R-SIG-Finance November 2011

(no subject)

M

J

P

3 msgs · Nov 2 – Nov 24

M

Martin Bauer (no subject) Nov 2, 2011

J

Joshua Ulrich (no subject) Nov 2, 2011

P

Papa Senyo (no subject) Nov 24, 2011

- Monte Carlo simulation for VaR estimation - Email found in subject

D

A

A

4 msgs · Nov 18 – Nov 21

D

David Reiner - Monte Carlo simulation for VaR estimation - Email found in subject Nov 18, 2011

A

andrija djurovic - Monte Carlo simulation for VaR estimation - Email found in subject Nov 18, 2011

A

Arun Kumar Saha - Monte Carlo simulation for VaR estimation - Email found in subject Nov 21, 2011

A

andrija djurovic - Monte Carlo simulation for VaR estimation - Email found in subject Nov 21, 2011

Aggregating tick data

M

R

2 msgs · Nov 13 – Nov 13

M

Matthew Gilbert Aggregating tick data Nov 13, 2011

R

Roupell, Darko Aggregating tick data Nov 13, 2011

Backtesting / virtual portfolio

L

B

C

5 msgs · Nov 28 – Nov 28

L

Lui ## Backtesting / virtual portfolio Nov 28, 2011

B

Brian G. Peterson Backtesting / virtual portfolio Nov 28, 2011

C

Christofer Bogaso Backtesting / virtual portfolio Nov 28, 2011

M

Mark Leeds Backtesting / virtual portfolio Nov 28, 2011

L

Lui ## Backtesting / virtual portfolio Nov 28, 2011

Better Hedge Ratios for Spread Trading

P

G

S

9 msgs · Nov 29 – Nov 29

P

Paul Teetor Better Hedge Ratios for Spread Trading Nov 29, 2011

G

G See Better Hedge Ratios for Spread Trading Nov 29, 2011

S

Samit Jain Better Hedge Ratios for Spread Trading Nov 29, 2011

S

Samit Jain Better Hedge Ratios for Spread Trading Nov 29, 2011

G

G See Better Hedge Ratios for Spread Trading Nov 29, 2011

G

G See Better Hedge Ratios for Spread Trading Nov 29, 2011

G

G See Better Hedge Ratios for Spread Trading Nov 29, 2011

P

Paul Teetor Better Hedge Ratios for Spread Trading Nov 29, 2011

P

Paul Teetor Better Hedge Ratios for Spread Trading Nov 29, 2011

Binart ARMA

N

1 msg · Nov 14

N

Napon Hongsakulvasu Binart ARMA Nov 14, 2011

Block length for Bivariate Stationary Bootstrap for Inference for Correlation

A

1 msg · Nov 18

A

Andreas Klein Block length for Bivariate Stationary Bootstrap for Inference for Correlation Nov 18, 2011

