R-SIG-Finance - November 2009 - Subject View

A VaR question

11 msgs · Nov 12 – Nov 26

Christofer Bogaso A VaR question Nov 12, 2009 Brian G. Peterson A VaR question Nov 12, 2009 Cedrick Johnson A VaR question Nov 12, 2009 Heiko Mayer A VaR question Nov 12, 2009 Christofer Bogaso A VaR question Nov 12, 2009 Heiko Mayer A VaR question Nov 13, 2009 Ron Michael A VaR question Nov 24, 2009 Ron Michael A VaR question Nov 25, 2009 Matthieu Stigler A VaR question Nov 26, 2009 Ron Michael A VaR question Nov 26, 2009 Ron Michael A VaR question Nov 26, 2009

ARIMA, xreg and intercepts

5 msgs · Nov 9 – Nov 12

Brecknock, Peter ARIMA, xreg and intercepts Nov 9, 2009 Brecknock, Peter ARIMA, xreg and intercepts Nov 12, 2009 Brian G. Peterson ARIMA, xreg and intercepts Nov 12, 2009 Brecknock, Peter ARIMA, xreg and intercepts Nov 12, 2009 Guillaume Yziquel ARIMA, xreg and intercepts Nov 12, 2009

AW: quantmod addTA() How to scale the y axis

1 msg · Nov 28

Brian G. Peterson AW: quantmod addTA() How to scale the y axis Nov 28, 2009

Add values to time series in DB directly

2 msgs · Nov 19 – Nov 19

Josuah Rechtsteiner Add values to time series in DB directly Nov 19, 2009 Whit Armstrong Add values to time series in DB directly Nov 19, 2009

Additive decomposition method

3 msgs · Nov 2 – Nov 3

FMH Additive decomposition method Nov 2, 2009 Khanh Nguyen Additive decomposition method Nov 2, 2009 FMH Additive decomposition method Nov 3, 2009

Creating a back adjusted continuous price series from log returns

1 msg · Nov 27

Patrick Burns Creating a back adjusted continuous price series from log returns Nov 27, 2009

Creating a back adjusted continuous price series from log returns

2 msgs · Nov 27 – Nov 27

Wolfgang Wu Creating a back adjusted continuous price series from log returns Nov 27, 2009 Whit Armstrong Creating a back adjusted continuous price series from log returns Nov 27, 2009

Creating a function for portfolio management

3 msgs · Nov 5 – Nov 6

Manuel Serna Creating a function for portfolio management Nov 5, 2009 debashis dutta Creating a function for portfolio management Nov 6, 2009 debashis dutta Creating a function for portfolio management Nov 6, 2009

Daily Return of a Leveraged / Shorted Asset

2 msgs · Nov 17 – Nov 17

David St John Daily Return of a Leveraged / Shorted Asset Nov 17, 2009 Patrick Burns Daily Return of a Leveraged / Shorted Asset Nov 17, 2009

Data

6 msgs · Nov 27 – Nov 27

Renato Costa Data Nov 27, 2009 Luwingo Data Nov 27, 2009 Charles Evans Data Nov 27, 2009 Jeff Ryan Data Nov 27, 2009 Renato Costa Data Nov 27, 2009 Jeff Ryan Data Nov 27, 2009

Discretising intra-day data -- how to get by with less memory?

1 msg · Nov 27

Ajay Shah Discretising intra-day data -- how to get by with less memory? Nov 27, 2009

Discretising intra-day data -- how to get by with less memory?

2 msgs · Nov 27 – Nov 27

Brian G. Peterson Discretising intra-day data -- how to get by with less memory? Nov 27, 2009 Brian G. Peterson Discretising intra-day data -- how to get by with less memory? Nov 27, 2009

Discretising intra-day data -- how to get by with less memory?

4 msgs · Nov 27 – Nov 27

Ajay Shah Discretising intra-day data -- how to get by with less memory? Nov 27, 2009 Gabor Grothendieck Discretising intra-day data -- how to get by with less memory? Nov 27, 2009 Jeff Ryan Discretising intra-day data -- how to get by with less memory? Nov 27, 2009 Gabor Grothendieck Discretising intra-day data -- how to get by with less memory? Nov 27, 2009

Discretising intra-day data using zoo?

