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R-SIG-Finance November 2011

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PerformanceAnalytics - Sharpes Style Analysis- but with intercept?
2 msgs
Philipp PerformanceAnalytics - Sharpes Style Analysis- but with intercept? Nov 30, 2011
Peter Carl PerformanceAnalytics - Sharpes Style Analysis- but with intercept? Nov 30, 2011
Better Hedge Ratios for Spread Trading
9 msgs
Paul Teetor Better Hedge Ratios for Spread Trading Nov 29, 2011
G See Better Hedge Ratios for Spread Trading Nov 29, 2011
Samit Jain Better Hedge Ratios for Spread Trading Nov 29, 2011
Samit Jain Better Hedge Ratios for Spread Trading Nov 29, 2011
G See Better Hedge Ratios for Spread Trading Nov 29, 2011
G See Better Hedge Ratios for Spread Trading Nov 29, 2011
G See Better Hedge Ratios for Spread Trading Nov 29, 2011
Paul Teetor Better Hedge Ratios for Spread Trading Nov 29, 2011
Paul Teetor Better Hedge Ratios for Spread Trading Nov 29, 2011
inverse laplace transform
1 msg
sammyny inverse laplace transform Nov 29, 2011
HELP: Problem with RBloomberg blp intraday data
5 msgs
Benjamin, Michael HELP: Problem with RBloomberg blp intraday data Nov 24, 2011
John Laing HELP: Problem with RBloomberg blp intraday data Nov 28, 2011
thomas.chan.sf at boci-pru.com.hk RBloomberg data download problem Nov 28, 2011
thomas.chan.sf at boci-pru.com.hk RBloomberg data download problem Nov 28, 2011
Benjamin, Michael HELP: Problem with RBloomberg blp intraday data Nov 29, 2011
Backtesting / virtual portfolio
5 msgs
Lui ## Backtesting / virtual portfolio Nov 28, 2011
Brian G. Peterson Backtesting / virtual portfolio Nov 28, 2011
Christofer Bogaso Backtesting / virtual portfolio Nov 28, 2011
Mark Leeds Backtesting / virtual portfolio Nov 28, 2011
Lui ## Backtesting / virtual portfolio Nov 28, 2011
Correct link for R course in financial data analysis
1 msg
Eric Zivot Correct link for R course in financial data analysis Nov 28, 2011
How to get name of a ticker using Quantmod/R
7 msgs
George Kumar How to get name of a ticker using Quantmod/R Nov 27, 2011
George Kumar How to get name of a ticker using Quantmod/R Nov 27, 2011
Daniel Cegiełka How to get name of a ticker using Quantmod/R Nov 27, 2011
George Kumar How to get name of a ticker using Quantmod/R Nov 27, 2011
Daniel Cegiełka How to get name of a ticker using Quantmod/R Nov 27, 2011
George Kumar How to get name of a ticker using Quantmod/R Nov 28, 2011
G See How to get name of a ticker using Quantmod/R Nov 28, 2011
Upcoming R course: Financial Data Modeling and Analysis in R
1 msg
Eric Zivot Upcoming R course: Financial Data Modeling and Analysis in R Nov 28, 2011
Option valuation for arbitrary distribution using monte carlo simulation
15 msgs
Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 22, 2011
msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 22, 2011
Paul Ringseth Option valuation for arbitrary distribution using monte carlo simulation Nov 22, 2011
Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 23, 2011
msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 23, 2011
Christofer Bogaso Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011
Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011
msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011
Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011
Matthew Clegg Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011
Patrick Burns Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011
Brian G. Peterson Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011
Charles Ward Option valuation for arbitrary distribution using monte carlo simulation Nov 25, 2011
msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 25, 2011
Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 28, 2011
options profit/loss graph (beginner question)
3 msgs
Uwe Voelker options profit/loss graph (beginner question) Nov 25, 2011
Enrico Schumann options profit/loss graph (beginner question) Nov 25, 2011
Uwe Voelker options profit/loss graph (beginner question) Nov 27, 2011
How to move stoplimit thresholds?