Calculating Hasbrouck's information share and Gonzalo-Granger weights on R

S

N

N

5 msgs · Nov 8 – Nov 14

S

sammyny Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 8, 2011

N

nidhiaggrawal Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 13, 2011

S

sammyny Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 13, 2011

N

Nidhi Aggrawal Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 13, 2011

S

sammyny Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Nov 14, 2011

Correct link for R course in financial data analysis

E

1 msg · Nov 28

E

Eric Zivot Correct link for R course in financial data analysis Nov 28, 2011

DBI solution

B

G

P

4 msgs · Nov 4 – Nov 10

B

Ben Nachtrieb DBI solution Nov 4, 2011

G

Gabor Grothendieck DBI solution Nov 4, 2011

P

Paul Gilbert DBI solution Nov 10, 2011

R

rkevinburton at charter.net DBI solution Nov 10, 2011

Dealing with live quotes in R

S

R

J

6 msgs · Nov 10 – Nov 13

S

Shekhar Gupta Dealing with live quotes in R Nov 10, 2011

R

Roupell, Darko Dealing with live quotes in R Nov 10, 2011

J

Jeff Ryan Dealing with live quotes in R Nov 10, 2011

S

Shekhar Gupta Dealing with live quotes in R Nov 11, 2011

R

Roupell, Darko Dealing with live quotes in R Nov 13, 2011

D

Dirk Eddelbuettel Dealing with live quotes in R Nov 13, 2011

Desriptive Stats for List

J

1 msg · Nov 30

J

Joshua Ulrich Desriptive Stats for List Nov 30, 2011

Download RBloomberg for R-2.14.0

A

J

C

12 msgs · Nov 7 – Nov 13

A

Adam Xia Download RBloomberg for R-2.14.0 Nov 7, 2011

J

John Laing Download RBloomberg for R-2.14.0 Nov 7, 2011

J

John Laing Download RBloomberg for R-2.14.0 Nov 10, 2011

C

Colstat Download RBloomberg for R-2.14.0 Nov 10, 2011

M

Mercurio Danilo 1850 SPI Download RBloomberg for R-2.14.0 Nov 10, 2011

J

John Laing Download RBloomberg for R-2.14.0 Nov 10, 2011

J

John Laing Download RBloomberg for R-2.14.0 Nov 10, 2011

M

Mercurio Danilo 1850 SPI Download RBloomberg for R-2.14.0 Nov 11, 2011

M

Murali.Menon at avivainvestors.com Download RBloomberg for R-2.14.0 Nov 11, 2011

M

Mercurio Danilo 1850 SPI Download RBloomberg for R-2.14.0 Nov 11, 2011

J

John Laing Download RBloomberg for R-2.14.0 Nov 13, 2011

J

Jeff Davis Download RBloomberg for R-2.14.0 Nov 13, 2011

External regressors

P

P

2 msgs · Nov 24 – Nov 24

P

Papa Senyo External regressors Nov 24, 2011

P

Patrick Burns External regressors Nov 24, 2011

GBSVolatility in fOptions

F

J

5 msgs · Nov 1 – Nov 1

F

financial engineer GBSVolatility in fOptions Nov 1, 2011

J

Joshua Ulrich GBSVolatility in fOptions Nov 1, 2011

F

financial engineer GBSVolatility in fOptions Nov 1, 2011

F

financial engineer GBSVolatility in fOptions Nov 1, 2011

J

Joshua Ulrich GBSVolatility in fOptions Nov 1, 2011

Granger's causality test

R

M

2 msgs · Nov 16 – Nov 17

R

rafleon at highstat.cl Granger's causality test Nov 16, 2011

M

Matthieu Stigler Granger's causality test Nov 17, 2011

HELP: Problem with RBloomberg blp intraday data

B

J

3 msgs · Nov 24 – Nov 29

B

Benjamin, Michael HELP: Problem with RBloomberg blp intraday data Nov 24, 2011

J

John Laing HELP: Problem with RBloomberg blp intraday data Nov 28, 2011

B

Benjamin, Michael HELP: Problem with RBloomberg blp intraday data Nov 29, 2011

Help with VECM

V

P

2 msgs · Nov 17 – Nov 18

V

vramaiah at neo.tamu.edu Help with VECM Nov 17, 2011

P

Pfaff, Bernhard Dr. Help with VECM Nov 18, 2011

How to get name of a ticker using Quantmod/R

G

D

G

7 msgs · Nov 27 – Nov 28

G

George Kumar How to get name of a ticker using Quantmod/R Nov 27, 2011

G

George Kumar How to get name of a ticker using Quantmod/R Nov 27, 2011

D

Daniel Cegiełka How to get name of a ticker using Quantmod/R Nov 27, 2011

G

George Kumar How to get name of a ticker using Quantmod/R Nov 27, 2011

D

Daniel Cegiełka How to get name of a ticker using Quantmod/R Nov 27, 2011

G

George Kumar How to get name of a ticker using Quantmod/R Nov 28, 2011

G

G See How to get name of a ticker using Quantmod/R Nov 28, 2011

How to move stoplimit thresholds?

