R-SIG-Finance - July 2011 - Subject View

(no subject)

8 msgs · Jul 18 – Jul 20

Amjad Ali (no subject) Jul 18, 2011 Me (no subject) Jul 18, 2011 Amjad Ali (no subject) Jul 18, 2011 Bharat Kherwa (no subject) Jul 18, 2011 Alexios Ghalanos (no subject) Jul 20, 2011 Amjad Ali (no subject) Jul 20, 2011 Cedrick Johnson (no subject) Jul 20, 2011 Alexios Ghalanos (no subject) Jul 20, 2011

AR-GARCH with additional variable - estimation problem

2 msgs · Jul 13 – Jul 18

Marcin P?�ciennik AR-GARCH with additional variable - estimation problem Jul 13, 2011 Marcin P?�ciennik AR-GARCH with additional variable - estimation problem Jul 18, 2011

Back test 20 years

4 msgs · Jul 11 – Jul 11

Michael Gates Back test 20 years Jul 11, 2011 Guy Green Back test 20 years Jul 11, 2011 Ulrich Staudinger Back test 20 years Jul 11, 2011 Jeff Ryan Back test 20 years Jul 11, 2011

Cointegration

2 msgs · Jul 19 – Jul 20

Arun Kumar Saha Cointegration Jul 19, 2011 Arun Kumar Saha Cointegration Jul 20, 2011

Connection failure

2 msgs · Jul 11 – Jul 11

krisan haria Connection failure Jul 11, 2011 julien cuisinier Connection failure Jul 11, 2011

Continuous Online GARCH

3 msgs · Jul 9 – Jul 9

Noah Silverman Continuous Online GARCH Jul 9, 2011 stefano iacus Continuous Online GARCH Jul 9, 2011 Patrick Burns Continuous Online GARCH Jul 9, 2011

Correlations by season

1 msg · Jul 6

Ira Sharenow Correlations by season Jul 6, 2011

Coskewness matrix

2 msgs · Jul 19 – Jul 19

Pasha Zulfuqali Coskewness matrix Jul 19, 2011 Maheshwari, Dhruv Coskewness matrix Jul 19, 2011

Dealing with multiple series which are not exactly same w.r.t date/time

3 msgs · Jul 27 – Jul 27

Subramanian S Dealing with multiple series which are not exactly same w.r.t date/time Jul 27, 2011 Subramanian S Dealing with multiple series which are not exactly same w.r.t date/time Jul 27, 2011 Brian G. Peterson Dealing with multiple series which are not exactly same w.r.t date/time Jul 27, 2011

FinCenter in timeSeries with "merge", "cbind" and "rbind"

2 msgs · Jul 4 – Jul 6

Kenneth Cabrera FinCenter in timeSeries with "merge", "cbind" and "rbind" Jul 4, 2011 Kenneth Cabrera FinCenter in timeSeries with "merge", "cbind" and "rbind" Jul 6, 2011

High performance computing with R

1 msg · Jul 4

mayouf.k High performance computing with R Jul 4, 2011

How to Get option prices of first and expiry date alone

3 msgs · Jul 8 – Jul 27

Subramanian S How to Get option prices of first and expiry date alone Jul 8, 2011 Subramanian S How to Get option prices of first and expiry date alone Jul 26, 2011 Brian G. Peterson How to Get option prices of first and expiry date alone Jul 27, 2011

How to know when an XTS row is at a particular interval

7 msgs · Jul 7 – Jul 9

Noah Silverman How to know when an XTS row is at a particular interval Jul 7, 2011 Brian G. Peterson How to know when an XTS row is at a particular interval Jul 7, 2011 Ulrich Staudinger How to know when an XTS row is at a particular interval Jul 7, 2011 Noah Silverman How to know when an XTS row is at a particular interval Jul 7, 2011 Ulrich Staudinger How to know when an XTS row is at a particular interval Jul 7, 2011 Noah Silverman How to know when an XTS row is at a particular interval Jul 9, 2011 Brian G. Peterson How to know when an XTS row is at a particular interval Jul 9, 2011

How to set Color scale for color2D.matplot()

