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R-SIG-Finance December 2010

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Aaditya Nanduri

Last active: Dec 13, 2010
1 msg
Aaditya Nanduri Problems with quantstrat and my own code Dec 13, 2010

Adams, Zeno

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

Aidan Corcoran

Last active: Dec 30, 2010
1 msg
Aidan Corcoran Error using blpConnect in package RBloomberg Dec 30, 2010

Alan Lue

Last active: Dec 16, 2010
1 msg
Alan Lue CRSP and R Dec 16, 2010

Aleksandr Rudnev

Last active: Dec 14, 2010
1 msg
Aleksandr Rudnev Problems with quantstrat and my own code Dec 14, 2010

Alex Sin

Last active: Dec 30, 2010
1 msg
Alex Sin Fitting returns - High frequency Dec 30, 2010

Alexios Ghalanos

Last active: Dec 9, 2010
1 msg
Alexios Ghalanos Multivariate GARCH Dec 9, 2010

Ana Nelson

Last active: Dec 30, 2010
1 msg
Ana Nelson Error using blpConnect in package RBloomberg Dec 30, 2010

Anass Mouhsine

Last active: Dec 27, 2010
8 msgs
Anass Mouhsine merge function weird behaviour Dec 10, 2010 Anass Mouhsine merge function weird behaviour Dec 10, 2010 Anass Mouhsine merge function weird behaviour Dec 10, 2010 Anass Mouhsine merge function weird behaviour Dec 10, 2010 Anass Mouhsine Trading a synthetic asset Dec 22, 2010 Anass Mouhsine R-SIG-Finance Digest, Vol 79, Issue 23 Dec 24, 2010 Anass Mouhsine trading a synthetic asset -- example Dec 24, 2010 Anass Mouhsine trading a synthetic asset -- example Dec 27, 2010

Andreas Klein

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

Andres Susrud

Last active: Dec 8, 2010
1 msg
Andres Susrud non-standard time-format conversion from data.frame to xts Dec 8, 2010

Arun Kumar Saha

Last active: Dec 19, 2010
2 msgs
Arun Kumar Saha Two-Sample t-Test: paired vs. unpaired Dec 11, 2010 Arun Kumar Saha Expost prediction for ARMA or GARCH Dec 19, 2010

Brian G. Peterson

Last active: Dec 30, 2010
34 msgs
Brian G. Peterson table.Drawdowns table in PerformanceAnalytics Dec 2, 2010 Brian G. Peterson quantmod Dec 6, 2010 Brian G. Peterson non-standard time-format conversion from data.frame to xts Dec 8, 2010 Brian G. Peterson non-standard time-format conversion from data.frame to xts Dec 8, 2010 Brian G. Peterson Do you have any suggestions for spreading R in Taiwan where finance is dominated by Matlab? Dec 9, 2010 Brian G. Peterson Multivariate GARCH Dec 9, 2010 Brian G. Peterson adjustedPrice or raw Price in blotter Dec 11, 2010 Brian G. Peterson xts / split time series issue Dec 13, 2010 Brian G. Peterson Problems with quantstrat and my own code Dec 14, 2010 Brian G. Peterson CRSP and R Dec 15, 2010 Brian G. Peterson Problems with quantstrat and my own code Dec 15, 2010 Brian G. Peterson How to obtain data from *all* companies in the S&P 500 + sector information? Dec 16, 2010 Brian G. Peterson Where to download odbcConnectExcel2007 Dec 17, 2010 Brian G. Peterson Forcasting VAR/VEC Dec 17, 2010 Brian G. Peterson Expost prediction for ARMA or GARCH Dec 19, 2010 Brian G. Peterson Expost prediction for ARMA or GARCH Dec 19, 2010 Brian G. Peterson Question in blotter::updatePosPL file: argument is of length zero Dec 20, 2010 Brian G. Peterson can't find blotter Dec 20, 2010 Brian G. Peterson Possible bug in blotter Dec 22, 2010 Brian G. Peterson Trading a synthetic asset Dec 22, 2010 Brian G. Peterson Possible bug in blotter Dec 22, 2010 Brian G. Peterson Blotter example by kafka from R-bloggers Dec 22, 2010 Brian G. Peterson Another blotter test case Dec 24, 2010 Brian G. Peterson error message from portfolioFrontier function Dec 24, 2010 Brian G. Peterson trading a synthetic asset -- example Dec 24, 2010 Brian G. Peterson trading a synthetic asset -- example Dec 24, 2010 Brian G. Peterson package 'blotter' is not available (OS X, R 2.12.1 32 bit) Dec 27, 2010 Brian G. Peterson Blotter example by kafka from R-bloggers Dec 28, 2010 Brian G. Peterson Quantstrat problem Dec 28, 2010 Brian G. Peterson Blotter example by kafka from R-bloggers Dec 28, 2010 Brian G. Peterson Strategy performance summary report Dec 29, 2010 Brian G. Peterson align time series correctly Dec 29, 2010 Brian G. Peterson ?getSymbol.MySQL Dec 30, 2010 Brian G. Peterson Strategy performance summary report Dec 30, 2010

