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R-SIG-Finance May 2011

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New to Quantitative Modeling (Looking for starting resources/suggestions)
6 msgs
Harsh New to Quantitative Modeling (Looking for starting resources/suggestions) May 31, 2011
Sarbo New to Quantitative Modeling (Looking for starting resources/suggestions) May 31, 2011
Harsh New to Quantitative Modeling (Looking for starting resources/suggestions) May 31, 2011
msalese New to Quantitative Modeling (Looking for starting resources/suggestions) May 31, 2011
Christofer Bogaso New to Quantitative Modeling (Looking for starting resources/suggestions) May 31, 2011
Kostas Evangelinos New to Quantitative Modeling (Looking for starting resources/suggestions) May 31, 2011
xts
2 msgs
Jeff Ryan xts May 30, 2011
Jeff Ryan xts May 30, 2011
A question on Hull
2 msgs
B. Jonathan B. Jonathan A question on Hull May 16, 2011
Sarbo A question on Hull May 30, 2011
xts
3 msgs
Emmanuel Senyo xts May 30, 2011
Jeff Ryan xts May 30, 2011
Joshua Ulrich xts May 30, 2011
Curve fitting the South African yield curve
3 msgs
Thomas Browne Curve fitting the South African yield curve May 28, 2011
Joshua Ulrich Curve fitting the South African yield curve May 28, 2011
Thomas Browne Curve fitting the South African yield curve May 30, 2011
getSymbols.yahoo 'adjusting' to NA
7 msgs
G See getSymbols.yahoo 'adjusting' to NA May 15, 2011
Joshua Ulrich getSymbols.yahoo 'adjusting' to NA May 15, 2011
G See getSymbols.yahoo 'adjusting' to NA May 15, 2011
G See getSymbols.yahoo 'adjusting' to NA May 15, 2011
G See getSymbols.yahoo 'adjusting' to NA May 15, 2011
Joshua Ulrich getSymbols.yahoo 'adjusting' to NA May 16, 2011
Joshua Ulrich getSymbols.yahoo 'adjusting' to NA May 29, 2011
How to test pairs trading strategy
3 msgs
Velappan Periasamy How to test pairs trading strategy May 29, 2011
Daniel Cegiełka How to test pairs trading strategy May 29, 2011
G See How to test pairs trading strategy May 29, 2011
Volatility Models?
2 msgs
Raghuraman Ramachandran Volatility Models? May 22, 2011
Sarbo Volatility Models? May 29, 2011
Excessive data needed for volatility{TTR} calculation?
7 msgs
James Excessive data needed for volatility{TTR} calculation? May 27, 2011
James Excessive data needed for volatility{TTR} calculation? May 27, 2011
Joshua Ulrich Excessive data needed for volatility{TTR} calculation? May 27, 2011
James Excessive data needed for volatility{TTR} calculation? May 27, 2011
Joshua Ulrich Excessive data needed for volatility{TTR} calculation? May 28, 2011
James Excessive data needed for volatility{TTR} calculation? May 28, 2011
Joshua Ulrich Excessive data needed for volatility{TTR} calculation? May 28, 2011
IBrokers - reqHistory results in missing random data
9 msgs
S IBrokers - reqHistory results in missing random data May 18, 2011
Jeff Ryan IBrokers - reqHistory results in missing random data May 18, 2011
S IBrokers - reqHistory results in missing random data May 18, 2011
S IBrokers - reqHistory results in missing random data May 18, 2011
S IBrokers - reqHistory results in missing random data May 19, 2011
S IBrokers - reqHistory results in missing random data May 24, 2011
Kostas Evangelinos IBrokers - reqHistory results in missing random data May 28, 2011
Jeff Ryan IBrokers - reqHistory results in missing random data May 28, 2011
S IBrokers - reqHistory results in missing random data May 28, 2011