5 msgs · Nov 7 – Nov 8

Ajay Shah Discretising intra-day data using zoo? Nov 7, 2009 Gabor Grothendieck Discretising intra-day data using zoo? Nov 8, 2009 Ajay Shah Discretising intra-day data using zoo? Nov 8, 2009 Gabor Grothendieck Discretising intra-day data using zoo? Nov 8, 2009 Gabor Grothendieck Discretising intra-day data using zoo? Nov 8, 2009

Estimating BEKK model with the mgarch package

1 msg · Nov 23

Jeff Braun Estimating BEKK model with the mgarch package Nov 23, 2009

Fast way of replacing missing data points in xts object

1 msg · Nov 19

Benczik Sandor Fast way of replacing missing data points in xts object Nov 19, 2009

Fast way of replacing missing data points in xts object

3 msgs · Nov 19 – Nov 19

Wolfgang Wu Fast way of replacing missing data points in xts object Nov 19, 2009 Wolfgang Wu Fast way of replacing missing data points in xts object Nov 19, 2009 Brian G. Peterson Fast way of replacing missing data points in xts object Nov 19, 2009

Grouped Log Likelihood function??

2 msgs · Nov 2 – Nov 2

Noah Silverman Grouped Log Likelihood function?? Nov 2, 2009 Brian G. Peterson Grouped Log Likelihood function?? Nov 2, 2009

Help with fPortfolio

2 msgs · Nov 10 – Nov 11

Abhijit Bera Help with fPortfolio Nov 10, 2009 Yohan Chalabi Help with fPortfolio Nov 11, 2009

How can I retrieve list of all companies listed of a given Index say S&P 500

1 msg · Nov 23

Dirk Eddelbuettel How can I retrieve list of all companies listed of a given Index say S&P 500 Nov 23, 2009

How can I retrieve list of all companies listed of a given Index say S&P 500

1 msg · Nov 22

Arthur Kreitman How can I retrieve list of all companies listed of a given Index say S&P 500 Nov 22, 2009

How can I retrieve list of all companies listed of a given Index say S&P 500

5 msgs · Nov 21 – Nov 23

FX Going How can I retrieve list of all companies listed of a given Index say S&P 500 Nov 21, 2009 FX Going How can I retrieve list of all companies listed of a given Index say S&P 500 Nov 21, 2009 Dirk Eddelbuettel How can I retrieve list of all companies listed of a given Index say S&P 500 Nov 22, 2009 Martin Jenkins How can I retrieve list of all companies listed of a given Index say S&P 500 Nov 22, 2009 Jeff Ryan How can I retrieve list of all companies listed of a given Index say S&P 500 Nov 23, 2009

How good is Black-Scholes vs actual option prices

2 msgs · Nov 23 – Nov 27

Peter Mennie How good is Black-Scholes vs actual option prices Nov 23, 2009 Luwingo How good is Black-Scholes vs actual option prices Nov 27, 2009

How to properly compare a trading signal to a random strategy.

4 msgs · Nov 5 – Nov 6

Harry G How to properly compare a trading signal to a random strategy. Nov 5, 2009 Brian G. Peterson How to properly compare a trading signal to a random strategy. Nov 6, 2009 David St John How to properly compare a trading signal to a random strategy. Nov 6, 2009 David St John How to properly compare a trading signal to a random strategy. Nov 6, 2009

Ibrokers Future API

3 msgs · Nov 17 – Nov 17

zubin Ibrokers Future API Nov 17, 2009 Jeff Ryan Ibrokers Future API Nov 17, 2009 zubin Ibrokers Future API Nov 17, 2009

Interfacing R and LIM

3 msgs · Nov 19 – Nov 19

Neil Gupta Interfacing R and LIM Nov 19, 2009 Whit Armstrong Interfacing R and LIM Nov 19, 2009 Dirk Eddelbuettel Interfacing R and LIM Nov 19, 2009

Interpreting impluse response coefficients

2 msgs · Nov 24 – Nov 24

Karl Schriek Interpreting impluse response coefficients Nov 24, 2009 Karl Schriek Interpreting impluse response coefficients Nov 24, 2009

Invitation to R users - Forum on News Analytics applied to Trading, Fund Management and Risk Control

1 msg · Nov 4

Michael Sun Invitation to R users - Forum on News Analytics applied to Trading, Fund Management and Risk Control Nov 4, 2009