Cedrick Johnson

Last active: Dec 1, 2010
1 msg
Cedrick Johnson Markov Switching Models for growth and stock prices Dec 1, 2010

Charles Evans

Last active: Dec 8, 2010
2 msgs
Charles Evans unstable cointegration vector estimates in Johansen test Dec 2, 2010 Charles Evans Multivariate GARCH Dec 8, 2010

Chiquoine, Ben

Last active: Dec 22, 2010
2 msgs
Chiquoine, Ben ks test to compare manager alphas. Dec 20, 2010 Chiquoine, Ben ks test to compare manager alphas. Dec 22, 2010

Christofer Bogaso

Last active: Dec 20, 2010
1 msg
Christofer Bogaso Forum for Macro-economics discussion Dec 20, 2010

Corey Gallon

Last active: Dec 15, 2010
1 msg
Corey Gallon CRSP and R Dec 15, 2010

Corwin Joy

Last active: Dec 8, 2010
1 msg
Corwin Joy fPortfolio - SOCP not available? Dec 8, 2010

Costas

Last active: Dec 16, 2010
4 msgs
Costas getSymbols problem in quantmod Dec 16, 2010 Costas getSymbols problem in quantmod Dec 16, 2010 Costas getSymbols problem in quantmod Dec 16, 2010 Costas getSymbols problem in quantmod Dec 16, 2010

Daniel Cegiełka

Last active: Dec 5, 2010
2 msgs
Daniel Cegiełka Exponentially Weighted Moving Average (EWMA) in R library Dec 2, 2010 Daniel Cegiełka IBrokers Dec 5, 2010

David L. Van Brunt, Ph.D.

Last active: Dec 6, 2010
2 msgs
David L. Van Brunt, Ph.D. quantmod yearlyReturns differ in 2008 for google, yahoo? Dec 5, 2010 David L. Van Brunt, Ph.D. quantmod yearlyReturns differ in 2008 for google, yahoo? Dec 6, 2010

Dirk Eddelbuettel

Last active: Dec 31, 2010
4 msgs
Dirk Eddelbuettel Quantile Regression-Fit Stock data Dec 4, 2010 Dirk Eddelbuettel R/Finance 2011: Call for Papers: Now with prices and travel money Dec 24, 2010 Dirk Eddelbuettel Fitting returns - High frequency Dec 30, 2010 Dirk Eddelbuettel Forum for Macro-economics discussion Dec 31, 2010

Emanuel Burgener

Last active: Dec 28, 2010
1 msg
Emanuel Burgener Quantstrat problem Dec 28, 2010

Eric Thungstom

Last active: Dec 6, 2010
1 msg
Eric Thungstom quantmod Dec 6, 2010

Eric Zivot

Last active: Dec 29, 2010
6 msgs
Eric Zivot unstable cointegration vector estimates in Johansen test Dec 3, 2010 Eric Zivot Winter and Spring online R programming courses for finance at the University of Washington Dec 8, 2010 Eric Zivot Winter and Spring online R programming courses for computational finance at the University of Washington Dec 8, 2010 Eric Zivot Forum for Macro-economics discussion Dec 20, 2010 Eric Zivot ks test to compare manager alphas. Dec 21, 2010 Eric Zivot UW Online Course: R Programming for Computational Finance Dec 29, 2010

