R-SIG-Finance - October 2009 - Subject View

Blotter package - problem with example (Jan Vandermeer)

1 msg · Oct 14

Jan Vandermeer Blotter package - problem with example (Jan Vandermeer) Oct 14, 2009

Blotter package - problem with example.

4 msgs · Oct 13 – Oct 14

Jan Vandermeer Blotter package - problem with example. Oct 13, 2009 Jeff Ryan Blotter package - problem with example. Oct 13, 2009 Jan Vandermeer Blotter package - problem with example. Oct 14, 2009 Mark Knecht Blotter package - problem with example. Oct 14, 2009

COPULA

1 msg · Oct 22

Michael Kristoffer Nagl COPULA Oct 22, 2009

Can we post following event to discussion board?

1 msg · Oct 15

Elise Johnson Can we post following event to discussion board? Oct 15, 2009

Can you post next Predictive Analytics World conference on forum?

1 msg · Oct 1

Dirk Eddelbuettel Can you post next Predictive Analytics World conference on forum? Oct 1, 2009

Engle Granger test critical values

2 msgs · Oct 2 – Oct 2

Reena Bansal Engle Granger test critical values Oct 2, 2009 Guy Yollin Engle Granger test critical values Oct 2, 2009

Enough, please (Was: Mathematical Expectation for a trading system)

1 msg · Oct 16

Dirk Eddelbuettel Enough, please (Was: Mathematical Expectation for a trading system) Oct 16, 2009

Error found - [Perfect out-of-sample-fit in a model containing a lagged dependent variable?]

1 msg · Oct 15

Gero Schwenk Error found - [Perfect out-of-sample-fit in a model containing a lagged dependent variable?] Oct 15, 2009

Estimation in a changepoint regression with R

1 msg · Oct 15

FMH Estimation in a changepoint regression with R Oct 15, 2009

Evaluating equity curves

8 msgs · Oct 11 – Oct 14

Aleks Clark Evaluating equity curves Oct 11, 2009 R. Vince Evaluating equity curves Oct 11, 2009 Brian G. Peterson Evaluating equity curves Oct 11, 2009 R. Vince Evaluating equity curves Oct 11, 2009 Brian G. Peterson Evaluating equity curves Oct 11, 2009 Robert Sams Evaluating equity curves Oct 12, 2009 Aleks Clark Evaluating equity curves Oct 14, 2009 Patrick Burns Evaluating equity curves Oct 14, 2009

Evaluating/comparing dynamic linear model

2 msgs · Oct 7 – Oct 7

R_help Help Evaluating/comparing dynamic linear model Oct 7, 2009 Erb Philipp (erbp) Evaluating/comparing dynamic linear model Oct 7, 2009

Exploratory analyses: Experience using gputools-package for Nvidia graphics-accellerators?

3 msgs · Oct 16 – Oct 16

Gero Schwenk Exploratory analyses: Experience using gputools-package for Nvidia graphics-accellerators? Oct 16, 2009 Brian G. Peterson Exploratory analyses: Experience using gputools-package for Nvidia graphics-accellerators? Oct 16, 2009 Dirk Eddelbuettel Exploratory analyses: Experience using gputools-package for Nvidia graphics-accellerators? Oct 16, 2009

Extracting a fitted series from an ARIMA model

1 msg · Oct 27

Philipp Lincoln Extracting a fitted series from an ARIMA model Oct 27, 2009

Fast optimizer

3 msgs · Oct 29 – Oct 29

R_help Help Fast optimizer Oct 29, 2009 Joshua Ulrich Fast optimizer Oct 29, 2009 R_help Help Fast optimizer Oct 29, 2009

How to do multiple time series modelling in R?

