R-SIG-Finance December 2010

[off-topic] Forum for Macro-economics discussion

5 msgs Dec 31

C

Christofer Bogaso Forum for Macro-economics discussion Dec 20, 2010

E

Eric Zivot Forum for Macro-economics discussion Dec 20, 2010

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Michael Dothan Forum for Macro-economics discussion Dec 20, 2010

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Paul Gilbert Forum for Macro-economics discussion Dec 31, 2010

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Dirk Eddelbuettel Forum for Macro-economics discussion Dec 31, 2010

Error using blpConnect in package RBloomberg

2 msgs Dec 30

A

Aidan Corcoran Error using blpConnect in package RBloomberg Dec 30, 2010

A

Ana Nelson Error using blpConnect in package RBloomberg Dec 30, 2010

Strategy performance summary report

4 msgs Dec 30

K

Klemen Koselj Strategy performance summary report Dec 28, 2010

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Brian G. Peterson Strategy performance summary report Dec 29, 2010

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Mark Knecht Strategy performance summary report Dec 29, 2010

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Brian G. Peterson Strategy performance summary report Dec 30, 2010

?getSymbol.MySQL

2 msgs Dec 30

M

Mark Knecht ?getSymbol.MySQL Dec 30, 2010

B

Brian G. Peterson ?getSymbol.MySQL Dec 30, 2010

Fitting returns - High frequency

2 msgs Dec 30

A

Alex Sin Fitting returns - High frequency Dec 30, 2010

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Dirk Eddelbuettel Fitting returns - High frequency Dec 30, 2010

align time series correctly

4 msgs Dec 29

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Lei Jin align time series correctly Dec 29, 2010

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Joshua Ulrich align time series correctly Dec 29, 2010

B

Brian G. Peterson align time series correctly Dec 29, 2010

L

Lei Jin align time series correctly Dec 29, 2010

as.POSIXct issue

5 msgs Dec 29

N

Nick Torenvliet as.POSIXct issue Dec 29, 2010

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Joshua Ulrich as.POSIXct issue Dec 29, 2010

N

Nick Torenvliet as.POSIXct issue Dec 29, 2010

N

Nick Torenvliet as.POSIXct issue Dec 29, 2010

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Joshua Ulrich as.POSIXct issue Dec 29, 2010

UW Online Course: R Programming for Computational Finance

1 msg Dec 29

E

Eric Zivot UW Online Course: R Programming for Computational Finance Dec 29, 2010

Blotter example by kafka from R-bloggers

4 msgs Dec 28

S

Stephen Choularton Blotter example by kafka from R-bloggers Dec 27, 2010

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Brian G. Peterson Blotter example by kafka from R-bloggers Dec 28, 2010

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Stephen Choularton Blotter example by kafka from R-bloggers Dec 28, 2010

B

Brian G. Peterson Blotter example by kafka from R-bloggers Dec 28, 2010

Quantstrat problem

2 msgs Dec 28

E

Emanuel Burgener Quantstrat problem Dec 28, 2010

B

Brian G. Peterson Quantstrat problem Dec 28, 2010

LSPM - Unexpected Results

10 msgs Dec 27

N

Noah Silverman LSPM - Unexpected Results Dec 27, 2010

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Mark Knecht LSPM - Unexpected Results Dec 27, 2010

N

Noah Silverman LSPM - Unexpected Results Dec 27, 2010

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Joshua Ulrich LSPM - Unexpected Results Dec 27, 2010

N

Noah Silverman LSPM - Unexpected Results Dec 27, 2010

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Joshua Ulrich LSPM - Unexpected Results Dec 27, 2010

N

Noah Silverman LSPM - Unexpected Results Dec 27, 2010

N

Noah Silverman LSPM - Unexpected Results Dec 27, 2010

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Joshua Ulrich LSPM - Unexpected Results Dec 27, 2010

N

Noah Silverman LSPM - Unexpected Results Dec 27, 2010

package 'blotter' is not available (OS X, R 2.12.1 32 bit)

2 msgs Dec 27

C

christophe00 at gmx.ch package 'blotter' is not available (OS X, R 2.12.1 32 bit) Dec 27, 2010

B

Brian G. Peterson package 'blotter' is not available (OS X, R 2.12.1 32 bit) Dec 27, 2010

[quantstrat] trading a synthetic asset -- example

1 msg Dec 27

A

Anass Mouhsine trading a synthetic asset -- example Dec 27, 2010

error message from portfolioFrontier function

3 msgs Dec 24

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thomas.chan.sf at boci-pru.com.hk error message from portfolioFrontier function Dec 24, 2010