FX Going

Last active: Dec 1, 2010
1 msg
FX Going Models for Day Trading Dec 1, 2010

Gabor Grothendieck

Last active: Dec 8, 2010
2 msgs
Gabor Grothendieck non-standard time-format conversion from data.frame to xts Dec 8, 2010 Gabor Grothendieck non-standard time-format conversion from data.frame to xts Dec 8, 2010

H. Felix Wittmann

Last active: Dec 2, 2010
2 msgs
H. Felix Wittmann table.Drawdowns table in PerformanceAnalytics Dec 2, 2010 H. Felix Wittmann table.Drawdowns table in PerformanceAnalytics Dec 2, 2010

James

Last active: Dec 23, 2010
1 msg
James yahooKeystats broken? Dec 23, 2010

Jeff Ryan

Last active: Dec 23, 2010
15 msgs
Jeff Ryan ibrokers - callback - example from Jeff Ryan's slides Dec 4, 2010 Jeff Ryan ibrokers - callback - example from Jeff Ryan's slides Dec 4, 2010 Jeff Ryan IBrokers Dec 5, 2010 Jeff Ryan IBrokers Dec 6, 2010 Jeff Ryan non-standard time-format conversion from data.frame to xts Dec 8, 2010 Jeff Ryan IBrokers Dec 8, 2010 Jeff Ryan merge function weird behaviour Dec 10, 2010 Jeff Ryan Help with Futures in IBrokers Dec 10, 2010 Jeff Ryan Help with Futures in IBrokers Dec 10, 2010 Jeff Ryan reqMktDepth Dec 13, 2010 Jeff Ryan reqMktDepth Dec 13, 2010 Jeff Ryan reqMktDepth Dec 13, 2010 Jeff Ryan xts / split time series issue Dec 13, 2010 Jeff Ryan About yahooImport to display output on R console Dec 14, 2010 Jeff Ryan reqHistoricalData Dec 23, 2010

Jeff Yan

Last active: Dec 2, 2010
1 msg
Jeff Yan Models for Day Trading Dec 2, 2010

Josh C. Chien

Last active: Dec 8, 2010
3 msgs
Josh C. Chien Exponentially Weighted Moving Average (EWMA) in R library Dec 2, 2010 Josh C. Chien Do you have any suggestions for spreading R in Taiwan where finance is dominated by Matlab? Dec 8, 2010 Josh C. Chien Rmetrics TimeSeries Class Dec 8, 2010

Joshua Ulrich

Last active: Dec 29, 2010
13 msgs
Joshua Ulrich Models for Day Trading Dec 1, 2010 Joshua Ulrich quantmod yearlyReturns differ in 2008 for google, yahoo? Dec 5, 2010 Joshua Ulrich IBrokers Dec 6, 2010 Joshua Ulrich getSymbols problem in quantmod Dec 16, 2010 Joshua Ulrich How to obtain data from *all* companies in the S&P 500 + sector information? Dec 16, 2010 Joshua Ulrich ROC Dec 20, 2010 Joshua Ulrich can't find blotter Dec 21, 2010 Joshua Ulrich LSPM - Unexpected Results Dec 27, 2010 Joshua Ulrich LSPM - Unexpected Results Dec 27, 2010 Joshua Ulrich LSPM - Unexpected Results Dec 27, 2010 Joshua Ulrich as.POSIXct issue Dec 29, 2010 Joshua Ulrich as.POSIXct issue Dec 29, 2010 Joshua Ulrich align time series correctly Dec 29, 2010

Klemen Koselj

Last active: Dec 28, 2010
1 msg
Klemen Koselj Strategy performance summary report Dec 28, 2010

Lei Jin

Last active: Dec 29, 2010
4 msgs
Lei Jin adjustedPrice or raw Price in blotter Dec 11, 2010 Lei Jin Question in blotter::updatePosPL file: argument is of length zero Dec 18, 2010 Lei Jin align time series correctly Dec 29, 2010 Lei Jin align time series correctly Dec 29, 2010

Marc Delvaux

Last active: Dec 5, 2010
1 msg
Marc Delvaux quantmod yearlyReturns differ in 2008 for google, yahoo? Dec 5, 2010

Marius Hofert

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

Mark Breman

Last active: Dec 17, 2010
5 msgs
Mark Breman ibrokers - new callback Dec 2, 2010 Mark Breman IBrokers Dec 5, 2010 Mark Breman merge function weird behaviour Dec 10, 2010 Mark Breman getSymbols problem in quantmod Dec 16, 2010 Mark Breman Where to download odbcConnectExcel2007 Dec 17, 2010