5 msgs · Oct 9 – Oct 9

FMH How to do multiple time series modelling in R? Oct 9, 2009 Brian G. Peterson How to do multiple time series modelling in R? Oct 9, 2009 Jeff Ryan How to do multiple time series modelling in R? Oct 9, 2009 Mark Leeds How to do multiple time series modelling in R? Oct 9, 2009 Charles Evans How to do multiple time series modelling in R? Oct 9, 2009

Manipulate database

2 msgs · Oct 28 – Oct 28

Clhis Alberty Manipulate database Oct 28, 2009 Brian G. Peterson Manipulate database Oct 28, 2009

Mathematical Expectation for a trading system

15 msgs · Oct 14 – Oct 16

Multiply xts-series with different frequencies

2 msgs · Oct 21 – Oct 21

Bjorn Skogtro Multiply xts-series with different frequencies Oct 21, 2009 Jeff Ryan Multiply xts-series with different frequencies Oct 21, 2009

Perfect out-of-sample-fit in a model containing a lagged dependent variable?

2 msgs · Oct 15 – Oct 15

Gero Schwenk Perfect out-of-sample-fit in a model containing a lagged dependent variable? Oct 15, 2009 Adrian Trapletti Perfect out-of-sample-fit in a model containing a lagged dependent variable? Oct 15, 2009

Performance Analytics Package: Annualized Returns/Sharpe Ratios and Treynor Ratio

1 msg · Oct 22

Brian G. Peterson Performance Analytics Package: Annualized Returns/Sharpe Ratios and Treynor Ratio Oct 22, 2009

Performance Analytics Package: Annualized Returns/Sharpe Ratios and Treynor Ratio

1 msg · Oct 22

Philipp Lincoln Performance Analytics Package: Annualized Returns/Sharpe Ratios and Treynor Ratio Oct 22, 2009

Portfolio Optimization

1 msg · Oct 2

Lara Shocron Portfolio Optimization Oct 2, 2009

Predictive Analytics Seminar: Nov. 11-12, San Francisco

1 msg · Oct 14

EliseJ Predictive Analytics Seminar: Nov. 11-12, San Francisco Oct 14, 2009

QuantMod trading models docs?

11 msgs · Oct 10 – Oct 12

Question related to RBloomberg

3 msgs · Oct 16 – Oct 16

Sergey Goriatchev Question related to RBloomberg Oct 16, 2009 Phil Smyth Question related to RBloomberg Oct 16, 2009 Sergey Goriatchev Question related to RBloomberg Oct 16, 2009

R CMD --meetup=Chicago --when=Oct 29 --where=Jak'sTap

1 msg · Oct 13

Brian G. Peterson R CMD --meetup=Chicago --when=Oct 29 --where=Jak'sTap Oct 13, 2009

R CMD --meetup=Chicago --where=JaksTap --when=THIS THURSDAY!! (Oct 29)

1 msg · Oct 26

Jeff Ryan R CMD --meetup=Chicago --where=JaksTap --when=THIS THURSDAY!! (Oct 29) Oct 26, 2009

R/Finance 2010: Applied Finance with R --- Call for Papers

1 msg · Oct 28

Jeff Ryan R/Finance 2010: Applied Finance with R --- Call for Papers Oct 28, 2009

RBloomberg News and Upcoming Versions

2 msgs · Oct 1 – Oct 4

Ana Nelson RBloomberg News and Upcoming Versions Oct 1, 2009 Krishna Kumar RBloomberg News and Upcoming Versions Oct 4, 2009

RBloomberg error?

3 msgs · Oct 14 – Oct 24

Konrad Banachewicz RBloomberg error? Oct 14, 2009 Ana Nelson RBloomberg error? Oct 15, 2009 Konrad Banachewicz RBloomberg error? Oct 24, 2009

Rolling Beta

3 msgs · Oct 19 – Oct 19

ehxpieterse Rolling Beta Oct 19, 2009 Brian G. Peterson Rolling Beta Oct 19, 2009 Brian G. Peterson Rolling Beta Oct 19, 2009

Static Portfolio Optimization

9 msgs · Oct 1 – Oct 5

Time series temporal disaggregation

1 msg · Oct 30

Axel Leroix Time series temporal disaggregation Oct 30, 2009

Time series temporal disaggregation (or: going from low frequency to higher frequency)