objective function optimization in JAGS/BUGS rather then in optim-like R tools
1 msg
Alex Bird objective function optimization in JAGS/BUGS rather then in optim-like R tools May 27, 2011
R/Finance 2011 slides and follow-up
1 msg
Dirk Eddelbuettel R/Finance 2011 slides and follow-up May 25, 2011
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model
5 msgs
Marcin P?�ciennik DCC-GARCH model and AR(1)-GARCH(1, 1) regression model May 24, 2011
Yihao Lu aeolus_lu garchFit NaNs produced May 24, 2011
Arun Kumar Saha garchFit NaNs produced May 24, 2011
Yihao Lu aeolus_lu garchFit NaNs produced May 24, 2011
Kent Russell DCC-GARCH model and AR(1)-GARCH(1, 1) regression model May 24, 2011
performance attribution
3 msgs
Ben Nachtrieb performance attribution May 12, 2011
Brian G. Peterson performance attribution May 12, 2011
aamm performance attribution May 23, 2011
trading days between dates
1 msg
Geoffrey Smith trading days between dates May 23, 2011
RBloomberg builds
1 msg
Ana Nelson RBloomberg builds May 22, 2011
Value-at-risk
5 msgs
Brian G. Peterson Value-at-risk May 12, 2011
Brian G. Peterson Value-at-risk May 20, 2011
Christofer Bogaso Value-at-risk May 20, 2011
Christofer Bogaso Value-at-risk May 20, 2011
Brian G. Peterson Value-at-risk May 20, 2011
Lorenz Curve
1 msg
des Mazis, Pierre-Alexandre Lorenz Curve May 20, 2011
EGARCH/TGARCH
1 msg
Brian G. Peterson EGARCH/TGARCH May 20, 2011
rolling regression estimate std. error / t value
8 msgs
Lu Fan rolling regression estimate std. error / t value May 17, 2011
des Mazis, Pierre-Alexandre rolling regression estimate std. error / t value May 17, 2011
Lu Fan rolling regression estimate std. error / t value May 17, 2011
des Mazis, Pierre-Alexandre rolling regression estimate std. error / t value May 17, 2011
Lu Fan rolling regression estimate std. error / t value May 17, 2011
des Mazis, Pierre-Alexandre rolling regression estimate std. error / t value May 17, 2011
Lu Fan rolling regression estimate std. error / t value May 18, 2011
des Mazis, Pierre-Alexandre rolling regression estimate std. error / t value May 18, 2011
Universal Portfolios
5 msgs
des Mazis, Pierre-Alexandre Universal Portfolios May 17, 2011
Marc Delvaux Universal Portfolios May 17, 2011
des Mazis, Pierre-Alexandre Universal Portfolios May 17, 2011
Jeff Yan Multivariate cointegration framework in R? May 17, 2011
S Multivariate cointegration framework in R? May 17, 2011
Universal Portfolios
1 msg
Brian G. Peterson Universal Portfolios May 17, 2011
fOptions American options Implied Volatility
4 msgs
msalese fOptions American options Implied Volatility May 17, 2011
David Reiner - fOptions American options Implied Volatility - Email found in subject May 17, 2011
msalese fOptions American options Implied Volatility May 17, 2011
stefano iacus fOptions American options Implied Volatility May 17, 2011
na.omit.xts unsupported type error
6 msgs
Worik Stanton na.omit.xts unsupported type error May 16, 2011
Joshua Ulrich na.omit.xts unsupported type error May 16, 2011
Jeff Ryan na.omit.xts unsupported type error May 16, 2011
Worik Stanton na.omit.xts unsupported type error May 16, 2011
Worik Stanton na.omit.xts unsupported type error May 16, 2011
Joshua Ulrich na.omit.xts unsupported type error May 16, 2011
quantstrat orders
1 msg
G See quantstrat orders May 16, 2011
Trading Platforms and APIs
1 msg
Noah Silverman Trading Platforms and APIs May 16, 2011
strange trouble with timeSeries....