Mark Gordon

Last active: Dec 2, 2010
1 msg
Mark Gordon fPortfolio (portfolioFrontier function) Dec 2, 2010

Mark Knecht

Last active: Dec 30, 2010
4 msgs
Mark Knecht Expost prediction for ARMA or GARCH Dec 20, 2010 Mark Knecht LSPM - Unexpected Results Dec 27, 2010 Mark Knecht Strategy performance summary report Dec 29, 2010 Mark Knecht ?getSymbol.MySQL Dec 30, 2010

Mark Leeds

Last active: Dec 4, 2010
1 msg
Mark Leeds question about correlated residuals Dec 4, 2010

Matthieu Stigler

Last active: Dec 20, 2010
6 msgs
Matthieu Stigler unstable cointegration vector estimates in Johansen test Dec 3, 2010 Matthieu Stigler unstable cointegration vector estimates in Johansen test Dec 4, 2010 Matthieu Stigler Forcasting VAR/VEC Dec 16, 2010 Matthieu Stigler VECM estimation Dec 19, 2010 Matthieu Stigler VECM estimation Dec 19, 2010 Matthieu Stigler ks test to compare manager alphas. Dec 20, 2010

Megh Dal

Last active: Dec 21, 2010
9 msgs
Megh Dal Co-integration question Dec 12, 2010 Megh Dal Forcasting VAR/VEC Dec 12, 2010 Megh Dal Forcasting VAR/VEC Dec 14, 2010 Megh Dal Forcasting VAR/VEC Dec 17, 2010 Megh Dal VECM estimation Dec 19, 2010 Megh Dal VECM estimation Dec 19, 2010 Megh Dal VECM estimation Dec 19, 2010 Megh Dal VECM estimation Dec 19, 2010 Megh Dal Problem in SVEC estimation, please help Dec 21, 2010

Michael Dothan

Last active: Dec 20, 2010
1 msg
Michael Dothan Forum for Macro-economics discussion Dec 20, 2010

Nick Torenvliet

Last active: Dec 29, 2010
4 msgs
Nick Torenvliet xts / split time series issue Dec 13, 2010 Nick Torenvliet as.POSIXct issue Dec 29, 2010 Nick Torenvliet as.POSIXct issue Dec 29, 2010 Nick Torenvliet as.POSIXct issue Dec 29, 2010

Noah Silverman

Last active: Dec 27, 2010
6 msgs
Noah Silverman LSPM - Unexpected Results Dec 27, 2010 Noah Silverman LSPM - Unexpected Results Dec 27, 2010 Noah Silverman LSPM - Unexpected Results Dec 27, 2010 Noah Silverman LSPM - Unexpected Results Dec 27, 2010 Noah Silverman LSPM - Unexpected Results Dec 27, 2010 Noah Silverman LSPM - Unexpected Results Dec 27, 2010

Patrick Burns

Last active: Dec 21, 2010
2 msgs
Patrick Burns Volatility subsample analysis Dec 1, 2010 Patrick Burns ks test to compare manager alphas. Dec 21, 2010

Paul Gilbert

Last active: Dec 31, 2010
1 msg
Paul Gilbert Forum for Macro-economics discussion Dec 31, 2010

Peter Carl

Last active: Dec 21, 2010
1 msg
Peter Carl Possible bug in blotter Dec 21, 2010

Pfaff, Bernhard Dr.

Last active: Dec 13, 2010
2 msgs
Pfaff, Bernhard Dr. Multivariate GARCH Dec 9, 2010 Pfaff, Bernhard Dr. Forcasting VAR/VEC Dec 13, 2010

Richard Herron

Last active: Dec 22, 2010
1 msg
Richard Herron CRSP and R Dec 22, 2010

Robert Iquiapaza

Last active: Dec 10, 2010
1 msg
Robert Iquiapaza merge function weird behaviour Dec 10, 2010

Ronald McEwan

Last active: Dec 4, 2010
1 msg
Ronald McEwan Quantile Regression-Fit Stock data Dec 4, 2010

Rory Winston

Last active: Dec 1, 2010
1 msg
Rory Winston FX Forward outrights and FX Swaps Dec 1, 2010

