R-SIG-Finance December 2010

Friday, December 31, 2010 2 emails

D

Dirk Eddelbuettel Forum for Macro-economics discussion

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Paul Gilbert Forum for Macro-economics discussion

Thursday, December 30, 2010 7 emails

A

Ana Nelson Error using blpConnect in package RBloomberg

B

Brian G. Peterson Strategy performance summary report

B

Brian G. Peterson ?getSymbol.MySQL

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Mark Knecht ?getSymbol.MySQL

A

Aidan Corcoran Error using blpConnect in package RBloomberg

D

Dirk Eddelbuettel Fitting returns - High frequency

A

Alex Sin Fitting returns - High frequency

Wednesday, December 29, 2010 12 emails

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Lei Jin align time series correctly

B

Brian G. Peterson align time series correctly

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Joshua Ulrich align time series correctly

L

Lei Jin align time series correctly

J

Joshua Ulrich as.POSIXct issue

N

Nick Torenvliet as.POSIXct issue

M

Mark Knecht Strategy performance summary report

N

Nick Torenvliet as.POSIXct issue

J

Joshua Ulrich as.POSIXct issue

N

Nick Torenvliet as.POSIXct issue

E

Eric Zivot UW Online Course: R Programming for Computational Finance

B

Brian G. Peterson Strategy performance summary report

Tuesday, December 28, 2010 6 emails

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Klemen Koselj Strategy performance summary report

B

Brian G. Peterson Blotter example by kafka from R-bloggers

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Stephen Choularton Blotter example by kafka from R-bloggers

B

Brian G. Peterson Quantstrat problem

E

Emanuel Burgener Quantstrat problem

B

Brian G. Peterson Blotter example by kafka from R-bloggers

Monday, December 27, 2010 14 emails

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Stephen Choularton Blotter example by kafka from R-bloggers

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Noah Silverman LSPM - Unexpected Results

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Joshua Ulrich LSPM - Unexpected Results

N

Noah Silverman LSPM - Unexpected Results

N

Noah Silverman LSPM - Unexpected Results

B

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

C

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

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Joshua Ulrich LSPM - Unexpected Results

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Noah Silverman LSPM - Unexpected Results

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Joshua Ulrich LSPM - Unexpected Results

N

Noah Silverman LSPM - Unexpected Results

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Mark Knecht LSPM - Unexpected Results

N

Noah Silverman LSPM - Unexpected Results

A

Anass Mouhsine trading a synthetic asset -- example

Friday, December 24, 2010 10 emails

A

alex.rudnev at gmail.com error message from portfolioFrontier function

D

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

B

Brian G. Peterson trading a synthetic asset -- example

B

Brian G. Peterson trading a synthetic asset -- example

A

Anass Mouhsine trading a synthetic asset -- example

B

Brian G. Peterson error message from portfolioFrontier function

B

Brian G. Peterson Another blotter test case

W

Wolfgang Wu Another blotter test case

A

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

T

thomas.chan.sf at boci-pru.com.hk error message from portfolioFrontier function

Thursday, December 23, 2010 3 emails

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Jeff Ryan reqHistoricalData

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Stephen Choularton reqHistoricalData

J

James yahooKeystats broken?

Wednesday, December 22, 2010 10 emails

B

Brian G. Peterson Blotter example by kafka from R-bloggers

S

Stephen Choularton Blotter example by kafka from R-bloggers

C

Chiquoine, Ben ks test to compare manager alphas.

B

Brian G. Peterson Possible bug in blotter

R

Richard Herron CRSP and R

B

Brian G. Peterson Trading a synthetic asset

A

Anass Mouhsine Trading a synthetic asset

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Wolfgang Wu Possible bug in blotter

B

Brian G. Peterson Possible bug in blotter

W

Wolfgang Wu Possible bug in blotter

Tuesday, December 21, 2010 7 emails

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Joshua Ulrich can't find blotter

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Stephen Choularton can't find blotter

E

Eric Zivot ks test to compare manager alphas.

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Megh Dal Problem in SVEC estimation, please help

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Peter Carl Possible bug in blotter

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Wolfgang Wu Possible bug in blotter

P

Patrick Burns ks test to compare manager alphas.

