R-SIG-Finance - May 2011 - Subject View

- fOptions American options Implied Volatility - Email found in subject

1 msg · May 17

David Reiner - fOptions American options Implied Volatility - Email found in subject May 17, 2011

1

3 msgs · May 15 – May 15

Andrew West 1 May 15, 2011 Dirk Eddelbuettel 1 May 15, 2011 Mark Breman 1 May 15, 2011

A question on Hull

2 msgs · May 16 – May 30

B. Jonathan B. Jonathan A question on Hull May 16, 2011 Sarbo A question on Hull May 30, 2011

Aggregating time series to every 30sec

3 msgs · May 5 – May 5

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

Creating Binomial tree

2 msgs · May 8 – May 9

Christofer Bogaso Creating Binomial tree May 8, 2011 Eric Zivot Creating Binomial tree May 9, 2011

Curve fitting the South African yield curve

3 msgs · May 28 – May 30

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

DCC-GARCH model and AR(1)-GARCH(1, 1) regression model

2 msgs · May 24 – May 24

Marcin P?�ciennik DCC-GARCH model and AR(1)-GARCH(1, 1) regression model May 24, 2011 Kent Russell DCC-GARCH model and AR(1)-GARCH(1, 1) regression model May 24, 2011

Don't miss: 5th R/Rmetrics Meielisalp Workshop 2011, June 26-30

1 msg · May 9

Diethelm Wuertz Don't miss: 5th R/Rmetrics Meielisalp Workshop 2011, June 26-30 May 9, 2011

EGARCH/TGARCH

1 msg · May 20

Brian G. Peterson EGARCH/TGARCH May 20, 2011

EndEquity lower than initEq despite positive p/l

9 msgs · May 5 – May 11

Excessive data needed for volatility{TTR} calculation?

7 msgs · May 27 – May 28

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

Expected lengths of streaks

3 msgs · May 3 – May 4

BBands Expected lengths of streaks May 3, 2011 Mark Leeds Expected lengths of streaks May 3, 2011 BBands Expected lengths of streaks May 4, 2011

Exponential smoothing and WLS

2 msgs · May 9 – May 9

riccardo visca Exponential smoothing and WLS May 9, 2011 Eric Zivot Exponential smoothing and WLS May 9, 2011

FRED prob

2 msgs · May 1 – May 1

Arun Kumar Saha FRED prob May 1, 2011 Daniel FRED prob May 1, 2011

How to add data to secondary axis in chartSeries

1 msg · May 2

Arun Kumar Saha How to add data to secondary axis in chartSeries May 2, 2011

How to test pairs trading strategy

3 msgs · May 29 – May 29

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

IBrokers - reqHistory results in missing random data

9 msgs · May 18 – May 28

Include only distinct lags into a GARCH specification (rgarch)

1 msg · May 7

Johannes Lips Include only distinct lags into a GARCH specification (rgarch) May 7, 2011

Lorenz Curve

1 msg · May 20

des Mazis, Pierre-Alexandre Lorenz Curve May 20, 2011

Multivariate cointegration framework in R?

2 msgs · May 17 – May 17

Jeff Yan Multivariate cointegration framework in R? May 17, 2011 S Multivariate cointegration framework in R? May 17, 2011

New to Quantitative Modeling (Looking for starting resources/suggestions)

6 msgs · May 31 – May 31

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

Process used to manage workspace and large data files

9 msgs · May 13 – May 14

Quantmod ChartThemes

1 msg · May 2

Joshua Ulrich Quantmod ChartThemes May 2, 2011

Quantstrat pair trade

8 msgs · May 7 – May 10

G See Quantstrat pair trade May 7, 2011 G See Quantstrat pair trade May 9, 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

R, Finance, and Statistical Computing at JSM

1 msg · May 5

Paul Teetor R, Finance, and Statistical Computing at JSM May 5, 2011

R/Finance 2011

5 msgs · May 2 – May 2

BBands R/Finance 2011 May 2, 2011 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 slides and follow-up

1 msg · May 25

Dirk Eddelbuettel R/Finance 2011 slides and follow-up May 25, 2011

RBloomberg builds

1 msg · May 22

Ana Nelson RBloomberg builds May 22, 2011

RinFinance documentation

1 msg · May 3

Alpert, William RinFinance documentation May 3, 2011

Strategy performance summary report

8 msgs · May 1 – May 2

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

Trading Platforms and APIs

1 msg · May 16

Noah Silverman Trading Platforms and APIs May 16, 2011

Universal Portfolios

4 msgs · May 17 – May 17

des Mazis, Pierre-Alexandre Universal Portfolios May 17, 2011 Brian G. Peterson Universal Portfolios May 17, 2011 Marc Delvaux Universal Portfolios May 17, 2011 des Mazis, Pierre-Alexandre Universal Portfolios May 17, 2011

Value-at-risk

7 msgs · May 12 – May 20

Emmanuel Senyo Value-at-risk May 12, 2011 Brian G. Peterson Value-at-risk May 12, 2011 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

Volatility Models?