Load all stock symbols

3 msgs · Nov 9 – Nov 9

Paolo Cabaleiro Load all stock symbols Nov 9, 2009 Jeff Ryan Load all stock symbols Nov 9, 2009 Khanh Nguyen Load all stock symbols Nov 9, 2009

NYMEX/COMEX daily settle txt files

1 msg · Nov 17

Joe W. Byers NYMEX/COMEX daily settle txt files Nov 17, 2009

Nelson- Siegel - (Yield Curve - Smoothening of curve)

1 msg · Nov 10

Julia Cairns Nelson- Siegel - (Yield Curve - Smoothening of curve) Nov 10, 2009

Order a XTS object by value

2 msgs · Nov 17 – Nov 17

Zanella Marco Order a XTS object by value Nov 17, 2009 Jeff Ryan Order a XTS object by value Nov 17, 2009

Quantmod: getFin; getFinancials

4 msgs · Nov 30 – Nov 30

Arun Kumar Saha Quantmod: getFin; getFinancials Nov 30, 2009 Konrad Hoppe Quantmod: getFin; getFinancials Nov 30, 2009 km Quantmod: getFin; getFinancials Nov 30, 2009 Jeff Ryan Quantmod: getFin; getFinancials Nov 30, 2009

Question about tailSlider function in fExtremes

1 msg · Nov 7

janet watson Question about tailSlider function in fExtremes Nov 7, 2009

R: Use VAR model to predict response to change in values of certain variables

5 msgs · Nov 23 – Nov 24

Karl Schriek R: Use VAR model to predict response to change in values of certain variables Nov 23, 2009 Matthieu Stigler R: Use VAR model to predict response to change in values of certain variables Nov 23, 2009 Karl Schriek R: Use VAR model to predict response to change in values of certain variables Nov 24, 2009 Matthieu Stigler R: Use VAR model to predict response to change in values of certain variables Nov 24, 2009 Karl Schriek R: Use VAR model to predict response to change in values of certain variables Nov 24, 2009

RcppTemplate

1 msg · Nov 8

Dominick Samperi RcppTemplate Nov 8, 2009

Residuals with Elliot-Rothenberg-Stock Unit Root Test

2 msgs · Nov 13 – Nov 16

Jose Iparraguirre D'Elia Residuals with Elliot-Rothenberg-Stock Unit Root Test Nov 13, 2009 Matthieu Stigler Residuals with Elliot-Rothenberg-Stock Unit Root Test Nov 16, 2009

Retrieving latest day's data

5 msgs · Nov 16 – Nov 17

Martin Jenkins Retrieving latest day's data Nov 16, 2009 Joshua Ulrich Retrieving latest day's data Nov 16, 2009 Cedrick Johnson Retrieving latest day's data Nov 16, 2009 Martin Jenkins Retrieving latest day's data Nov 17, 2009 Jeff Ryan Retrieving latest day's data Nov 17, 2009

RquantLib : FittedBondCurve function

6 msgs · Nov 4 – Nov 6

Olivier Schmitt RquantLib : FittedBondCurve function Nov 4, 2009 Allen Kuo RquantLib : FittedBondCurve function Nov 5, 2009 Khanh Nguyen RquantLib : FittedBondCurve function Nov 5, 2009 Olivier Schmitt RquantLib : FittedBondCurve function Nov 5, 2009 Khanh Nguyen RquantLib : FittedBondCurve function Nov 5, 2009 Olivier Schmitt RquantLib : FittedBondCurve function Nov 6, 2009

SMA on Volume?

2 msgs · Nov 27 – Nov 27

Robert Nicholson SMA on Volume? Nov 27, 2009 Joshua Ulrich SMA on Volume? Nov 27, 2009

Sequential MLE on time series with rolling window

1 msg · Nov 3

Ajay Shah Sequential MLE on time series with rolling window Nov 3, 2009

Sequential MLE on time series with rolling window

1 msg · Nov 3

R_help Help Sequential MLE on time series with rolling window Nov 3, 2009

Simple XTS Quantmod Problem

5 msgs · Nov 1 – Nov 1

Arthur Kreitman Simple XTS Quantmod Problem Nov 1, 2009 Scott MacDonald Simple XTS Quantmod Problem Nov 1, 2009 Guillaume Yziquel Simple XTS Quantmod Problem Nov 1, 2009 Arthur Kreitman Simple XTS Quantmod Problem Nov 1, 2009 Guillaume Yziquel Simple XTS Quantmod Problem Nov 1, 2009