4 msgs
Heiko Stegmann How to move stoplimit thresholds? Nov 27, 2011
Brian G. Peterson How to move stoplimit thresholds? Nov 27, 2011
Heiko Stegmann How to move stoplimit thresholds? Nov 27, 2011
Brian G. Peterson How to move stoplimit thresholds? Nov 27, 2011
Need help with my Code for complex GARCH (GJR-GARCH)
1 msg
Brian G. Peterson Need help with my Code for complex GARCH (GJR-GARCH) Nov 27, 2011
Need help with my Code for complex GARCH (GJR-GARCH)
2 msgs
Lin23 Need help with my Code for complex GARCH (GJR-GARCH) Nov 27, 2011
Brian G. Peterson Need help with my Code for complex GARCH (GJR-GARCH) Nov 27, 2011
correlation matrix
7 msgs
debashis dutta correlation matrix Nov 27, 2011
Patrick Burns correlation matrix Nov 27, 2011
debashis dutta correlation matrix Nov 27, 2011
Arun Kumar Saha correlation matrix Nov 27, 2011
Enrico Schumann correlation matrix Nov 27, 2011
Arun Kumar Saha correlation matrix Nov 27, 2011
debashis dutta correlation matrix Nov 27, 2011
Random Forest Classifiers
5 msgs
Momop Momop Random Forest Classifiers Nov 26, 2011
Momop Momop Random Forest Classifiers Nov 26, 2011
Zachary Mayer Random Forest Classifiers Nov 26, 2011
Chris Waggoner Random Forest Classifiers Nov 26, 2011
Jeff Ryan Random Forest Classifiers Nov 26, 2011
(no subject)
3 msgs
Papa Senyo (no subject) Nov 24, 2011
Papa Senyo External regressors Nov 24, 2011
Patrick Burns External regressors Nov 24, 2011
rugarch:out of sample
2 msgs
Papa Senyo rugarch:out of sample Nov 24, 2011
Alexios Ghalanos rugarch:out of sample Nov 24, 2011
Prroblem with RBloomberg blp intraday data
1 msg
Benjamin, Michael Prroblem with RBloomberg blp intraday data Nov 23, 2011
help with egarch prediction
7 msgs
hemsam help with egarch prediction Nov 22, 2011
Alexios Ghalanos help with egarch prediction Nov 23, 2011
hemsam help with egarch prediction Nov 23, 2011
Ulrich Staudinger help with egarch prediction Nov 23, 2011
Patrick Burns help with egarch prediction Nov 23, 2011
Alexios Ghalanos help with egarch prediction Nov 23, 2011
Brian G. Peterson help with egarch prediction Nov 23, 2011
repeating regression
5 msgs
Robert A'gata repeating regression Nov 21, 2011
R. Michael Weylandt repeating regression Nov 21, 2011
G See repeating regression Nov 22, 2011
Immanuel Using Grammatical Evolution to generate trading rules Nov 22, 2011
Richard Herron repeating regression Nov 22, 2011
getting bar data with Ibrokers
1 msg
M R getting bar data with Ibrokers Nov 22, 2011
Monte Carlo simulation for VaR estimation
5 msgs
andrija djurovic Monte Carlo simulation for VaR estimation Nov 18, 2011
David Reiner - Monte Carlo simulation for VaR estimation - Email found in subject Nov 18, 2011
andrija djurovic - Monte Carlo simulation for VaR estimation - Email found in subject Nov 18, 2011
Arun Kumar Saha - Monte Carlo simulation for VaR estimation - Email found in subject Nov 21, 2011
andrija djurovic - Monte Carlo simulation for VaR estimation - Email found in subject Nov 21, 2011
risk-free rate in option pricing
2 msgs
Xian Li risk-free rate in option pricing Nov 16, 2011
Arun Kumar Saha risk-free rate in option pricing Nov 21, 2011
VECM
1 msg
vramaiah at neo.tamu.edu VECM Nov 18, 2011
Block length for Bivariate Stationary Bootstrap for Inference for Correlation
1 msg
Andreas Klein Block length for Bivariate Stationary Bootstrap for Inference for Correlation Nov 18, 2011
Help with VECM
2 msgs
