R-SIG-Finance October 2010

Saturday, October 30, 2010 4 emails

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rex intraday volatility

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Premkumar Narasimhan Using dense constraint matrix in package lpSolve

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Nikos Rachmanis Bollinger Bands error

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Joshua Ulrich Bollinger Bands error

Friday, October 29, 2010 3 emails

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Gabe Plaxico Mean-Semivariance (downside risk) Portfolio Construction

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Knut Erik Vedahl Seasonal ARIMA simulation using time series history

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Olivier MERLE IBrokers : asssign.Data and others questions..

Thursday, October 28, 2010 6 emails

J

Joshua Ulrich haver

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rex intraday volatility

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Brian G. Peterson intraday volatility

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Andres Susrud intraday volatility

B

Brian G. Peterson help: blotter debugging: How to step into a blotter function.

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Mark Breman help: blotter debugging: How to step into a blotter function.

Wednesday, October 27, 2010 12 emails

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Lei Jin help: blotter debugging: How to step into a blotter function.

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Cedrick Johnson Calculating returns on negative time series

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Patrick Burns Calculating returns on negative time series

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Cedrick Johnson Calculating returns on negative time series

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Matthieu Stigler cointegration & reversion to mean

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Patrick Burns Calculating returns on negative time series

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Horace Tso fancier version of weeklyReturn (quantmod)

C

Cedrick Johnson Calculating returns on negative time series

A

Alex Bird Bloomberg historical data requests via rcom

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Paul Teetor cointegration & reversion to mean

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Rui ANTUNES ANTUNES, Rui

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Krishna Kumar REUTERS

Tuesday, October 26, 2010 12 emails

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Arun Kumar Saha surface3d from a three column matrix ??

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Stephen Choularton cointegration & reversion to mean

C

Christophe Dutang Copula Package

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Brian G. Peterson R & factset?

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julien cuisinier R & factset?

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gordon.morrison at hsbcib.com REUTERS

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Brian G. Peterson REUTERS

A

amit jain haver

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Daniel Cegiełka REUTERS

C

Costas REUTERS

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Muteba Mwamba, John Copula Package

A

Ana Nelson RBloomberg - Trade data with bargain condition codes

Monday, October 25, 2010 11 emails

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Jeff Ryan Quantmod / xts problem " Error in `[.xts`(x, xsubset) : subscript out of bounds"

D

Daniel Cegiełka Quantmod / xts problem " Error in `[.xts`(x, xsubset) : subscript out of bounds"

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Immanuel Quantmod / xts problem " Error in `[.xts`(x, xsubset) : subscript out of bounds"

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Jeff Ryan Quantmod / xts problem " Error in `[.xts`(x, xsubset) : subscript out of bounds"

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Immanuel Quantmod / xts problem " Error in `[.xts`(x, xsubset) : subscript out of bounds"

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gordon.morrison at hsbcib.com RBloomberg - Trade data with bargain condition codes

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Brian G. Peterson Database for Historical Security Prices

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Cedrick Johnson Database for Historical Security Prices

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Mark Breman Database for Historical Security Prices

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Cedrick Johnson Database for Historical Security Prices

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Jason Kwok Database for Historical Security Prices

Sunday, October 24, 2010 1 email

B

Bernd Kreuss R and Metatrader

Saturday, October 23, 2010 1 email

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Nikos Rachmanis Bollinger Bands error

Thursday, October 21, 2010 4 emails

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Joshua Ulrich Bollinger Bands error

J

Jeff Ryan Bollinger Bands error

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Nikos Rachmanis Bollinger Bands error

S

Sarbo Coefficients, Principal Component Regression. pcr

Wednesday, October 20, 2010 8 emails

A

Amy Milano Portfolio Value at Risk - A conceptual problem

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Hsiao-nan Cheung Leon et al.(2005)'s GARCHSK Model Estimation

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Matthieu Stigler Coefficients, Principal Component Regression. pcr

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Brian G. Peterson Portfolio Value at Risk - A conceptual problem

A

Arun Kumar Saha Portfolio Value at Risk - A conceptual problem

B

Brian G. Peterson Portfolio Value at Risk - A conceptual problem

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Patrick Burns Portfolio Value at Risk - A conceptual problem

A

Amy Milano Portfolio Value at Risk - A conceptual problem

Tuesday, October 19, 2010 3 emails

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Yihao Lu aeolus_lu Mean reversion