Systemfit package/Autocorrelation

3 msgs · Nov 6 – Nov 6

Axel Leroix Systemfit package/Autocorrelation Nov 6, 2009 Peter Carl Systemfit package/Autocorrelation Nov 6, 2009 Eric Zivot Systemfit package/Autocorrelation Nov 6, 2009

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

1 msg · Nov 7

John C Frain Time series temporal disaggregation (or: going from low frequency to higher frequency) Nov 7, 2009

WG: quantmod addTA() How to scale the y axis

1 msg · Nov 28

Konrad Hoppe WG: quantmod addTA() How to scale the y axis Nov 28, 2009

WG: quantmod addTA() How to scale the y axis

3 msgs · Nov 28 – Nov 28

Joshua Ulrich WG: quantmod addTA() How to scale the y axis Nov 28, 2009 Konrad Hoppe WG: quantmod addTA() How to scale the y axis Nov 28, 2009 Konrad Hoppe WG: quantmod addTA() How to scale the y axis Nov 28, 2009

fImport : where to get a list of ticker symbols?

4 msgs · Nov 15 – Nov 15

Gero Schwenk fImport : where to get a list of ticker symbols? Nov 15, 2009 Brian G. Peterson fImport : where to get a list of ticker symbols? Nov 15, 2009 julien cuisinier fImport : where to get a list of ticker symbols? Nov 15, 2009 Joshua Ulrich fImport : where to get a list of ticker symbols? Nov 15, 2009

fPortfolio not loading Rsymphony package

2 msgs · Nov 3 – Nov 4

Jonathan Ling fPortfolio not loading Rsymphony package Nov 3, 2009 Jonathan Ling fPortfolio not loading Rsymphony package Nov 4, 2009

fSeries/fGarch for R 2.7.0

4 msgs · Nov 18 – Nov 18

matthias.kornexl at raiffeisenbank.at fSeries/fGarch for R 2.7.0 Nov 18, 2009 Cedrick Johnson fSeries/fGarch for R 2.7.0 Nov 18, 2009 Brian G. Peterson fSeries/fGarch for R 2.7.0 Nov 18, 2009 Jeff Ryan fSeries/fGarch for R 2.7.0 Nov 18, 2009

how use the results of rollapply in the previousrow to the next row...

1 msg · Nov 25

Benczik Sandor how use the results of rollapply in the previousrow to the next row... Nov 25, 2009

how use the results of rollapply in the previous row to the next row...

2 msgs · Nov 24 – Nov 25

Jiri Hoogland how use the results of rollapply in the previous row to the next row... Nov 24, 2009 Gabor Grothendieck how use the results of rollapply in the previous row to the next row... Nov 25, 2009

nonlinear constraints in GARCH estimation

2 msgs · Nov 14 – Nov 14

ShyhWeir Tzang nonlinear constraints in GARCH estimation Nov 14, 2009 Alexios Ghalanos nonlinear constraints in GARCH estimation Nov 14, 2009

package(vars) and generalized impulse response functions

3 msgs · Nov 4 – Nov 4

Vimal B package(vars) and generalized impulse response functions Nov 4, 2009 Matthieu Stigler package(vars) and generalized impulse response functions Nov 4, 2009 Vimal B package(vars) and generalized impulse response functions Nov 4, 2009

plotting market cap heatmap

3 msgs · Nov 2 – Nov 2

Khanh Nguyen plotting market cap heatmap Nov 2, 2009 Brian G. Peterson plotting market cap heatmap Nov 2, 2009 Peter Carl plotting market cap heatmap Nov 2, 2009

portfolio optimization - maximizing returns for a given risk.

1 msg · Nov 5

Thomas Etheber portfolio optimization - maximizing returns for a given risk. Nov 5, 2009

portfolio optimization - maximizing returns for a given risk.

