R-SIG-Finance - May 2011 - Date View

Tuesday, May 31, 2011 6 emails

Kostas Evangelinos New to Quantitative Modeling (Looking for starting resources/suggestions) Christofer Bogaso New to Quantitative Modeling (Looking for starting resources/suggestions) msalese New to Quantitative Modeling (Looking for starting resources/suggestions) Harsh New to Quantitative Modeling (Looking for starting resources/suggestions) Sarbo New to Quantitative Modeling (Looking for starting resources/suggestions) Harsh New to Quantitative Modeling (Looking for starting resources/suggestions)

Monday, May 30, 2011 7 emails

Jeff Ryan xts Sarbo A question on Hull Jeff Ryan xts Joshua Ulrich xts Jeff Ryan xts Emmanuel Senyo xts Thomas Browne Curve fitting the South African yield curve

Sunday, May 29, 2011 5 emails

Joshua Ulrich getSymbols.yahoo 'adjusting' to NA G See How to test pairs trading strategy Sarbo Volatility Models? Daniel Cegiełka How to test pairs trading strategy Velappan Periasamy How to test pairs trading strategy

Saturday, May 28, 2011 8 emails

Joshua Ulrich Curve fitting the South African yield curve Joshua Ulrich Excessive data needed for volatility{TTR} calculation? S IBrokers - reqHistory results in missing random data Jeff Ryan IBrokers - reqHistory results in missing random data Kostas Evangelinos IBrokers - reqHistory results in missing random data James Excessive data needed for volatility{TTR} calculation? Joshua Ulrich Excessive data needed for volatility{TTR} calculation? Thomas Browne Curve fitting the South African yield curve

Friday, May 27, 2011 5 emails

James Excessive data needed for volatility{TTR} calculation? Joshua Ulrich Excessive data needed for volatility{TTR} calculation? James Excessive data needed for volatility{TTR} calculation? James Excessive data needed for volatility{TTR} calculation? Alex Bird objective function optimization in JAGS/BUGS rather then in optim-like R tools

Wednesday, May 25, 2011 1 email

Dirk Eddelbuettel R/Finance 2011 slides and follow-up

Tuesday, May 24, 2011 6 emails

Kent Russell DCC-GARCH model and AR(1)-GARCH(1, 1) regression model Yihao Lu aeolus_lu garchFit NaNs produced Arun Kumar Saha garchFit NaNs produced S IBrokers - reqHistory results in missing random data Yihao Lu aeolus_lu garchFit NaNs produced Marcin P?�ciennik DCC-GARCH model and AR(1)-GARCH(1, 1) regression model

Monday, May 23, 2011 2 emails

aamm performance attribution Geoffrey Smith trading days between dates

Sunday, May 22, 2011 2 emails

Ana Nelson RBloomberg builds Raghuraman Ramachandran Volatility Models?

Friday, May 20, 2011 6 emails

Brian G. Peterson Value-at-risk Christofer Bogaso Value-at-risk Christofer Bogaso Value-at-risk des Mazis, Pierre-Alexandre Lorenz Curve Brian G. Peterson Value-at-risk Brian G. Peterson EGARCH/TGARCH

Thursday, May 19, 2011 1 email

S IBrokers - reqHistory results in missing random data

Wednesday, May 18, 2011 6 emails

S IBrokers - reqHistory results in missing random data S IBrokers - reqHistory results in missing random data Jeff Ryan IBrokers - reqHistory results in missing random data S IBrokers - reqHistory results in missing random data des Mazis, Pierre-Alexandre rolling regression estimate std. error / t value Lu Fan rolling regression estimate std. error / t value

Tuesday, May 17, 2011 16 emails

S Multivariate cointegration framework in R? Jeff Yan Multivariate cointegration framework in R? des Mazis, Pierre-Alexandre rolling regression estimate std. error / t value Lu Fan rolling regression estimate std. error / t value des Mazis, Pierre-Alexandre rolling regression estimate std. error / t value Lu Fan rolling regression estimate std. error / t value des Mazis, Pierre-Alexandre rolling regression estimate std. error / t value des Mazis, Pierre-Alexandre Universal Portfolios Lu Fan rolling regression estimate std. error / t value Marc Delvaux Universal Portfolios Brian G. Peterson Universal Portfolios stefano iacus fOptions American options Implied Volatility msalese fOptions American options Implied Volatility des Mazis, Pierre-Alexandre Universal Portfolios David Reiner - fOptions American options Implied Volatility - Email found in subject msalese fOptions American options Implied Volatility

Monday, May 16, 2011 11 emails

Joshua Ulrich na.omit.xts unsupported type error Worik Stanton na.omit.xts unsupported type error Worik Stanton na.omit.xts unsupported type error Jeff Ryan na.omit.xts unsupported type error Joshua Ulrich na.omit.xts unsupported type error Worik Stanton na.omit.xts unsupported type error G See quantstrat orders B. Jonathan B. Jonathan A question on Hull Noah Silverman Trading Platforms and APIs Joshua Ulrich getSymbols.yahoo 'adjusting' to NA Mercurio Danilo 1850 SPI strange trouble with timeSeries....