1 msg · Jul 20

Youcheng Lin How to set Color scale for color2D.matplot() Jul 20, 2011

IBrokers - record and playback

1 msg · Jul 14

Noah Silverman IBrokers - record and playback Jul 14, 2011

Interactive Brokers

4 msgs · Jul 14 – Jul 14

Noah Silverman Interactive Brokers Jul 14, 2011 Guy Yollin Interactive Brokers Jul 14, 2011 Noah Silverman Interactive Brokers Jul 14, 2011 Brian G. Peterson Interactive Brokers Jul 14, 2011

Iterating through subset of XTS object

3 msgs · Jul 4 – Jul 5

Noah Silverman Iterating through subset of XTS object Jul 4, 2011 Jeff Ryan Iterating through subset of XTS object Jul 5, 2011 Joshua Ulrich Iterating through subset of XTS object Jul 5, 2011

Performace problems using IBrokers and reqMktData

1 msg · Jul 28

Samo Pahor Performace problems using IBrokers and reqMktData Jul 28, 2011

Piecewise distribution function estimation with Generalized Pareto for tail

3 msgs · Jul 6 – Jul 6

Changyou Sun Piecewise distribution function estimation with Generalized Pareto for tail Jul 6, 2011 Alexios Ghalanos Piecewise distribution function estimation with Generalized Pareto for tail Jul 6, 2011 Edwin Sun Piecewise distribution function estimation with Generalized Pareto for tail Jul 6, 2011

Problem setting "FinCenter" with cbind, rbind, merge

1 msg · Jul 11

Kenneth Cabrera Problem setting "FinCenter" with cbind, rbind, merge Jul 11, 2011

Quantstrat demos

3 msgs · Jul 15 – Jul 16

Subramanian S Quantstrat demos Jul 15, 2011 Brian G. Peterson Quantstrat demos Jul 16, 2011 Subramanian S Quantstrat demos Jul 16, 2011

Quantstrat stoplimit orders not triggered

13 msgs · Jul 21 – Jul 23

RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array"

3 msgs · Jul 11 – Jul 19

Ana Nelson RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array" Jul 11, 2011 David-Michael Lincke RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array" Jul 15, 2011 Larry Shank RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array" Jul 19, 2011

Rmetrics - additional file needed to use read.lynx() in Windows

2 msgs · Jul 17 – Jul 17

bruno.monastero Rmetrics - additional file needed to use read.lynx() in Windows Jul 17, 2011 bruno.monastero Rmetrics - additional file needed to use read.lynx() in Windows Jul 17, 2011

Running R on a Computer Cluster in the Cloud - cloudnumbers.com

1 msg · Jul 5

Markus Schmidberger Running R on a Computer Cluster in the Cloud - cloudnumbers.com Jul 5, 2011

SABR Volatility

3 msgs · Jul 19 – Jul 19

Raghuraman Ramachandran SABR Volatility Jul 19, 2011 Jeff Ryan SABR Volatility Jul 19, 2011 Joshua Ulrich SABR Volatility Jul 19, 2011

Serial Tests in a VAR model with arch effects

1 msg · Jul 1

Ivan Serial Tests in a VAR model with arch effects Jul 1, 2011

Simulating inhomogeneous Poisson process without loop

3 msgs · Jul 3 – Jul 3

Tristan Linke Simulating inhomogeneous Poisson process without loop Jul 3, 2011 Krishna Kumar Simulating inhomogeneous Poisson process without loop Jul 3, 2011 Harun Ozkan Simulating inhomogeneous Poisson process without loop Jul 3, 2011

Swing options

1 msg · Jul 8

Holger Kömm Swing options Jul 8, 2011

The C function getQ0 returns a non-positive covariance matrix and causes errors in arima()

1 msg · Jul 22

Raphael Rossignol The C function getQ0 returns a non-positive covariance matrix and causes errors in arima() Jul 22, 2011

Tools to calculate resistances and supports

3 msgs · Jul 12 – Jul 12

Paul Smith Tools to calculate resistances and supports Jul 12, 2011 julien cuisinier Tools to calculate resistances and supports Jul 12, 2011 Paul Smith Tools to calculate resistances and supports Jul 12, 2011

Weird hourly timestamping problem where hours get lost

2 msgs · Jul 28 – Jul 28

Samuel.Meichtry at bkw-fmb.ch Weird hourly timestamping problem where hours get lost Jul 28, 2011 Jeff Ryan Weird hourly timestamping problem where hours get lost Jul 28, 2011

Why does the curve() doesn't work for negative binomial distribution?