2 msgs · May 22 – May 29

Raghuraman Ramachandran Volatility Models? May 22, 2011 Sarbo Volatility Models? May 29, 2011

fOptions American options Implied Volatility

3 msgs · May 17 – May 17

msalese fOptions American options Implied Volatility May 17, 2011 msalese fOptions American options Implied Volatility May 17, 2011 stefano iacus fOptions American options Implied Volatility May 17, 2011

findDrawdowns {PerformanceAnalytics}

3 msgs · May 10 – May 10

Costas Vorlow findDrawdowns {PerformanceAnalytics} May 10, 2011 Brian G. Peterson findDrawdowns {PerformanceAnalytics} May 10, 2011 Costas Vorlow findDrawdowns {PerformanceAnalytics} May 10, 2011

garchFit NaNs produced

3 msgs · May 24 – May 24

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

getSymbols.yahoo 'adjusting' to NA

7 msgs · May 15 – May 29

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

is there a function that will compute a cumulative return times series

6 msgs · May 13 – May 13

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

na.omit.xts unsupported type error

6 msgs · May 16 – May 16

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

nabble.com r-sig-finance/Rmetrics mailing list - wrong email address

1 msg · May 6

Gary C nabble.com r-sig-finance/Rmetrics mailing list - wrong email address May 6, 2011

objective function optimization in JAGS/BUGS rather then in optim-like R tools

1 msg · May 27

Alex Bird objective function optimization in JAGS/BUGS rather then in optim-like R tools May 27, 2011

options/BS/MC

6 msgs · May 14 – May 15

neal smith options/BS/MC May 14, 2011 Arun Kumar Saha options/BS/MC May 14, 2011 neal smith options/BS/MC May 14, 2011 Arun Kumar Saha options/BS/MC May 14, 2011 neal smith options/BS/MC May 15, 2011 rex options/BS/MC May 15, 2011

performance attribution

5 msgs · May 10 – May 23

Ben Nachtrieb performance attribution May 10, 2011 Brian G. Peterson performance attribution May 11, 2011 Ben Nachtrieb performance attribution May 12, 2011 Brian G. Peterson performance attribution May 12, 2011 aamm performance attribution May 23, 2011

quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ?

4 msgs · May 5 – May 6

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

quantstrat & custom indicators

9 msgs · May 2 – May 4

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 S quantstrat & custom indicators May 4, 2011

quantstrat orders

1 msg · May 16

G See quantstrat orders May 16, 2011

rolling regression estimate std. error / t value

8 msgs · May 17 – May 18

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

strange trouble with timeSeries....

1 msg · May 16

Mercurio Danilo 1850 SPI strange trouble with timeSeries.... May 16, 2011

trading days between dates

1 msg · May 23

Geoffrey Smith trading days between dates May 23, 2011

xts

5 msgs · May 30 – May 30

Emmanuel Senyo xts May 30, 2011 Jeff Ryan xts May 30, 2011 Joshua Ulrich xts May 30, 2011 Jeff Ryan xts May 30, 2011 Jeff Ryan xts May 30, 2011

xts, period.apply question

3 msgs · May 10 – May 11

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

R-SIG-Finance May 2011

- fOptions American options Implied Volatility - Email found in subject

1

A question on Hull

Aggregating time series to every 30sec

Creating Binomial tree

Curve fitting the South African yield curve

DCC-GARCH model and AR(1)-GARCH(1, 1) regression model

Don't miss: 5th R/Rmetrics Meielisalp Workshop 2011, June 26-30

EGARCH/TGARCH

EndEquity lower than initEq despite positive p/l

Excessive data needed for volatility{TTR} calculation?

Expected lengths of streaks

Exponential smoothing and WLS

FRED prob

How to add data to secondary axis in chartSeries

How to test pairs trading strategy

IBrokers - reqHistory results in missing random data

Include only distinct lags into a GARCH specification (rgarch)

Lorenz Curve

Multivariate cointegration framework in R?

New to Quantitative Modeling (Looking for starting resources/suggestions)

Process used to manage workspace and large data files

Quantmod ChartThemes

Quantstrat pair trade

R, Finance, and Statistical Computing at JSM

R/Finance 2011

R/Finance 2011 slides and follow-up

RBloomberg builds

RinFinance documentation

Strategy performance summary report

Trading Platforms and APIs

Universal Portfolios

Value-at-risk

Volatility Models?

fOptions American options Implied Volatility

findDrawdowns {PerformanceAnalytics}

garchFit NaNs produced

getSymbols.yahoo 'adjusting' to NA

is there a function that will compute a cumulative return times series

na.omit.xts unsupported type error

nabble.com r-sig-finance/Rmetrics mailing list - wrong email address

objective function optimization in JAGS/BUGS rather then in optim-like R tools

options/BS/MC

performance attribution

quantmod/Rmetrics-timeSeries and RQuantLib/Rmetrics-fOptions ?

quantstrat & custom indicators

quantstrat orders

rolling regression estimate std. error / t value

strange trouble with timeSeries....

trading days between dates

xts

xts, period.apply question