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R-SIG-Finance December 2011

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Determine the number of trading days for XETRA or EUREX in a given period
2 msgs
Joachim Breit Determine the number of trading days for XETRA or EUREX in a given period Dec 30, 2011
Mark Breman Determine the number of trading days for XETRA or EUREX in a given period Dec 31, 2011
"visualizing" multi-dimensional backtesting/optimization results?
1 msg
Michael "visualizing" multi-dimensional backtesting/optimization results? Dec 30, 2011
Removing outliers in tick data in R?
5 msgs
Michael Removing outliers in tick data in R? Dec 30, 2011
Eric Zivot Removing outliers in tick data in R? Dec 30, 2011
Michael Removing outliers in tick data in R? Dec 30, 2011
Chris Waggoner Removing outliers in tick data in R? Dec 30, 2011
Michael Removing outliers in tick data in R? Dec 30, 2011
determining local min and local max in a time series...
5 msgs
Michael determining local min and local max in a time series... Dec 30, 2011
Chris Waggoner determining local min and local max in a time series... Dec 30, 2011
Brian G. Peterson determining local min and local max in a time series... Dec 30, 2011
Jeff Ryan determining local min and local max in a time series... Dec 30, 2011
Michael determining local min and local max in a time series... Dec 30, 2011
Routines for net and gross of fee returns?
1 msg
Matt Considine Routines for net and gross of fee returns? Dec 30, 2011
lapply over list that has multiple xts objects
5 msgs
S lapply over list that has multiple xts objects Dec 28, 2011
Jeff Ryan lapply over list that has multiple xts objects Dec 28, 2011
S lapply over list that has multiple xts objects Dec 29, 2011
S lapply over list that has multiple xts objects Dec 30, 2011
G See lapply over list that has multiple xts objects Dec 30, 2011
Mulitple FI Sources
3 msgs
Mark Harrison Mulitple FI Sources Dec 29, 2011
G See Mulitple FI Sources Dec 30, 2011
G See Mulitple FI Sources Dec 30, 2011
Mulitple FI Sources
1 msg
G See Mulitple FI Sources Dec 29, 2011
chart.TimeSeries() with ylabel formats (percentages, scientific etc)
1 msg
Gei Lin chart.TimeSeries() with ylabel formats (percentages, scientific etc) Dec 29, 2011
Mulitple FI Sources
5 msgs
Mark Harrison Mulitple FI Sources Dec 28, 2011
Brian G. Peterson Mulitple FI Sources Dec 28, 2011
varcovar Mulitple FI Sources Dec 28, 2011
Brian G. Peterson Mulitple FI Sources Dec 29, 2011
varcovar Mulitple FI Sources Dec 29, 2011
Equity in Blotter
2 msgs
Rashmi Equity in Blotter Dec 28, 2011
Brian G. Peterson Equity in Blotter Dec 29, 2011
TTR, volatility(), historical volatility calculation methods differ
3 msgs
S TTR, volatility(), historical volatility calculation methods differ Dec 26, 2011
Joshua Ulrich TTR, volatility(), historical volatility calculation methods differ Dec 26, 2011
S TTR, volatility(), historical volatility calculation methods differ Dec 28, 2011
ranking by stats
2 msgs
financial engineer ranking by stats Dec 26, 2011
Brian G. Peterson ranking by stats Dec 27, 2011
Option valuation for arbitrary distribution using monte carlo simulation
3 msgs
Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Dec 23, 2011
Patrick Burns Option valuation for arbitrary distribution using monte carlo simulation Dec 23, 2011
Joachim Breit Option valuation for arbitrary distribution using monte carlo simulation Dec 27, 2011
Accessing the output of the MINE routine
1 msg
Matt Considine Accessing the output of the MINE routine Dec 26, 2011
Simulated expected return for a hedge fund
2 msgs
G See Simulated expected return for a hedge fund Dec 26, 2011
David Afshartous Simulated expected return for a hedge fund Dec 26, 2011
Simulated expected return for a hedge fund
3 msgs
Afshartous, David Simulated expected return for a hedge fund Dec 25, 2011
G See Simulated expected return for a hedge fund Dec 25, 2011
Afshartous, David Simulated expected return for a hedge fund Dec 25, 2011
Error message "No regressors provided" in auto.arima
2 msgs
Michael Error message "No regressors provided" in auto.arima Dec 25, 2011
Michael Error message "No regressors provided" in auto.arima Dec 25, 2011
where are those R/Finance meetups?