B

Brian G. Peterson error message from portfolioFrontier function Dec 24, 2010

A

alex.rudnev at gmail.com error message from portfolioFrontier function Dec 24, 2010

R/Finance 2011: Call for Papers: Now with prices and travel money

1 msg Dec 24

D

Dirk Eddelbuettel R/Finance 2011: Call for Papers: Now with prices and travel money Dec 24, 2010

[quantstrat] trading a synthetic asset -- example

3 msgs Dec 24

A

Anass Mouhsine trading a synthetic asset -- example Dec 24, 2010

B

Brian G. Peterson trading a synthetic asset -- example Dec 24, 2010

B

Brian G. Peterson trading a synthetic asset -- example Dec 24, 2010

Possible bug in blotter

8 msgs Dec 24

W

Wolfgang Wu Possible bug in blotter Dec 21, 2010

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Peter Carl Possible bug in blotter Dec 21, 2010

W

Wolfgang Wu Possible bug in blotter Dec 22, 2010

B

Brian G. Peterson Possible bug in blotter Dec 22, 2010

W

Wolfgang Wu Possible bug in blotter Dec 22, 2010

B

Brian G. Peterson Possible bug in blotter Dec 22, 2010

W

Wolfgang Wu Another blotter test case Dec 24, 2010

B

Brian G. Peterson Another blotter test case Dec 24, 2010

R-SIG-Finance Digest, Vol 79, Issue 23

1 msg Dec 24

A

Anass Mouhsine R-SIG-Finance Digest, Vol 79, Issue 23 Dec 24, 2010

reqHistoricalData

2 msgs Dec 23

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Stephen Choularton reqHistoricalData Dec 23, 2010

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Jeff Ryan reqHistoricalData Dec 23, 2010

yahooKeystats broken?

1 msg Dec 23

J

James yahooKeystats broken? Dec 23, 2010

Blotter example by kafka from R-bloggers

2 msgs Dec 22

S

Stephen Choularton Blotter example by kafka from R-bloggers Dec 22, 2010

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Brian G. Peterson Blotter example by kafka from R-bloggers Dec 22, 2010

ks test to compare manager alphas.

5 msgs Dec 22

C

Chiquoine, Ben ks test to compare manager alphas. Dec 20, 2010

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Matthieu Stigler ks test to compare manager alphas. Dec 20, 2010

P

Patrick Burns ks test to compare manager alphas. Dec 21, 2010

E

Eric Zivot ks test to compare manager alphas. Dec 21, 2010

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Chiquoine, Ben ks test to compare manager alphas. Dec 22, 2010

CRSP and R

4 msgs Dec 22

C

Corey Gallon CRSP and R Dec 15, 2010

B

Brian G. Peterson CRSP and R Dec 15, 2010

A

Alan Lue CRSP and R Dec 16, 2010

R

Richard Herron CRSP and R Dec 22, 2010

[quantstrat] Trading a synthetic asset

2 msgs Dec 22

A

Anass Mouhsine Trading a synthetic asset Dec 22, 2010

B

Brian G. Peterson Trading a synthetic asset Dec 22, 2010

can't find blotter

4 msgs Dec 21

S

Stephen Choularton can't find blotter Dec 20, 2010

B

Brian G. Peterson can't find blotter Dec 20, 2010

S

Stephen Choularton can't find blotter Dec 21, 2010

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Joshua Ulrich can't find blotter Dec 21, 2010

Problem in SVEC estimation, please help

1 msg Dec 21

M

Megh Dal Problem in SVEC estimation, please help Dec 21, 2010

ROC

2 msgs Dec 20

S

Stephen Choularton ROC Dec 20, 2010

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Joshua Ulrich ROC Dec 20, 2010

Expost prediction for ARMA or GARCH

6 msgs Dec 20

B

babel at centrum.sk Expost prediction for ARMA or GARCH Dec 18, 2010

A

Arun Kumar Saha Expost prediction for ARMA or GARCH Dec 19, 2010

B

Brian G. Peterson Expost prediction for ARMA or GARCH Dec 19, 2010

B

Brian G. Peterson Expost prediction for ARMA or GARCH Dec 19, 2010

B

babel at centrum.sk Expost prediction for ARMA or GARCH Dec 20, 2010

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Mark Knecht Expost prediction for ARMA or GARCH Dec 20, 2010

Question in blotter::updatePosPL file: argument is of length zero

2 msgs Dec 20

L

Lei Jin Question in blotter::updatePosPL file: argument is of length zero Dec 18, 2010