1 msg · Nov 5

Lara Shocron portfolio optimization - maximizing returns for a given risk. Nov 5, 2009

problems in GJR-GARCH with t-disrtibuted error terms in SAS

2 msgs · Nov 19 – Nov 19

KAUSHIK BHATTACHARJEE problems in GJR-GARCH with t-disrtibuted error terms in SAS Nov 19, 2009 Jeff Ryan problems in GJR-GARCH with t-disrtibuted error terms in SAS Nov 19, 2009

quantmod addTA() How to scale the y axis

2 msgs · Nov 27 – Nov 27

Konrad Hoppe quantmod addTA() How to scale the y axis Nov 27, 2009 Brian G. Peterson quantmod addTA() How to scale the y axis Nov 27, 2009

row-by-row operations on multiple xts matrices

3 msgs · Nov 23 – Nov 23

Murali.MENON at fortisinvestments.com row-by-row operations on multiple xts matrices Nov 23, 2009 Joshua Ulrich row-by-row operations on multiple xts matrices Nov 23, 2009 Murali.MENON at fortisinvestments.com row-by-row operations on multiple xts matrices Nov 23, 2009

save XTS

4 msgs · Nov 2 – Nov 2

zubin save XTS Nov 2, 2009 Joshua Ulrich save XTS Nov 2, 2009 Jeff Ryan save XTS Nov 2, 2009 zubin save XTS Nov 2, 2009

varRisk in fPortfolio package

3 msgs · Nov 16 – Nov 17

Wei-han Liu varRisk in fPortfolio package Nov 16, 2009 Cedrick Johnson varRisk in fPortfolio package Nov 16, 2009 Brian G. Peterson varRisk in fPortfolio package Nov 17, 2009

xts conversion error

2 msgs · Nov 12 – Nov 12

Subhrangshu Nandi xts conversion error Nov 12, 2009 Subhrangshu Nandi xts conversion error Nov 12, 2009

R-SIG-Finance November 2009

A VaR question

ARIMA, xreg and intercepts

AW: quantmod addTA() How to scale the y axis

Add values to time series in DB directly

Additive decomposition method

Creating a back adjusted continuous price series from log returns

Creating a back adjusted continuous price series from log returns

Creating a function for portfolio management

Daily Return of a Leveraged / Shorted Asset

Data

Discretising intra-day data -- how to get by with less memory?

Discretising intra-day data -- how to get by with less memory?

Discretising intra-day data -- how to get by with less memory?

Discretising intra-day data using zoo?

Estimating BEKK model with the mgarch package

Fast way of replacing missing data points in xts object

Fast way of replacing missing data points in xts object

Grouped Log Likelihood function??

Help with fPortfolio

How can I retrieve list of all companies listed of a given Index say S&P 500

How can I retrieve list of all companies listed of a given Index say S&P 500

How can I retrieve list of all companies listed of a given Index say S&P 500

How good is Black-Scholes vs actual option prices

How to properly compare a trading signal to a random strategy.

Ibrokers Future API

Interfacing R and LIM

Interpreting impluse response coefficients

Invitation to R users - Forum on News Analytics applied to Trading, Fund Management and Risk Control

Load all stock symbols

NYMEX/COMEX daily settle txt files

Nelson- Siegel - (Yield Curve - Smoothening of curve)

Order a XTS object by value

Quantmod: getFin; getFinancials

Question about tailSlider function in fExtremes

R: Use VAR model to predict response to change in values of certain variables

RcppTemplate

Residuals with Elliot-Rothenberg-Stock Unit Root Test

Retrieving latest day's data

RquantLib : FittedBondCurve function

SMA on Volume?

Sequential MLE on time series with rolling window

Sequential MLE on time series with rolling window

Simple XTS Quantmod Problem

Systemfit package/Autocorrelation

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

WG: quantmod addTA() How to scale the y axis

WG: quantmod addTA() How to scale the y axis

fImport : where to get a list of ticker symbols?

fPortfolio not loading Rsymphony package

fSeries/fGarch for R 2.7.0

how use the results of rollapply in the previousrow to the next row...

how use the results of rollapply in the previous row to the next row...

nonlinear constraints in GARCH estimation

package(vars) and generalized impulse response functions

plotting market cap heatmap

portfolio optimization - maximizing returns for a given risk.

portfolio optimization - maximizing returns for a given risk.

problems in GJR-GARCH with t-disrtibuted error terms in SAS

quantmod addTA() How to scale the y axis

row-by-row operations on multiple xts matrices

save XTS

varRisk in fPortfolio package

xts conversion error