1 msg
Mercurio Danilo 1850 SPI strange trouble with timeSeries.... May 16, 2011
options/BS/MC
3 msgs
neal smith options/BS/MC May 14, 2011
Arun Kumar Saha options/BS/MC May 14, 2011
rex options/BS/MC May 15, 2011
1
3 msgs
Andrew West 1 May 15, 2011
Dirk Eddelbuettel 1 May 15, 2011
Mark Breman 1 May 15, 2011
options/BS/MC
1 msg
neal smith options/BS/MC May 15, 2011
options/BS/MC
2 msgs
neal smith options/BS/MC May 14, 2011
Arun Kumar Saha options/BS/MC May 14, 2011
Process used to manage workspace and large data files
9 msgs
S Process used to manage workspace and large data files May 13, 2011
Brian G. Peterson Process used to manage workspace and large data files May 13, 2011
S Process used to manage workspace and large data files May 14, 2011
G See Process used to manage workspace and large data files May 14, 2011
S Process used to manage workspace and large data files May 14, 2011
G See Process used to manage workspace and large data files May 14, 2011
G See Process used to manage workspace and large data files May 14, 2011
Jeff Ryan Process used to manage workspace and large data files May 14, 2011
S Process used to manage workspace and large data files May 14, 2011
is there a function that will compute a cumulative return times series
6 msgs
S is there a function that will compute a cumulative return times series May 13, 2011
G See is there a function that will compute a cumulative return times series May 13, 2011
S is there a function that will compute a cumulative return times series May 13, 2011
Brian G. Peterson is there a function that will compute a cumulative return times series May 13, 2011
S is there a function that will compute a cumulative return times series May 13, 2011
G See is there a function that will compute a cumulative return times series May 13, 2011
Value-at-risk
2 msgs
Emmanuel Senyo Value-at-risk May 12, 2011
Brian G. Peterson Value-at-risk May 12, 2011
EndEquity lower than initEq despite positive p/l
6 msgs
S EndEquity lower than initEq despite positive p/l May 6, 2011
G See EndEquity lower than initEq despite positive p/l May 7, 2011
Brian G. Peterson EndEquity lower than initEq despite positive p/l May 7, 2011
S EndEquity lower than initEq despite positive p/l May 11, 2011
Brian G. Peterson EndEquity lower than initEq despite positive p/l May 11, 2011
G See EndEquity lower than initEq despite positive p/l May 11, 2011
xts, period.apply question
3 msgs
Subhrangshu Nandi xts, period.apply question May 10, 2011
msalese xts, period.apply question May 10, 2011
Joshua Ulrich xts, period.apply question May 11, 2011
performance attribution
2 msgs
Ben Nachtrieb performance attribution May 10, 2011
Brian G. Peterson performance attribution May 11, 2011
Quantstrat pair trade
7 msgs
G See Quantstrat pair trade May 7, 2011
Me Quantstrat pair trade May 9, 2011
G See Quantstrat pair trade May 9, 2011
G See Quantstrat pair trade May 10, 2011
Brian G. Peterson Quantstrat pair trade May 10, 2011
G See Quantstrat pair trade May 10, 2011
G See Quantstrat pair trade May 10, 2011
findDrawdowns {PerformanceAnalytics}
3 msgs
Costas Vorlow findDrawdowns {PerformanceAnalytics} May 10, 2011
Brian G. Peterson findDrawdowns {PerformanceAnalytics} May 10, 2011
Costas Vorlow findDrawdowns {PerformanceAnalytics} May 10, 2011
Exponential smoothing and WLS
2 msgs
riccardo visca Exponential smoothing and WLS May 9, 2011
Eric Zivot Exponential smoothing and WLS May 9, 2011
Don't miss: 5th R/Rmetrics Meielisalp Workshop 2011, June 26-30
1 msg
Diethelm Wuertz Don't miss: 5th R/Rmetrics Meielisalp Workshop 2011, June 26-30 May 9, 2011
Creating Binomial tree
2 msgs
Christofer Bogaso Creating Binomial tree May 8, 2011
Eric Zivot Creating Binomial tree May 9, 2011
Quantstrat pair trade
1 msg
G See Quantstrat pair trade May 9, 2011
Include only distinct lags into a GARCH specification (rgarch)
1 msg
Johannes Lips Include only distinct lags into a GARCH specification (rgarch) May 7, 2011
nabble.com r-sig-finance/Rmetrics mailing list - wrong email address
1 msg
Gary C nabble.com r-sig-finance/Rmetrics mailing list - wrong email address May 6, 2011
quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ?