Sunday, May 15, 2011 10 emails

rex options/BS/MC G See getSymbols.yahoo 'adjusting' to NA G See getSymbols.yahoo 'adjusting' to NA G See getSymbols.yahoo 'adjusting' to NA Joshua Ulrich getSymbols.yahoo 'adjusting' to NA G See getSymbols.yahoo 'adjusting' to NA Mark Breman 1 neal smith options/BS/MC Dirk Eddelbuettel 1 Andrew West 1

Saturday, May 14, 2011 11 emails

Arun Kumar Saha options/BS/MC S Process used to manage workspace and large data files neal smith options/BS/MC Jeff Ryan Process used to manage workspace and large data files Arun Kumar Saha options/BS/MC G See Process used to manage workspace and large data files G See Process used to manage workspace and large data files neal smith options/BS/MC S Process used to manage workspace and large data files G See Process used to manage workspace and large data files S Process used to manage workspace and large data files

Friday, May 13, 2011 8 emails

Brian G. Peterson Process used to manage workspace and large data files S Process used to manage workspace and large data files G See is there a function that will compute a cumulative return times series S is there a function that will compute a cumulative return times series Brian G. Peterson is there a function that will compute a cumulative return times series S is there a function that will compute a cumulative return times series G See is there a function that will compute a cumulative return times series S is there a function that will compute a cumulative return times series

Thursday, May 12, 2011 5 emails

Brian G. Peterson performance attribution Ben Nachtrieb performance attribution Brian G. Peterson Value-at-risk Brian G. Peterson Value-at-risk Emmanuel Senyo Value-at-risk

Wednesday, May 11, 2011 5 emails

G See EndEquity lower than initEq despite positive p/l Brian G. Peterson EndEquity lower than initEq despite positive p/l S EndEquity lower than initEq despite positive p/l Joshua Ulrich xts, period.apply question Brian G. Peterson performance attribution

Tuesday, May 10, 2011 10 emails

Ben Nachtrieb performance attribution G See Quantstrat pair trade G See Quantstrat pair trade Brian G. Peterson Quantstrat pair trade G See Quantstrat pair trade Costas Vorlow findDrawdowns {PerformanceAnalytics} Brian G. Peterson findDrawdowns {PerformanceAnalytics} Costas Vorlow findDrawdowns {PerformanceAnalytics} msalese xts, period.apply question Subhrangshu Nandi xts, period.apply question

Monday, May 9, 2011 7 emails

G See Quantstrat pair trade Me Quantstrat pair trade Eric Zivot Exponential smoothing and WLS Diethelm Wuertz Don't miss: 5th R/Rmetrics Meielisalp Workshop 2011, June 26-30 riccardo visca Exponential smoothing and WLS Eric Zivot Creating Binomial tree G See Quantstrat pair trade

Sunday, May 8, 2011 1 email

Christofer Bogaso Creating Binomial tree

Saturday, May 7, 2011 4 emails

G See Quantstrat pair trade Brian G. Peterson EndEquity lower than initEq despite positive p/l G See EndEquity lower than initEq despite positive p/l Johannes Lips Include only distinct lags into a GARCH specification (rgarch)

Friday, May 6, 2011 4 emails

S EndEquity lower than initEq despite positive p/l Gary C nabble.com r-sig-finance/Rmetrics mailing list - wrong email address Mark Knecht quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ? msalese quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ?

Thursday, May 5, 2011 9 emails

Robert A'gata Aggregating time series to every 30sec Jeff Ryan Aggregating time series to every 30sec S EndEquity lower than initEq despite positive p/l Robert A'gata Aggregating time series to every 30sec S EndEquity lower than initEq despite positive p/l Paul Teetor R, Finance, and Statistical Computing at JSM S EndEquity lower than initEq despite positive p/l Brian G. Peterson quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ? msalese quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ?

Wednesday, May 4, 2011 2 emails

S quantstrat & custom indicators BBands Expected lengths of streaks

Tuesday, May 3, 2011 8 emails

Mark Leeds Expected lengths of streaks BBands Expected lengths of streaks S quantstrat & custom indicators S quantstrat & custom indicators Brian G. Peterson quantstrat & custom indicators S quantstrat & custom indicators S quantstrat & custom indicators Alpert, William RinFinance documentation

Monday, May 2, 2011 17 emails

S quantstrat & custom indicators Joshua Ulrich Quantmod ChartThemes Brian G. Peterson quantstrat & custom indicators S quantstrat & custom indicators Daniel Cegiełka Strategy performance summary report Vijay Vaidyanathan Strategy performance summary report Joshua Ulrich R/Finance 2011 Brian G. Peterson R/Finance 2011 Thomas Laugle R/Finance 2011 avneet singh R/Finance 2011 Daniel Cegiełka Strategy performance summary report BBands R/Finance 2011 Arun Kumar Saha How to add data to secondary axis in chartSeries Peter Carl Strategy performance summary report S Strategy performance summary report Brian G. Peterson Strategy performance summary report Daniel Cegiełka Strategy performance summary report

Sunday, May 1, 2011 3 emails

S Strategy performance summary report Daniel FRED prob Arun Kumar Saha FRED prob

R-SIG-Finance May 2011