3 msgs · Oct 30 – Oct 30

Brian G. Peterson Time series temporal disaggregation (or: going from low frequency to higher frequency) Oct 30, 2009 John C Frain Time series temporal disaggregation (or: going from low frequency to higher frequency) Oct 30, 2009 Brian G. Peterson Time series temporal disaggregation (or: going from low frequency to higher frequency) Oct 30, 2009

Vectorized rolling computation on xts series

7 msgs · Oct 7 – Oct 8

Mark Breman Vectorized rolling computation on xts series Oct 7, 2009 Shane Conway Vectorized rolling computation on xts series Oct 7, 2009 Mark Breman Vectorized rolling computation on xts series Oct 7, 2009 Aleks Clark Vectorized rolling computation on xts series Oct 7, 2009 Sandor Benczik Vectorized rolling computation on xts series Oct 7, 2009 Joshua Ulrich Vectorized rolling computation on xts series Oct 7, 2009 Mark Breman Vectorized rolling computation on xts series Oct 8, 2009

Volatility Swaps

2 msgs · Oct 29 – Oct 29

Val Neyman Volatility Swaps Oct 29, 2009 Luwingo Volatility Swaps Oct 29, 2009

agent-based models: any progress?

2 msgs · Oct 27 – Oct 27

Pradeep Raje agent-based models: any progress? Oct 27, 2009 Ana Nelson agent-based models: any progress? Oct 27, 2009

fPortfolio - Portfolio Optimization

1 msg · Oct 1

Lara Shocron fPortfolio - Portfolio Optimization Oct 1, 2009

fPortfolio question and edited code

3 msgs · Oct 2 – Oct 6

Lorenzo Bertolini fPortfolio question and edited code Oct 2, 2009 Diethelm Wuertz fPortfolio question and edited code Oct 5, 2009 Lorenzo Bertolini fPortfolio question and edited code Oct 6, 2009

garch model estimation

2 msgs · Oct 22 – Oct 22

ShyhWeir Tzang garch model estimation Oct 22, 2009 Yohan Chalabi garch model estimation Oct 22, 2009

getQuote real time

2 msgs · Oct 27 – Oct 27

zubin getQuote real time Oct 27, 2009 Brian G. Peterson getQuote real time Oct 27, 2009

gofCopula - Intuition?

1 msg · Oct 28

Michael Kristoffer Nagl gofCopula - Intuition? Oct 28, 2009

how to handle both the symbol names and prices in one xts

2 msgs · Oct 11 – Oct 11

Wind how to handle both the symbol names and prices in one xts Oct 11, 2009 Jeff Ryan how to handle both the symbol names and prices in one xts Oct 11, 2009

how to use xts in setClass()

7 msgs · Oct 27 – Oct 27

Wind how to use xts in setClass() Oct 27, 2009 Wind how to use xts in setClass() Oct 27, 2009 Jeff Ryan how to use xts in setClass() Oct 27, 2009 Wind how to use xts in setClass() Oct 27, 2009 Guillaume Yziquel how to use xts in setClass() Oct 27, 2009 Wind how to use xts in setClass() Oct 27, 2009 Guillaume Yziquel how to use xts in setClass() Oct 27, 2009

interpolating missing values from a TS

4 msgs · Oct 7 – Oct 7

Aleks Clark interpolating missing values from a TS Oct 7, 2009 Matthieu Stigler interpolating missing values from a TS Oct 7, 2009 Brian G. Peterson interpolating missing values from a TS Oct 7, 2009 Gabor Grothendieck interpolating missing values from a TS Oct 7, 2009

little arrows on quantmod charts

6 msgs · Oct 22 – Oct 23

Wind little arrows on quantmod charts Oct 22, 2009 Mark Breman little arrows on quantmod charts Oct 22, 2009 Wind little arrows on quantmod charts Oct 22, 2009 Jeff Ryan little arrows on quantmod charts Oct 23, 2009 Mark Breman little arrows on quantmod charts Oct 23, 2009 Jeff Ryan little arrows on quantmod charts Oct 23, 2009

merging a list of xts objects

2 msgs · Oct 29 – Oct 30

Jiri Hoogland merging a list of xts objects Oct 29, 2009 Jeff Ryan merging a list of xts objects Oct 30, 2009

modeling and forecasting commodity time series?