H

B

4 msgs · Nov 27 – Nov 27

H

Heiko Stegmann How to move stoplimit thresholds? Nov 27, 2011

B

Brian G. Peterson How to move stoplimit thresholds? Nov 27, 2011

H

Heiko Stegmann How to move stoplimit thresholds? Nov 27, 2011

B

Brian G. Peterson How to move stoplimit thresholds? Nov 27, 2011

Keeping persistent data collections

D

B

G

3 msgs · Nov 6 – Nov 7

D

Dino Veritas Keeping persistent data collections Nov 6, 2011

B

Brian G. Peterson Keeping persistent data collections Nov 7, 2011

G

G See Keeping persistent data collections Nov 7, 2011

Monte Carlo simulation for VaR estimation

A

1 msg · Nov 18

A

andrija djurovic Monte Carlo simulation for VaR estimation Nov 18, 2011

Need help with my Code for complex GARCH (GJR-GARCH)

L

B

3 msgs · Nov 27 – Nov 27

L

Lin23 Need help with my Code for complex GARCH (GJR-GARCH) Nov 27, 2011

B

Brian G. Peterson Need help with my Code for complex GARCH (GJR-GARCH) Nov 27, 2011

B

Brian G. Peterson Need help with my Code for complex GARCH (GJR-GARCH) Nov 27, 2011

Option valuation for arbitrary distribution using monte carlo simulation

J

M

P

15 msgs · Nov 22 – Nov 28

J

Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 22, 2011

M

msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 22, 2011

P

Paul Ringseth Option valuation for arbitrary distribution using monte carlo simulation Nov 22, 2011

J

Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 23, 2011

M

msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 23, 2011

C

Christofer Bogaso Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011

J

Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011

M

msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011

J

Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011

M

Matthew Clegg Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011

P

Patrick Burns Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011

B

Brian G. Peterson Option valuation for arbitrary distribution using monte carlo simulation Nov 24, 2011

C

Charles Ward Option valuation for arbitrary distribution using monte carlo simulation Nov 25, 2011

M

msalese Option valuation for arbitrary distribution using monte carlo simulation Nov 25, 2011

J

Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Nov 28, 2011

Output of vars package impulse response function

R

R

M

3 msgs · Nov 8 – Nov 8

R

Richard Saba Output of vars package impulse response function Nov 8, 2011

R

R. Michael Weylandt Output of vars package impulse response function Nov 8, 2011

M

Matthieu Stigler Output of vars package impulse response function Nov 8, 2011

PerformanceAnalytics - Sharpes Style Analysis- but with intercept?

P

P

2 msgs · Nov 30 – Nov 30

P

Philipp PerformanceAnalytics - Sharpes Style Analysis- but with intercept? Nov 30, 2011

P

Peter Carl PerformanceAnalytics - Sharpes Style Analysis- but with intercept? Nov 30, 2011