B

Brian G. Peterson Question in blotter::updatePosPL file: argument is of length zero Dec 20, 2010

VECM estimation

1 msg Dec 19

M

Megh Dal VECM estimation Dec 19, 2010

VECM estimation

5 msgs Dec 19

M

Megh Dal VECM estimation Dec 19, 2010

M

Matthieu Stigler VECM estimation Dec 19, 2010

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Megh Dal VECM estimation Dec 19, 2010

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Matthieu Stigler VECM estimation Dec 19, 2010

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Megh Dal VECM estimation Dec 19, 2010

Forcasting VAR/VEC

6 msgs Dec 17

M

Megh Dal Forcasting VAR/VEC Dec 12, 2010

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Pfaff, Bernhard Dr. Forcasting VAR/VEC Dec 13, 2010

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Megh Dal Forcasting VAR/VEC Dec 14, 2010

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Matthieu Stigler Forcasting VAR/VEC Dec 16, 2010

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Megh Dal Forcasting VAR/VEC Dec 17, 2010

B

Brian G. Peterson Forcasting VAR/VEC Dec 17, 2010

Where to download odbcConnectExcel2007

4 msgs Dec 17

S

Stephen Liu Where to download odbcConnectExcel2007 Dec 17, 2010

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Mark Breman Where to download odbcConnectExcel2007 Dec 17, 2010

S

Stephen Liu Where to download odbcConnectExcel2007 Dec 17, 2010

B

Brian G. Peterson Where to download odbcConnectExcel2007 Dec 17, 2010

How to obtain data from *all* companies in the S&P 500 + sector information?

4 msgs Dec 16

M

Marius Hofert How to obtain data from *all* companies in the S&P 500 + sector information? Dec 16, 2010

B

Brian G. Peterson How to obtain data from *all* companies in the S&P 500 + sector information? Dec 16, 2010

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Marius Hofert How to obtain data from *all* companies in the S&P 500 + sector information? Dec 16, 2010

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Joshua Ulrich How to obtain data from *all* companies in the S&P 500 + sector information? Dec 16, 2010

getSymbols problem in quantmod

1 msg Dec 16

C

Costas getSymbols problem in quantmod Dec 16, 2010

getSymbols problem in quantmod

5 msgs Dec 16

C

Costas getSymbols problem in quantmod Dec 16, 2010

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Mark Breman getSymbols problem in quantmod Dec 16, 2010

C

Costas getSymbols problem in quantmod Dec 16, 2010

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Joshua Ulrich getSymbols problem in quantmod Dec 16, 2010