2 msgs · Oct 28 – Oct 30

Luna modeling and forecasting commodity time series? Oct 28, 2009 David Lüthi modeling and forecasting commodity time series? Oct 30, 2009

portfolio.optim - RiskFreeRate

3 msgs · Oct 5 – Oct 6

Lara Shocron portfolio.optim - RiskFreeRate Oct 5, 2009 Brian G. Peterson portfolio.optim - RiskFreeRate Oct 6, 2009 Diethelm Wuertz portfolio.optim - RiskFreeRate Oct 6, 2009

recommended zoo merge for multiple objects

6 msgs · Oct 9 – Oct 9

seasonal dummy lm equation

2 msgs · Oct 20 – Oct 20

karla hernandez villafuerte seasonal dummy lm equation Oct 20, 2009 Matthieu Stigler seasonal dummy lm equation Oct 20, 2009

treynor black (1973)

2 msgs · Oct 7 – Oct 7

Geoffrey Smith treynor black (1973) Oct 7, 2009 ssmith88 at umd.edu treynor black (1973) Oct 7, 2009

what should I be reading?

1 msg · Sep 30

Gower, Luke what should I be reading? Sep 30, 2009

xts: xts/xts not an xts? and subsetting on hours across all dates

2 msgs · Oct 10 – Oct 10

zubin xts: xts/xts not an xts? and subsetting on hours across all dates Oct 10, 2009 Gabor Grothendieck xts: xts/xts not an xts? and subsetting on hours across all dates Oct 10, 2009

R-SIG-Finance October 2009

Blotter package - problem with example (Jan Vandermeer)

Blotter package - problem with example.

COPULA

Can we post following event to discussion board?

Can you post next Predictive Analytics World conference on forum?

Engle Granger test critical values

Enough, please (Was: Mathematical Expectation for a trading system)

Error found - [Perfect out-of-sample-fit in a model containing a lagged dependent variable?]

Estimation in a changepoint regression with R

Evaluating equity curves

Evaluating/comparing dynamic linear model

Exploratory analyses: Experience using gputools-package for Nvidia graphics-accellerators?

Extracting a fitted series from an ARIMA model

Fast optimizer

How to do multiple time series modelling in R?

Manipulate database

Mathematical Expectation for a trading system

Multiply xts-series with different frequencies

Perfect out-of-sample-fit in a model containing a lagged dependent variable?

Performance Analytics Package: Annualized Returns/Sharpe Ratios and Treynor Ratio

Performance Analytics Package: Annualized Returns/Sharpe Ratios and Treynor Ratio

Portfolio Optimization

Predictive Analytics Seminar: Nov. 11-12, San Francisco

QuantMod trading models docs?

Question related to RBloomberg

R CMD --meetup=Chicago --when=Oct 29 --where=Jak'sTap

R CMD --meetup=Chicago --where=JaksTap --when=THIS THURSDAY!! (Oct 29)

R/Finance 2010: Applied Finance with R --- Call for Papers

RBloomberg News and Upcoming Versions

RBloomberg error?

Rolling Beta

Static Portfolio Optimization

Time series temporal disaggregation

Time series temporal disaggregation (or: going from low frequency to higher frequency)

Vectorized rolling computation on xts series

Volatility Swaps

agent-based models: any progress?

fPortfolio - Portfolio Optimization

fPortfolio question and edited code

garch model estimation

getQuote real time

gofCopula - Intuition?

how to handle both the symbol names and prices in one xts

how to use xts in setClass()

interpolating missing values from a TS

little arrows on quantmod charts

merging a list of xts objects

modeling and forecasting commodity time series?

portfolio.optim - RiskFreeRate

recommended zoo merge for multiple objects

seasonal dummy lm equation

treynor black (1973)

what should I be reading?

xts: xts/xts not an xts? and subsetting on hours across all dates