vramaiah at neo.tamu.edu Help with VECM Nov 17, 2011
Pfaff, Bernhard Dr. Help with VECM Nov 18, 2011
Granger's causality test
2 msgs
rafleon at highstat.cl Granger's causality test Nov 16, 2011
Matthieu Stigler Granger's causality test Nov 17, 2011
Redenominate function in FinancialInstrument
1 msg
varcovar Redenominate function in FinancialInstrument Nov 16, 2011
RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array"
2 msgs
Jacopo Anselmi RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array" Nov 16, 2011
Murali.Menon at avivainvestors.com RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array" Nov 16, 2011
print an xts object in reverse order
3 msgs
Chris de Bleu print an xts object in reverse order Nov 15, 2011
Jeff Ryan print an xts object in reverse order Nov 15, 2011
Jeff Ryan print an xts object in reverse order Nov 15, 2011
Quantstrat Prefer Pricing - v2
2 msgs
Dan Avery Quantstrat Prefer Pricing - v2 Nov 15, 2011
Brian G. Peterson Quantstrat Prefer Pricing - v2 Nov 15, 2011
State-dependent volatility in state space model - CIR
2 msgs
Kristian Lind State-dependent volatility in state space model - CIR Nov 14, 2011
Kristian Lind State-dependent volatility in state space model - CIR Nov 14, 2011
Binart ARMA
1 msg
Napon Hongsakulvasu Binart ARMA Nov 14, 2011
Calculating Hasbrouck's information share and Gonzalo-Granger weights on R
5 msgs
sammyny Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 8, 2011
nidhiaggrawal Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 13, 2011
sammyny Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 13, 2011
Nidhi Aggrawal Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 13, 2011
sammyny Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 14, 2011
Dealing with live quotes in R
6 msgs
Shekhar Gupta Dealing with live quotes in R Nov 10, 2011
Roupell, Darko Dealing with live quotes in R Nov 10, 2011
Jeff Ryan Dealing with live quotes in R Nov 10, 2011
Shekhar Gupta Dealing with live quotes in R Nov 11, 2011
Roupell, Darko Dealing with live quotes in R Nov 13, 2011
Dirk Eddelbuettel Dealing with live quotes in R Nov 13, 2011
Download RBloomberg for R-2.14.0
2 msgs
John Laing Download RBloomberg for R-2.14.0 Nov 13, 2011
Jeff Davis Download RBloomberg for R-2.14.0 Nov 13, 2011
Aggregating tick data
2 msgs
Matthew Gilbert Aggregating tick data Nov 13, 2011
Roupell, Darko Aggregating tick data Nov 13, 2011
Problems with R Bloomberg
1 msg
Sean Carmody Problems with R Bloomberg Nov 13, 2011
Use of R for VECM
2 msgs
vramaiah at neo.tamu.edu Use of R for VECM Nov 11, 2011
Matthieu Stigler Use of R for VECM Nov 11, 2011
Quantstrat prefer pricing
1 msg
Dan Avery Quantstrat prefer pricing Nov 11, 2011
RBloomberg connection problem
1 msg
Ayhan Yüksel (Finans Portföy A.Ş.) RBloomberg connection problem Nov 11, 2011
Download RBloomberg for R-2.14.0
10 msgs
Adam Xia Download RBloomberg for R-2.14.0 Nov 7, 2011
John Laing Download RBloomberg for R-2.14.0 Nov 7, 2011
John Laing Download RBloomberg for R-2.14.0 Nov 10, 2011
Colstat Download RBloomberg for R-2.14.0 Nov 10, 2011
Mercurio Danilo 1850 SPI Download RBloomberg for R-2.14.0 Nov 10, 2011
John Laing Download RBloomberg for R-2.14.0 Nov 10, 2011
John Laing Download RBloomberg for R-2.14.0 Nov 10, 2011
Mercurio Danilo 1850 SPI Download RBloomberg for R-2.14.0 Nov 11, 2011
Murali.Menon at avivainvestors.com Download RBloomberg for R-2.14.0 Nov 11, 2011