4 msgs · Jul 13 – Jul 13

郝立亚 Why does the curve() doesn't work for negative binomial distribution? Jul 13, 2011 michael.weylandt at gmail.com (R. Michael Weylandt Why does the curve() doesn't work for negative binomial distribution? Jul 13, 2011 Arun Kumar Saha Why does the curve() doesn't work for negative binomial distribution? Jul 13, 2011 Matthieu Stigler Why does the curve() doesn't work for negative binomial distribution? Jul 13, 2011

convert volatility of log returns to dollars

4 msgs · Jul 20 – Jul 20

Noah Silverman convert volatility of log returns to dollars Jul 20, 2011 Patrick Burns convert volatility of log returns to dollars Jul 20, 2011 Arun Kumar Saha convert volatility of log returns to dollars Jul 20, 2011 Noah Silverman convert volatility of log returns to dollars Jul 20, 2011

getQuote problem

4 msgs · Jul 23 – Jul 25

Samo Pahor getQuote problem Jul 23, 2011 G See getQuote problem Jul 23, 2011 Joshua Ulrich getQuote problem Jul 23, 2011 Zachary Mayer getQuote problem Jul 25, 2011

label in add.indicator not accepted (quantstrat)

1 msg · Jul 31

Daniel Krizian label in add.indicator not accepted (quantstrat) Jul 31, 2011

quantmod::saveSymbols not working properly for me

4 msgs · Jul 3 – Jul 3

Samo Pahor quantmod::saveSymbols not working properly for me Jul 3, 2011 G See quantmod::saveSymbols not working properly for me Jul 3, 2011 Jeff Ryan quantmod::saveSymbols not working properly for me Jul 3, 2011 Jeff Ryan quantmod::saveSymbols not working properly for me Jul 3, 2011

rgarch package - VAR in DCC model example

6 msgs · Jul 21 – Jul 23

Jacek Ernie rgarch package - VAR in DCC model example Jul 21, 2011 Alexios Ghalanos rgarch package - VAR in DCC model example Jul 21, 2011 zoe_zhang rgarch package - VAR in DCC model example Jul 21, 2011 Jacek rgarch package - VAR in DCC model example Jul 22, 2011 Alexios Ghalanos rgarch package - VAR in DCC model example Jul 22, 2011 Jacek rgarch package - VAR in DCC model example Jul 23, 2011

rgarch package problems

8 msgs · Jul 21 – Jul 31

zoe_zhang rgarch package problems Jul 21, 2011 Me rgarch package problems Jul 21, 2011 Brian G. Peterson rgarch package problems Jul 21, 2011 zoe_zhang rgarch package problems Jul 21, 2011 Alexios Ghalanos rgarch package problems Jul 21, 2011 zoe_zhang rgarch package problems Jul 21, 2011 Arun Kumar Saha rgarch package problems Jul 31, 2011 Alexios Ghalanos rgarch package problems Jul 31, 2011

semi-nonparametric density function

2 msgs · Jul 4 – Jul 4

stefan strunz semi-nonparametric density function Jul 4, 2011 Eric Zivot semi-nonparametric density function Jul 4, 2011

simulate a gram-charlier density

1 msg · Jul 10

Heng Wang simulate a gram-charlier density Jul 10, 2011

statistical remedy needed

7 msgs · Jul 8 – Jul 12

tonyp statistical remedy needed Jul 8, 2011 Mark Leeds statistical remedy needed Jul 8, 2011 Andy Zhu statistical remedy needed Jul 8, 2011 tonyp statistical remedy needed Jul 8, 2011 Mark Leeds statistical remedy needed Jul 8, 2011 Arun Kumar Saha statistical remedy needed Jul 10, 2011 tonyp statistical remedy needed Jul 12, 2011

variable scope with ewrapper in IBrokers

4 msgs · Jul 18 – Jul 18

Noah Silverman variable scope with ewrapper in IBrokers Jul 18, 2011 Brian G. Peterson variable scope with ewrapper in IBrokers Jul 18, 2011 Jeff Ryan variable scope with ewrapper in IBrokers Jul 18, 2011 Noah Silverman variable scope with ewrapper in IBrokers Jul 18, 2011

R-SIG-Finance July 2011