P

Paul Teetor cointegration

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Sarbo Mean reversion

Monday, October 18, 2010 6 emails

E

Eric Zivot Mean reversion

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Stephen Choularton cointegration

Y

Yihao Lu aeolus_lu Mean reversion

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Stephen Choularton Mean reversion

Y

Yihao Lu aeolus_lu Mean reversion

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Stephen Choularton Ornstein-Uhlenbeck

Sunday, October 17, 2010 3 emails

S

Sarbo Coefficients, Principal Component Regression. pcr

A

Alexios Ghalanos Regression with ARMA errors and Student T innovations

A

arthur Regression with ARMA errors and Student T innovations

Saturday, October 16, 2010 7 emails

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Guy Green Data Sources

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Marc Delvaux Data Sources

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Ulrich Staudinger Data Sources

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Noah Silverman Data Sources

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Ulrich Staudinger Data Sources

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Noah Silverman Data Sources

M

Matthieu Stigler Coefficients, Principal Component Regression. pcr

Friday, October 15, 2010 3 emails

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Santosh Srinivas problem with frontierPlot

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Alvaro Riascos problem with frontierPlot

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Wolfgang Wu (no subject)

Thursday, October 14, 2010 4 emails

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Jeff Ryan Error in getSymbols with adjust=TRUE

A

Alpert, William Internship advert

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karla hernandez villafuerte Coefficients, Principal Component Regression. pcr

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Fernando Antunes Error in getSymbols with adjust=TRUE

Wednesday, October 13, 2010 3 emails

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Joe Stuart New 3 course online certificate in computational finance using R

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Stephen Choularton Ornstein-Uhlenbeck

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Peter Carl Using Benford's law for reported returns?

Tuesday, October 12, 2010 8 emails

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Jeff D. Hamann plotting vertical lines on months in xyplot

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stefano iacus Ornstein-Uhlenbeck

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Patrick Burns Ornstein-Uhlenbeck

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Bjorn Skogtro Ornstein-Uhlenbeck

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stefano iacus Ornstein-Uhlenbeck

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Paul Teetor Ornstein-Uhlenbeck

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Bjorn Skogtro Ornstein-Uhlenbeck

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Sarbo Ornstein-Uhlenbeck

Monday, October 11, 2010 3 emails

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Stephen Choularton Ornstein-Uhlenbeck

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Brian G. Peterson finding symbols

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Matthieu Stigler VECM estimation

Sunday, October 10, 2010 4 emails

S

Stephen Choularton finding symbols

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Jeff Ryan Call to specific IBrokers function never returns - How to catch this error ?

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Sarbo Matlab vs. R performance/convenience benchmarking for quantitative analysis business

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Me Call to specific IBrokers function never returns - How to catch this error ?

Saturday, October 9, 2010 3 emails

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Pete B VECM estimation

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John Kerpel VECM estimation

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Jonathan Beokhokhei VECM estimation

Wednesday, October 6, 2010 11 emails

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Guy Green downloading prices for Australian 90 day bank bills and 3 and 10, year bonds

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Patrick Caldon downloading prices for Australian 90 day bank bills and 3 and 10, year bonds

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Stephen Choularton downloading prices for Australian 90 day bank bills and 3 and 10, year bonds

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Dirk Eddelbuettel Matlab vs. R performance/convenience benchmarking for quantitative analysis business

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Tobias Verbeke Matlab vs. R performance/convenience benchmarking for quantitative analysis business

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fjpcaballero at gmail.com Matlab vs. R performance/convenience benchmarking for quantitative analysis business

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Tobias Verbeke Matlab vs. R performance/convenience benchmarking for quantitative analysis business

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Eric Zivot Matlab vs. R performance/convenience benchmarking for quantitative analysis business

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fjpcaballero at gmail.com Matlab vs. R performance/convenience benchmarking for quantitative analysis business

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Samuel.Meichtry at bkw-fmb.ch Matlab vs. R performance/convenience benchmarking for quantitative analysis business

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Mark Breman Help needed with advanced tradesys package

Tuesday, October 5, 2010 3 emails

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Joshua Ulrich xts question: Extract rows with an NA

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Worik xts question: Extract rows with an NA

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Worik xts question: Extract rows with an NA

Friday, October 1, 2010 3 emails

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Mark Breman Backtesting Trading systems

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Brian G. Peterson Backtesting Trading systems

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thomasrbolton at yahoo.co.uk Backtesting Trading systems