Monday, December 20, 2010 12 emails

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Joshua Ulrich ROC

S

Stephen Choularton ROC

M

Michael Dothan Forum for Macro-economics discussion

E

Eric Zivot Forum for Macro-economics discussion

C

Christofer Bogaso Forum for Macro-economics discussion

M

Matthieu Stigler ks test to compare manager alphas.

C

Chiquoine, Ben ks test to compare manager alphas.

B

Brian G. Peterson can't find blotter

S

Stephen Choularton can't find blotter

M

Mark Knecht Expost prediction for ARMA or GARCH

B

Brian G. Peterson Question in blotter::updatePosPL file: argument is of length zero

B

babel at centrum.sk Expost prediction for ARMA or GARCH

Sunday, December 19, 2010 9 emails

M

Megh Dal VECM estimation

M

Megh Dal VECM estimation

M

Matthieu Stigler VECM estimation

M

Megh Dal VECM estimation

M

Matthieu Stigler VECM estimation

M

Megh Dal VECM estimation

B

Brian G. Peterson Expost prediction for ARMA or GARCH

B

Brian G. Peterson Expost prediction for ARMA or GARCH

A

Arun Kumar Saha Expost prediction for ARMA or GARCH

Saturday, December 18, 2010 2 emails

B

babel at centrum.sk Expost prediction for ARMA or GARCH

L

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

Friday, December 17, 2010 6 emails

B

Brian G. Peterson Forcasting VAR/VEC

M

Megh Dal Forcasting VAR/VEC

B

Brian G. Peterson Where to download odbcConnectExcel2007

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Stephen Liu Where to download odbcConnectExcel2007

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Mark Breman Where to download odbcConnectExcel2007

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Stephen Liu Where to download odbcConnectExcel2007

Thursday, December 16, 2010 12 emails

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

M

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

A

Alan Lue CRSP and R

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Costas getSymbols problem in quantmod

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Costas getSymbols problem in quantmod

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Joshua Ulrich getSymbols problem in quantmod

C

Costas getSymbols problem in quantmod

M

Mark Breman getSymbols problem in quantmod

C

Costas getSymbols problem in quantmod

B

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

M

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

M

Matthieu Stigler Forcasting VAR/VEC

Wednesday, December 15, 2010 3 emails

B

Brian G. Peterson Problems with quantstrat and my own code

B

Brian G. Peterson CRSP and R

C

Corey Gallon CRSP and R

Tuesday, December 14, 2010 8 emails

S

Stephen Liu How check IBrokers

S

Stephen Liu About yahooImport to display output on R console

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Stephen Choularton placeOrder

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Jeff Ryan About yahooImport to display output on R console

S

Stephen Liu About yahooImport to display output on R console

M

Megh Dal Forcasting VAR/VEC

A

Aleksandr Rudnev Problems with quantstrat and my own code

B

Brian G. Peterson Problems with quantstrat and my own code

Monday, December 13, 2010 10 emails

A

Aaditya Nanduri Problems with quantstrat and my own code

J

Jeff Ryan xts / split time series issue

J

Jeff Ryan reqMktDepth

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Stephen Choularton reqMktDepth

B

Brian G. Peterson xts / split time series issue

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Nick Torenvliet xts / split time series issue

J

Jeff Ryan reqMktDepth

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Jeff Ryan reqMktDepth

S

Stephen Choularton reqMktDepth

P

Pfaff, Bernhard Dr. Forcasting VAR/VEC

Sunday, December 12, 2010 4 emails

M

Megh Dal Forcasting VAR/VEC

M

Megh Dal Co-integration question

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julien cuisinier RQuantLib install error

이

이원재 RQuantLib install error

Saturday, December 11, 2010 5 emails

B

Brian G. Peterson adjustedPrice or raw Price in blotter

L

Lei Jin adjustedPrice or raw Price in blotter

A

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

A

Arun Kumar Saha Two-Sample t-Test: paired vs. unpaired

A

Andreas Klein Two-Sample t-Test: paired vs. unpaired

Friday, December 10, 2010 13 emails

S

Stephen Choularton IBrokers

S

Stephen Choularton IBrokers

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Jeff Ryan Help with Futures in IBrokers