5 msgs
Michael where are those R/Finance meetups? Dec 25, 2011
G See where are those R/Finance meetups? Dec 25, 2011
Michael where are those R/Finance meetups? Dec 25, 2011
G See where are those R/Finance meetups? Dec 25, 2011
Brian G. Peterson where are those R/Finance meetups? Dec 25, 2011
Happy holidays and trading strategies in R?
3 msgs
Michael Happy holidays and trading strategies in R? Dec 24, 2011
R. Michael Weylandt Happy holidays and trading strategies in R? Dec 24, 2011
Uffe K. Mortensen Happy holidays and trading strategies in R? Dec 25, 2011
Simulated expected return for a hedge fund
7 msgs
Afshartous, David Simulated expected return for a hedge fund Dec 23, 2011
Thomas Schwiertz Simulated expected return for a hedge fund Dec 24, 2011
G See Simulated expected return for a hedge fund Dec 24, 2011
G See Simulated expected return for a hedge fund Dec 24, 2011
G See Simulated expected return for a hedge fund Dec 24, 2011
Afshartous, David Simulated expected return for a hedge fund Dec 24, 2011
G See Simulated expected return for a hedge fund Dec 24, 2011
Unit root test
1 msg
Papa Senyo Unit root test Dec 24, 2011
Strange results from Quantstrat
1 msg
이원재 Strange results from Quantstrat Dec 24, 2011
Asking for help using quantstrat
4 msgs
Bos, Roger Asking for help using quantstrat Dec 23, 2011
Bos, Roger Asking for help using quantstrat Dec 23, 2011
G See Asking for help using quantstrat Dec 23, 2011
Bos, Roger Asking for help using quantstrat SOLVED Dec 23, 2011
using [ on xts object
5 msgs
financial engineer using [ on xts object Dec 23, 2011
Joshua Ulrich using [ on xts object Dec 23, 2011
financial engineer using [ on xts object Dec 23, 2011
Joshua Ulrich using [ on xts object Dec 23, 2011
financial engineer using [ on xts object Dec 23, 2011
Interpolation of RBloomberg historical intraday bar data to force time periodicity
1 msg
PBrakenhielm Interpolation of RBloomberg historical intraday bar data to force time periodicity Dec 23, 2011
Playback in IBrokers package
1 msg
bshepherd at texxors.com Playback in IBrokers package Dec 22, 2011
Using MINE in R
1 msg
Matt Considine Using MINE in R Dec 20, 2011
Similar function to filter but allowing time varying coefficient?
1 msg
Robert A'gata Similar function to filter but allowing time varying coefficient? Dec 20, 2011
irregular time series to regular time series
1 msg
Pete Brecknock irregular time series to regular time series Dec 19, 2011
RBloomberg, blpConnect, java.lang.UnsupportedClassVersionError
4 msgs
S RBloomberg, blpConnect, java.lang.UnsupportedClassVersionError Dec 17, 2011
S RBloomberg, blpConnect, java.lang.UnsupportedClassVersionError Dec 18, 2011
S RBloomberg, blpConnect, java.lang.UnsupportedClassVersionError Dec 19, 2011
John Laing RBloomberg, blpConnect, java.lang.UnsupportedClassVersionError Dec 19, 2011
Additional Text Indicator for 'chartSeries' Bar Chart?
