModel in quantmod issue

chart.PerformanceAnalytics(), character string is not in a standard unambiguous format

chart.PerformanceAnalytics(), character string is not in a standard unambiguous format

client id issue with IBrokers

determine non-linear correlation

efficient extraction of local extrema and zero-crossings in large multivariate zoo?

fPortfolio and R/Rmetrics

hands-on book on financial time series with R?

how to compute the daily return?

how to read in this time series csv file with both dates and times?

in xts behavior of to.minutes() and to.period()

iterations inside odfWeave

portfolioFrontier nonsense

prices in usd

quantmod error downloading .AORD data

re[R-sig-finance] commended books

re[R-sig-finance] trieving option info from IB

recommended books

retrieving option info from IB

skew normal cond.dist in fGarch::garchFit

standard error and p-value for the estimated parameter in AR model

subscripting variable names?

working levelplot with zoo - surface plot of multivariate time series

zoo plotting - invalid 'ylim' value