Problems with R Bloomberg

S

1 msg · Nov 13

S

Sean Carmody Problems with R Bloomberg Nov 13, 2011

Prroblem with RBloomberg blp intraday data

B

1 msg · Nov 23

B

Benjamin, Michael Prroblem with RBloomberg blp intraday data Nov 23, 2011

Quanstrat for R.2-14

B

J

B

7 msgs · Nov 2 – Nov 4

B

burcy Quanstrat for R.2-14 Nov 2, 2011

J

Joshua Ulrich Quanstrat for R.2-14 Nov 2, 2011

B

burcy Quanstrat for R.2-14 Nov 3, 2011

B

Brian G. Peterson Quanstrat for R.2-14 Nov 3, 2011

B

burcy Quanstrat for R.2-14 Nov 3, 2011

J

Joshua Ulrich Quanstrat for R.2-14 Nov 3, 2011

B

burcy Quanstrat for R.2-14 Nov 4, 2011

Quantstrat Prefer Pricing - v2

D

B

2 msgs · Nov 15 – Nov 15

D

Dan Avery Quantstrat Prefer Pricing - v2 Nov 15, 2011

B

Brian G. Peterson Quantstrat Prefer Pricing - v2 Nov 15, 2011

Quantstrat prefer pricing

D

1 msg · Nov 11

D

Dan Avery Quantstrat prefer pricing Nov 11, 2011

R courses (for finance) in Singapore

K

C

3 msgs · Nov 7 – Nov 7

K

Keng Onn Wong R courses (for finance) in Singapore Nov 7, 2011

C

Colstat R courses (for finance) in Singapore Nov 7, 2011

K

Keng Onn Wong R courses (for finance) in Singapore Nov 7, 2011

RBloomberg connection problem

A

1 msg · Nov 11

A

Ayhan Yüksel (Finans Portföy A.Ş.) RBloomberg connection problem Nov 11, 2011

RBloomberg data download problem

T

2 msgs · Nov 28 – Nov 28

T

thomas.chan.sf at boci-pru.com.hk RBloomberg data download problem Nov 28, 2011

T

thomas.chan.sf at boci-pru.com.hk RBloomberg data download problem Nov 28, 2011

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

J

M

2 msgs · Nov 16 – Nov 16

J

Jacopo Anselmi RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array" Nov 16, 2011

M

Murali.Menon at avivainvestors.com RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array" Nov 16, 2011

Random Forest Classifiers

M

Z

C

5 msgs · Nov 26 – Nov 26

M

Momop Momop Random Forest Classifiers Nov 26, 2011

M

Momop Momop Random Forest Classifiers Nov 26, 2011

Z

Zachary Mayer Random Forest Classifiers Nov 26, 2011

C

Chris Waggoner Random Forest Classifiers Nov 26, 2011

J

Jeff Ryan Random Forest Classifiers Nov 26, 2011

Redenominate function in FinancialInstrument

V

1 msg · Nov 16

V

varcovar Redenominate function in FinancialInstrument Nov 16, 2011

Rolling through fixed-length time windows

M

G

4 msgs · Nov 4 – Nov 7

M

Matthew Clegg Rolling through fixed-length time windows Nov 4, 2011

G

Gabor Grothendieck Rolling through fixed-length time windows Nov 4, 2011

M

Matthew Clegg Rolling through fixed-length time windows Nov 7, 2011

G

Gabor Grothendieck Rolling through fixed-length time windows Nov 7, 2011

State-dependent volatility in state space model - CIR

K

2 msgs · Nov 14 – Nov 14

K

Kristian Lind State-dependent volatility in state space model - CIR Nov 14, 2011

K

Kristian Lind State-dependent volatility in state space model - CIR Nov 14, 2011

Sullivan, Timmerman and White 1999: TA rules, and R

A

A

2 msgs · Nov 9 – Nov 9

A

AGhandar Sullivan, Timmerman and White 1999: TA rules, and R Nov 9, 2011

A

Adam Ghandar Sullivan, Timmerman and White 1999: TA rules, and R Nov 9, 2011

Time Series w/ daily or stochastic observation prediction

C

1 msg · Nov 7

C

Community Time Series w/ daily or stochastic observation prediction Nov 7, 2011

Time interval logic

M

B

J

3 msgs · Nov 9 – Nov 9

M

Manoj Time interval logic Nov 9, 2011

B

Brian G. Peterson Time interval logic Nov 9, 2011

J

Jeff Ryan Time interval logic Nov 9, 2011

Upcoming R course: Financial Data Modeling and Analysis in R

E

1 msg · Nov 28

E

Eric Zivot Upcoming R course: Financial Data Modeling and Analysis in R Nov 28, 2011