Mercurio Danilo 1850 SPI Download RBloomberg for R-2.14.0 Nov 11, 2011
problem with plot.xts
2 msgs
Eric Thungstom problem with plot.xts Nov 10, 2011
Joshua Ulrich problem with plot.xts Nov 10, 2011
DBI solution
1 msg
rkevinburton at charter.net DBI solution Nov 10, 2011
DBI solution
3 msgs
Ben Nachtrieb DBI solution Nov 4, 2011
Gabor Grothendieck DBI solution Nov 4, 2011
Paul Gilbert DBI solution Nov 10, 2011
Sullivan, Timmerman and White 1999: TA rules, and R
2 msgs
AGhandar Sullivan, Timmerman and White 1999: TA rules, and R Nov 9, 2011
Adam Ghandar Sullivan, Timmerman and White 1999: TA rules, and R Nov 9, 2011
Time interval logic
3 msgs
Manoj Time interval logic Nov 9, 2011
Brian G. Peterson Time interval logic Nov 9, 2011
Jeff Ryan Time interval logic Nov 9, 2011
understanding xts & ccf
2 msgs
Eric Thungstom understanding xts & ccf Nov 8, 2011
Joshua Ulrich understanding xts & ccf Nov 8, 2011
Output of vars package impulse response function
3 msgs
Richard Saba Output of vars package impulse response function Nov 8, 2011
R. Michael Weylandt Output of vars package impulse response function Nov 8, 2011
Matthieu Stigler Output of vars package impulse response function Nov 8, 2011
Time Series w/ daily or stochastic observation prediction
1 msg
Community Time Series w/ daily or stochastic observation prediction Nov 7, 2011
Rolling through fixed-length time windows
4 msgs
Matthew Clegg Rolling through fixed-length time windows Nov 4, 2011
Gabor Grothendieck Rolling through fixed-length time windows Nov 4, 2011
Matthew Clegg Rolling through fixed-length time windows Nov 7, 2011
Gabor Grothendieck Rolling through fixed-length time windows Nov 7, 2011
Keeping persistent data collections
3 msgs
Dino Veritas Keeping persistent data collections Nov 6, 2011
Brian G. Peterson Keeping persistent data collections Nov 7, 2011
G See Keeping persistent data collections Nov 7, 2011
R courses (for finance) in Singapore
3 msgs
Keng Onn Wong R courses (for finance) in Singapore Nov 7, 2011
Colstat R courses (for finance) in Singapore Nov 7, 2011
Keng Onn Wong R courses (for finance) in Singapore Nov 7, 2011
expanding xts object - adding a day
4 msgs
G See expanding xts object - adding a day Nov 3, 2011
Hans Grapenthin expanding xts object - adding a day Nov 6, 2011
michael.weylandt at gmail.com (R. Michael Weylandt expanding xts object - adding a day Nov 6, 2011
G See expanding xts object - adding a day Nov 6, 2011
Quanstrat for R.2-14
7 msgs
burcy Quanstrat for R.2-14 Nov 2, 2011
Joshua Ulrich Quanstrat for R.2-14 Nov 2, 2011
burcy Quanstrat for R.2-14 Nov 3, 2011
Brian G. Peterson Quanstrat for R.2-14 Nov 3, 2011
burcy Quanstrat for R.2-14 Nov 3, 2011
Joshua Ulrich Quanstrat for R.2-14 Nov 3, 2011
burcy Quanstrat for R.2-14 Nov 4, 2011
quantmod package documentation
3 msgs
Andreas Voellenklee quantmod package documentation Nov 3, 2011
Jeff Ryan quantmod package documentation Nov 3, 2011
Daniel Cegiełka quantmod package documentation Nov 3, 2011
(no subject)
2 msgs
Martin Bauer (no subject) Nov 2, 2011
Joshua Ulrich (no subject) Nov 2, 2011
GBSVolatility in fOptions
5 msgs
financial engineer GBSVolatility in fOptions Nov 1, 2011
Joshua Ulrich GBSVolatility in fOptions Nov 1, 2011
financial engineer GBSVolatility in fOptions Nov 1, 2011
financial engineer GBSVolatility in fOptions Nov 1, 2011
Joshua Ulrich GBSVolatility in fOptions Nov 1, 2011