C

Costas getSymbols problem in quantmod Dec 16, 2010

Problems with quantstrat and my own code

4 msgs Dec 15

A

Aaditya Nanduri Problems with quantstrat and my own code Dec 13, 2010

B

Brian G. Peterson Problems with quantstrat and my own code Dec 14, 2010

A

Aleksandr Rudnev Problems with quantstrat and my own code Dec 14, 2010

B

Brian G. Peterson Problems with quantstrat and my own code Dec 15, 2010

How check IBrokers

1 msg Dec 14

S

Stephen Liu How check IBrokers Dec 14, 2010

About yahooImport to display output on R console

3 msgs Dec 14

S

Stephen Liu About yahooImport to display output on R console Dec 14, 2010

J

Jeff Ryan About yahooImport to display output on R console Dec 14, 2010

S

Stephen Liu About yahooImport to display output on R console Dec 14, 2010

placeOrder

1 msg Dec 14

S

Stephen Choularton placeOrder Dec 14, 2010

xts / split time series issue

3 msgs Dec 13

N

Nick Torenvliet xts / split time series issue Dec 13, 2010

B

Brian G. Peterson xts / split time series issue Dec 13, 2010

J

Jeff Ryan xts / split time series issue Dec 13, 2010

reqMktDepth

5 msgs Dec 13

S

Stephen Choularton reqMktDepth Dec 13, 2010

J

Jeff Ryan reqMktDepth Dec 13, 2010

J

Jeff Ryan reqMktDepth Dec 13, 2010

S

Stephen Choularton reqMktDepth Dec 13, 2010

J

Jeff Ryan reqMktDepth Dec 13, 2010

Co-integration question

1 msg Dec 12

M

Megh Dal Co-integration question Dec 12, 2010

RQuantLib install error

2 msgs Dec 12

이

이원재 RQuantLib install error Dec 12, 2010

J

julien cuisinier RQuantLib install error Dec 12, 2010

adjustedPrice or raw Price in blotter

2 msgs Dec 11

L

Lei Jin adjustedPrice or raw Price in blotter Dec 11, 2010

B

Brian G. Peterson adjustedPrice or raw Price in blotter Dec 11, 2010

Two-Sample t-Test: paired vs. unpaired

3 msgs Dec 11

A

Andreas Klein Two-Sample t-Test: paired vs. unpaired Dec 11, 2010

A

Arun Kumar Saha Two-Sample t-Test: paired vs. unpaired Dec 11, 2010

A

Adams, Zeno Two-Sample t-Test: paired vs. unpaired Dec 11, 2010

IBrokers

13 msgs Dec 10

S

Stephen Choularton IBrokers Dec 5, 2010

M

Mark Breman IBrokers Dec 5, 2010

D

Daniel Cegiełka IBrokers Dec 5, 2010

J

Jeff Ryan IBrokers Dec 5, 2010

S

Stephen Choularton IBrokers Dec 6, 2010

S

Stephen Choularton IBrokers Dec 7, 2010

J

Jeff Ryan IBrokers Dec 8, 2010

S

Stephen Choularton IBrokers Dec 8, 2010

S

Saul Sala Peñalver Help with Futures in IBrokers Dec 10, 2010

J

Jeff Ryan Help with Futures in IBrokers Dec 10, 2010

J

Jeff Ryan Help with Futures in IBrokers Dec 10, 2010

S

Stephen Choularton IBrokers Dec 10, 2010

S

Stephen Choularton IBrokers Dec 10, 2010

[xts] merge function weird behaviour

7 msgs Dec 10

A

Anass Mouhsine merge function weird behaviour Dec 10, 2010

M

Mark Breman merge function weird behaviour Dec 10, 2010

A

Anass Mouhsine merge function weird behaviour Dec 10, 2010

R

Robert Iquiapaza merge function weird behaviour Dec 10, 2010

S

Santosh Srinivas merge function weird behaviour Dec 10, 2010

A

Anass Mouhsine merge function weird behaviour Dec 10, 2010

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Jeff Ryan merge function weird behaviour Dec 10, 2010

[xts] merge function weird behaviour

1 msg Dec 10

A

Anass Mouhsine merge function weird behaviour Dec 10, 2010

Multivariate GARCH

4 msgs Dec 9

C

Charles Evans Multivariate GARCH Dec 8, 2010

B

Brian G. Peterson Multivariate GARCH Dec 9, 2010

P

Pfaff, Bernhard Dr. Multivariate GARCH Dec 9, 2010

A

Alexios Ghalanos Multivariate GARCH Dec 9, 2010

Do you have any suggestions for spreading R in Taiwan where finance is dominated by Matlab?

3 msgs Dec 9

J

Josh C. Chien Do you have any suggestions for spreading R in Taiwan where finance is dominated by Matlab? Dec 8, 2010

S

Santosh Srinivas Do you have any suggestions for spreading R in Taiwan where finance is dominated by Matlab? Dec 8, 2010

B

Brian G. Peterson Do you have any suggestions for spreading R in Taiwan where finance is dominated by Matlab? Dec 9, 2010

Rmetrics TimeSeries Class

2 msgs Dec 9

J

Josh C. Chien Rmetrics TimeSeries Class Dec 8, 2010

T

Thomas Etheber Rmetrics TimeSeries Class Dec 9, 2010

fPortfolio - SOCP not available?

1 msg Dec 8

C

Corwin Joy fPortfolio - SOCP not available? Dec 8, 2010

Winter and Spring online R programming courses for computational finance at the University of Washington

1 msg Dec 8

E

Eric Zivot Winter and Spring online R programming courses for computational finance at the University of Washington Dec 8, 2010

Winter and Spring online R programming courses for finance at the University of Washington

1 msg Dec 8

E

Eric Zivot Winter and Spring online R programming courses for finance at the University of Washington Dec 8, 2010

non-standard time-format conversion from data.frame to xts

5 msgs Dec 8

A

Andres Susrud non-standard time-format conversion from data.frame to xts Dec 8, 2010

B

Brian G. Peterson non-standard time-format conversion from data.frame to xts Dec 8, 2010

G

Gabor Grothendieck non-standard time-format conversion from data.frame to xts Dec 8, 2010

J

Jeff Ryan non-standard time-format conversion from data.frame to xts Dec 8, 2010

G

Gabor Grothendieck non-standard time-format conversion from data.frame to xts Dec 8, 2010

non-standard time-format conversion from data.frame to xts

1 msg Dec 8

B

Brian G. Peterson non-standard time-format conversion from data.frame to xts Dec 8, 2010

IBrokers

3 msgs Dec 6

S

Stephen Choularton IBrokers Dec 6, 2010

J

Joshua Ulrich IBrokers Dec 6, 2010

J

Jeff Ryan IBrokers Dec 6, 2010

quantmod

2 msgs Dec 6

E

Eric Thungstom quantmod Dec 6, 2010

B

Brian G. Peterson quantmod Dec 6, 2010

quantmod yearlyReturns differ in 2008 for google, yahoo?