4 msgs
msalese quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ? May 5, 2011
Brian G. Peterson quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ? May 5, 2011
msalese quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ? May 6, 2011
Mark Knecht quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ? May 6, 2011
Aggregating time series to every 30sec
3 msgs
Robert A'gata Aggregating time series to every 30sec May 5, 2011
Jeff Ryan Aggregating time series to every 30sec May 5, 2011
Robert A'gata Aggregating time series to every 30sec May 5, 2011
EndEquity lower than initEq despite positive p/l
2 msgs
S EndEquity lower than initEq despite positive p/l May 5, 2011
S EndEquity lower than initEq despite positive p/l May 5, 2011
R, Finance, and Statistical Computing at JSM
1 msg
Paul Teetor R, Finance, and Statistical Computing at JSM May 5, 2011
EndEquity lower than initEq despite positive p/l
1 msg
S EndEquity lower than initEq despite positive p/l May 5, 2011
quantstrat & custom indicators
1 msg
S quantstrat & custom indicators May 4, 2011
Expected lengths of streaks
1 msg
BBands Expected lengths of streaks May 4, 2011
Expected lengths of streaks
2 msgs
BBands Expected lengths of streaks May 3, 2011
Mark Leeds Expected lengths of streaks May 3, 2011
quantstrat & custom indicators
8 msgs
S quantstrat & custom indicators May 2, 2011
Brian G. Peterson quantstrat & custom indicators May 2, 2011
S quantstrat & custom indicators May 2, 2011
S quantstrat & custom indicators May 3, 2011
S quantstrat & custom indicators May 3, 2011
Brian G. Peterson quantstrat & custom indicators May 3, 2011
S quantstrat & custom indicators May 3, 2011
S quantstrat & custom indicators May 3, 2011
RinFinance documentation
1 msg
Alpert, William RinFinance documentation May 3, 2011
Quantmod ChartThemes
1 msg
Joshua Ulrich Quantmod ChartThemes May 2, 2011
Strategy performance summary report
8 msgs
S Strategy performance summary report May 1, 2011
Daniel Cegiełka Strategy performance summary report May 2, 2011
Brian G. Peterson Strategy performance summary report May 2, 2011
S Strategy performance summary report May 2, 2011
Peter Carl Strategy performance summary report May 2, 2011
Daniel Cegiełka Strategy performance summary report May 2, 2011
Vijay Vaidyanathan Strategy performance summary report May 2, 2011
Daniel Cegiełka Strategy performance summary report May 2, 2011
R/Finance 2011
4 msgs
avneet singh R/Finance 2011 May 2, 2011
Thomas Laugle R/Finance 2011 May 2, 2011
Brian G. Peterson R/Finance 2011 May 2, 2011
Joshua Ulrich R/Finance 2011 May 2, 2011
R/Finance 2011
1 msg
BBands R/Finance 2011 May 2, 2011
How to add data to secondary axis in chartSeries
1 msg
Arun Kumar Saha How to add data to secondary axis in chartSeries May 2, 2011
FRED prob
2 msgs
Arun Kumar Saha FRED prob May 1, 2011
Daniel FRED prob May 1, 2011