J

Jeff Ryan Help with Futures in IBrokers

J

Jeff Ryan merge function weird behaviour

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Saul Sala Peñalver Help with Futures in IBrokers

A

Anass Mouhsine merge function weird behaviour

S

Santosh Srinivas merge function weird behaviour

R

Robert Iquiapaza merge function weird behaviour

A

Anass Mouhsine merge function weird behaviour

M

Mark Breman merge function weird behaviour

A

Anass Mouhsine merge function weird behaviour

A

Anass Mouhsine merge function weird behaviour

Thursday, December 9, 2010 5 emails

A

Alexios Ghalanos Multivariate GARCH

P

Pfaff, Bernhard Dr. Multivariate GARCH

B

Brian G. Peterson Multivariate GARCH

B

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

T

Thomas Etheber Rmetrics TimeSeries Class

Wednesday, December 8, 2010 15 emails

J

Josh C. Chien Rmetrics TimeSeries Class

C

Charles Evans Multivariate GARCH

S

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

J

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

C

Corwin Joy fPortfolio - SOCP not available?

S

Stephen Choularton IBrokers

E

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

E

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

J

Jeff Ryan IBrokers

G

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

J

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

G

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

B

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

B

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

A

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

Tuesday, December 7, 2010 1 email

S

Stephen Choularton IBrokers

Monday, December 6, 2010 7 emails

S

Stephen Choularton IBrokers

J

Jeff Ryan IBrokers

J

Joshua Ulrich IBrokers

S

Stephen Choularton IBrokers

B

Brian G. Peterson quantmod

E

Eric Thungstom quantmod

D

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

Sunday, December 5, 2010 8 emails

J

Jeff Ryan IBrokers

金

金陈琛 unstable cointegration vector estimates in Johansen test

J

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

M

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

D

Daniel Cegiełka IBrokers

M

Mark Breman IBrokers

S

Stephen Choularton IBrokers

D

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

Saturday, December 4, 2010 7 emails

M

Mark Leeds question about correlated residuals

M

Matthieu Stigler unstable cointegration vector estimates in Johansen test

D

Dirk Eddelbuettel Quantile Regression-Fit Stock data

R

Ronald McEwan Quantile Regression-Fit Stock data

J

Jeff Ryan ibrokers - callback - example from Jeff Ryan's slides

J

Jeff Ryan ibrokers - callback - example from Jeff Ryan's slides

S

Stephen Choularton ibrokers - callback - example from Jeff Ryan's slides

Friday, December 3, 2010 2 emails

E

Eric Zivot unstable cointegration vector estimates in Johansen test

M

Matthieu Stigler unstable cointegration vector estimates in Johansen test

Thursday, December 2, 2010 10 emails

D

Daniel Cegiełka Exponentially Weighted Moving Average (EWMA) in R library

J

Josh C. Chien Exponentially Weighted Moving Average (EWMA) in R library

M

Mark Breman ibrokers - new callback

S

Stephen Choularton ibrokers - new callback

B

Brian G. Peterson table.Drawdowns table in PerformanceAnalytics

C

Charles Evans unstable cointegration vector estimates in Johansen test

H

H. Felix Wittmann table.Drawdowns table in PerformanceAnalytics

H

H. Felix Wittmann table.Drawdowns table in PerformanceAnalytics

J

Jeff Yan Models for Day Trading

M

Mark Gordon fPortfolio (portfolioFrontier function)

Wednesday, December 1, 2010 9 emails

J

Joshua Ulrich Models for Day Trading

金

金陈琛 unstable cointegration vector estimates in Johansen test

F

FX Going Models for Day Trading

C

Cedrick Johnson Markov Switching Models for growth and stock prices

B

ben schreiber Markov Switching Models for growth and stock prices

P

Patrick Burns Volatility subsample analysis

D

dondom Volatility subsample analysis

R

Rory Winston FX Forward outrights and FX Swaps

S

Stephen Choularton ibrokers

Tuesday, November 30, 2010 1 email

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Werner Erselina FX Forward outrights and FX Swaps