1 msg Dec 6

D

David L. Van Brunt, Ph.D. quantmod yearlyReturns differ in 2008 for google, yahoo? Dec 6, 2010

unstable cointegration vector estimates in Johansen test

6 msgs Dec 5

金

金陈琛 unstable cointegration vector estimates in Johansen test Dec 1, 2010

C

Charles Evans unstable cointegration vector estimates in Johansen test Dec 2, 2010

M

Matthieu Stigler unstable cointegration vector estimates in Johansen test Dec 3, 2010

E

Eric Zivot unstable cointegration vector estimates in Johansen test Dec 3, 2010

M

Matthieu Stigler unstable cointegration vector estimates in Johansen test Dec 4, 2010

金

金陈琛 unstable cointegration vector estimates in Johansen test Dec 5, 2010

quantmod yearlyReturns differ in 2008 for google, yahoo?

3 msgs Dec 5

D

David L. Van Brunt, Ph.D. quantmod yearlyReturns differ in 2008 for google, yahoo? Dec 5, 2010

M

Marc Delvaux quantmod yearlyReturns differ in 2008 for google, yahoo? Dec 5, 2010

J

Joshua Ulrich quantmod yearlyReturns differ in 2008 for google, yahoo? Dec 5, 2010

question about correlated residuals

1 msg Dec 4

M

Mark Leeds question about correlated residuals Dec 4, 2010

Quantile Regression-Fit Stock data

2 msgs Dec 4

R

Ronald McEwan Quantile Regression-Fit Stock data Dec 4, 2010

D

Dirk Eddelbuettel Quantile Regression-Fit Stock data Dec 4, 2010

ibrokers - callback - example from Jeff Ryan's slides

3 msgs Dec 4

S

Stephen Choularton ibrokers - callback - example from Jeff Ryan's slides Dec 4, 2010

J

Jeff Ryan ibrokers - callback - example from Jeff Ryan's slides Dec 4, 2010

J

Jeff Ryan ibrokers - callback - example from Jeff Ryan's slides Dec 4, 2010

Exponentially Weighted Moving Average (EWMA) in R library

2 msgs Dec 2

J

Josh C. Chien Exponentially Weighted Moving Average (EWMA) in R library Dec 2, 2010

D

Daniel Cegiełka Exponentially Weighted Moving Average (EWMA) in R library Dec 2, 2010

ibrokers - new callback

2 msgs Dec 2

S

Stephen Choularton ibrokers - new callback Dec 2, 2010

M

Mark Breman ibrokers - new callback Dec 2, 2010

table.Drawdowns table in PerformanceAnalytics

2 msgs Dec 2

H

H. Felix Wittmann table.Drawdowns table in PerformanceAnalytics Dec 2, 2010

B

Brian G. Peterson table.Drawdowns table in PerformanceAnalytics Dec 2, 2010

table.Drawdowns table in PerformanceAnalytics

1 msg Dec 2

H

H. Felix Wittmann table.Drawdowns table in PerformanceAnalytics Dec 2, 2010

Markov Switching Models for growth and stock prices

5 msgs Dec 2

B

ben schreiber Markov Switching Models for growth and stock prices Dec 1, 2010

C

Cedrick Johnson Markov Switching Models for growth and stock prices Dec 1, 2010

F

FX Going Models for Day Trading Dec 1, 2010

J

Joshua Ulrich Models for Day Trading Dec 1, 2010

J

Jeff Yan Models for Day Trading Dec 2, 2010

fPortfolio (portfolioFrontier function)

1 msg Dec 2

M

Mark Gordon fPortfolio (portfolioFrontier function) Dec 2, 2010

Volatility subsample analysis

2 msgs Dec 1

D

dondom Volatility subsample analysis Dec 1, 2010

P

Patrick Burns Volatility subsample analysis Dec 1, 2010

FX Forward outrights and FX Swaps

1 msg Dec 1

R

Rory Winston FX Forward outrights and FX Swaps Dec 1, 2010

ibrokers

1 msg Dec 1

S

Stephen Choularton ibrokers Dec 1, 2010

FX Forward outrights and FX Swaps

1 msg Nov 30