Use of R for VECM

V

M

2 msgs · Nov 11 – Nov 11

V

vramaiah at neo.tamu.edu Use of R for VECM Nov 11, 2011

M

Matthieu Stigler Use of R for VECM Nov 11, 2011

Using Grammatical Evolution to generate trading rules

I

1 msg · Nov 22

I

Immanuel Using Grammatical Evolution to generate trading rules Nov 22, 2011

VECM

V

1 msg · Nov 18

V

vramaiah at neo.tamu.edu VECM Nov 18, 2011

correlation matrix

D

P

A

7 msgs · Nov 27 – Nov 27

D

debashis dutta correlation matrix Nov 27, 2011

P

Patrick Burns correlation matrix Nov 27, 2011

D

debashis dutta correlation matrix Nov 27, 2011

A

Arun Kumar Saha correlation matrix Nov 27, 2011

E

Enrico Schumann correlation matrix Nov 27, 2011

A

Arun Kumar Saha correlation matrix Nov 27, 2011

D

debashis dutta correlation matrix Nov 27, 2011

expanding xts object - adding a day

G

H

M

4 msgs · Nov 3 – Nov 6

G

G See expanding xts object - adding a day Nov 3, 2011

H

Hans Grapenthin expanding xts object - adding a day Nov 6, 2011

M

michael.weylandt at gmail.com (R. Michael Weylandt expanding xts object - adding a day Nov 6, 2011

G

G See expanding xts object - adding a day Nov 6, 2011

getting bar data with Ibrokers

M

1 msg · Nov 22

M

M R getting bar data with Ibrokers Nov 22, 2011

help with egarch prediction

H

A

U

7 msgs · Nov 22 – Nov 23

H

hemsam help with egarch prediction Nov 22, 2011

A

Alexios Ghalanos help with egarch prediction Nov 23, 2011

H

hemsam help with egarch prediction Nov 23, 2011

U

Ulrich Staudinger help with egarch prediction Nov 23, 2011

P

Patrick Burns help with egarch prediction Nov 23, 2011

A

Alexios Ghalanos help with egarch prediction Nov 23, 2011

B

Brian G. Peterson help with egarch prediction Nov 23, 2011

inverse laplace transform

S

1 msg · Nov 29

S

sammyny inverse laplace transform Nov 29, 2011

options profit/loss graph (beginner question)

U

E

3 msgs · Nov 25 – Nov 27

U

Uwe Voelker options profit/loss graph (beginner question) Nov 25, 2011

E

Enrico Schumann options profit/loss graph (beginner question) Nov 25, 2011

U

Uwe Voelker options profit/loss graph (beginner question) Nov 27, 2011

print an xts object in reverse order

C

J

3 msgs · Nov 15 – Nov 15

C

Chris de Bleu print an xts object in reverse order Nov 15, 2011

J

Jeff Ryan print an xts object in reverse order Nov 15, 2011

J

Jeff Ryan print an xts object in reverse order Nov 15, 2011

problem with plot.xts

E

J

2 msgs · Nov 10 – Nov 10

E

Eric Thungstom problem with plot.xts Nov 10, 2011

J

Joshua Ulrich problem with plot.xts Nov 10, 2011

quantmod package documentation

A

J

D

3 msgs · Nov 3 – Nov 3

A

Andreas Voellenklee quantmod package documentation Nov 3, 2011

J

Jeff Ryan quantmod package documentation Nov 3, 2011

D

Daniel Cegiełka quantmod package documentation Nov 3, 2011

repeating regression

R

R

G

4 msgs · Nov 21 – Nov 22

R

Robert A'gata repeating regression Nov 21, 2011

R

R. Michael Weylandt repeating regression Nov 21, 2011

G

G See repeating regression Nov 22, 2011

R

Richard Herron repeating regression Nov 22, 2011

risk-free rate in option pricing

X

A

2 msgs · Nov 16 – Nov 21

X

Xian Li risk-free rate in option pricing Nov 16, 2011

A

Arun Kumar Saha risk-free rate in option pricing Nov 21, 2011

rugarch:out of sample

P

A

2 msgs · Nov 24 – Nov 24

P

Papa Senyo rugarch:out of sample Nov 24, 2011

A

Alexios Ghalanos rugarch:out of sample Nov 24, 2011

understanding xts & ccf

E

J

2 msgs · Nov 8 – Nov 8

E

Eric Thungstom understanding xts & ccf Nov 8, 2011

J

Joshua Ulrich understanding xts & ccf Nov 8, 2011