Santosh Srinivas

Last active: Dec 10, 2010
2 msgs
Santosh Srinivas Do you have any suggestions for spreading R in Taiwan where finance is dominated by Matlab? Dec 8, 2010 Santosh Srinivas merge function weird behaviour Dec 10, 2010

Saul Sala Peñalver

Last active: Dec 10, 2010
1 msg
Saul Sala Peñalver Help with Futures in IBrokers Dec 10, 2010

Stephen Choularton

Last active: Dec 28, 2010
20 msgs
Stephen Choularton ibrokers Dec 1, 2010 Stephen Choularton ibrokers - new callback Dec 2, 2010 Stephen Choularton ibrokers - callback - example from Jeff Ryan's slides Dec 4, 2010 Stephen Choularton IBrokers Dec 5, 2010 Stephen Choularton IBrokers Dec 6, 2010 Stephen Choularton IBrokers Dec 6, 2010 Stephen Choularton IBrokers Dec 7, 2010 Stephen Choularton IBrokers Dec 8, 2010 Stephen Choularton IBrokers Dec 10, 2010 Stephen Choularton IBrokers Dec 10, 2010 Stephen Choularton reqMktDepth Dec 13, 2010 Stephen Choularton reqMktDepth Dec 13, 2010 Stephen Choularton placeOrder Dec 14, 2010 Stephen Choularton can't find blotter Dec 20, 2010 Stephen Choularton ROC Dec 20, 2010 Stephen Choularton can't find blotter Dec 21, 2010 Stephen Choularton Blotter example by kafka from R-bloggers Dec 22, 2010 Stephen Choularton reqHistoricalData Dec 23, 2010 Stephen Choularton Blotter example by kafka from R-bloggers Dec 27, 2010 Stephen Choularton Blotter example by kafka from R-bloggers Dec 28, 2010

Stephen Liu

Last active: Dec 17, 2010
5 msgs
Stephen Liu About yahooImport to display output on R console Dec 14, 2010 Stephen Liu About yahooImport to display output on R console Dec 14, 2010 Stephen Liu How check IBrokers Dec 14, 2010 Stephen Liu Where to download odbcConnectExcel2007 Dec 17, 2010 Stephen Liu Where to download odbcConnectExcel2007 Dec 17, 2010

Thomas Etheber

Last active: Dec 9, 2010
1 msg
Thomas Etheber Rmetrics TimeSeries Class Dec 9, 2010

Werner Erselina

Last active: Nov 30, 2010
1 msg
Werner Erselina FX Forward outrights and FX Swaps Nov 30, 2010

Wolfgang Wu

Last active: Dec 24, 2010
4 msgs
Wolfgang Wu Possible bug in blotter Dec 21, 2010 Wolfgang Wu Possible bug in blotter Dec 22, 2010 Wolfgang Wu Possible bug in blotter Dec 22, 2010 Wolfgang Wu Another blotter test case Dec 24, 2010

alex.rudnev at gmail.com

Last active: Dec 24, 2010
1 msg
alex.rudnev at gmail.com error message from portfolioFrontier function Dec 24, 2010

babel at centrum.sk

Last active: Dec 20, 2010
2 msgs
babel at centrum.sk Expost prediction for ARMA or GARCH Dec 18, 2010 babel at centrum.sk Expost prediction for ARMA or GARCH Dec 20, 2010

ben schreiber

Last active: Dec 1, 2010
1 msg
ben schreiber Markov Switching Models for growth and stock prices Dec 1, 2010

christophe00 at gmx.ch

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

dondom

Last active: Dec 1, 2010
1 msg
dondom Volatility subsample analysis Dec 1, 2010

julien cuisinier

Last active: Dec 12, 2010
1 msg
julien cuisinier RQuantLib install error Dec 12, 2010

thomas.chan.sf at boci-pru.com.hk

Last active: Dec 24, 2010
1 msg
thomas.chan.sf at boci-pru.com.hk error message from portfolioFrontier function Dec 24, 2010

金陈琛

Last active: Dec 5, 2010
2 msgs
金陈琛 unstable cointegration vector estimates in Johansen test Dec 1, 2010 金陈琛 unstable cointegration vector estimates in Johansen test Dec 5, 2010

이원재

Last active: Dec 12, 2010
1 msg
이원재 RQuantLib install error Dec 12, 2010