1 msg
jnoble1 at mmm.com Additional Text Indicator for 'chartSeries' Bar Chart? Dec 19, 2011
PerformanceAnalytics Figure 13
6 msgs
loconut PerformanceAnalytics Figure 13 Dec 18, 2011
Jeff Ryan PerformanceAnalytics Figure 13 Dec 18, 2011
Brian G. Peterson PerformanceAnalytics Figure 13 Dec 18, 2011
loconut PerformanceAnalytics Figure 13 Dec 19, 2011
Zachary Mayer PerformanceAnalytics Figure 13 Dec 19, 2011
Brian G. Peterson PerformanceAnalytics Figure 13 Dec 19, 2011
weighting data points in npreg
1 msg
Russell Bowdrey weighting data points in npreg Dec 19, 2011
Rugarch Package - Problem with Arch-lm-test
1 msg
Alexios Ghalanos Rugarch Package - Problem with Arch-lm-test Dec 18, 2011
Setting up Financial Instrument
1 msg
Mark Harrison Setting up Financial Instrument Dec 18, 2011
RBloomberg connection problem
1 msg
S RBloomberg connection problem Dec 18, 2011
Setting up Financial Instrument
2 msgs
Mark Harrison Setting up Financial Instrument Dec 17, 2011
G See Setting up Financial Instrument Dec 17, 2011
constrained weighted least square estimation
1 msg
Philipp constrained weighted least square estimation Dec 16, 2011
Constrained Regression with Intercept in pcls
6 msgs
Philipp Constrained Regression with Intercept in pcls Dec 1, 2011
Enrico Schumann Constrained Regression with Intercept in pcls Dec 1, 2011
thomas.chan.sf at boci-pru.com.hk Constrained Regression with Intercept in pcls Dec 1, 2011
Philipp Constrained Regression with Intercept in pcls Dec 5, 2011
Philipp Constrained Regression with Intercept in pcls Dec 5, 2011
Philipp Constrained Regression with Intercept in pcls Dec 16, 2011
RBloomberg blpConnect issue
1 msg
fabien azoulay RBloomberg blpConnect issue Dec 15, 2011
RBloomberg/RJava Issue
1 msg
Benjamin, Michael RBloomberg/RJava Issue Dec 15, 2011
(no subject)
8 msgs
Wei-han Liu (no subject) Dec 14, 2011
Longo, EMLL (Eduardo) Rbloomberg Dec 14, 2011
John Laing Rbloomberg Dec 14, 2011
Ulrich Staudinger Rbloomberg Dec 14, 2011
Jacopo Anselmi Rbloomberg Dec 14, 2011
Joshua Ulrich (no subject) Dec 14, 2011
Longo, EMLL (Eduardo) Rbloomberg Dec 14, 2011
Joshua Ulrich (no subject) Dec 14, 2011
Using cointegration coefficients to forecast?
6 msgs
Michael Using cointegration coefficients to forecast? Dec 14, 2011
Mark Leeds Using cointegration coefficients to forecast? Dec 14, 2011
Matthieu Stigler Using cointegration coefficients to forecast? Dec 14, 2011
Mark Leeds Using cointegration coefficients to forecast? Dec 14, 2011
Matthieu Stigler Using cointegration coefficients to forecast? Dec 14, 2011
Michael Using cointegration coefficients to forecast? Dec 14, 2011
fPortfolio - SOCP not available?
1 msg
Adrian Madescu fPortfolio - SOCP not available? Dec 14, 2011
Intraday data using RBloomberg?
2 msgs
Vickie Guo Intraday data using RBloomberg? Dec 13, 2011
Olivier Schmitt Intraday data using RBloomberg? Dec 13, 2011
InferenceForR and Rmetrics
3 msgs
msalese InferenceForR and Rmetrics Dec 12, 2011
msalese InferenceForR and Rmetrics Dec 13, 2011
Dirk Eddelbuettel InferenceForR and Rmetrics Dec 13, 2011
R got me again. Thanks.
1 msg
Matti Zemack R got me again. Thanks. Dec 13, 2011
R/Finance 2012 -- Call for Papers
1 msg
Dirk Eddelbuettel R/Finance 2012 -- Call for Papers Dec 12, 2011
how do I convert RBloomberg tick data into xts format?
2 msgs
Michael how do I convert RBloomberg tick data into xts format? Dec 12, 2011
Brian G. Peterson how do I convert RBloomberg tick data into xts format? Dec 12, 2011
bats in Forecast library?
2 msgs
Michael bats in Forecast library? Dec 12, 2011
Brian G. Peterson bats in Forecast library? Dec 12, 2011
msts command in the forecast package?
10 msgs
Michael msts command in the forecast package? Dec 12, 2011
Daniel Cegiełka msts command in the forecast package? Dec 12, 2011
Michael msts command in the forecast package? Dec 12, 2011
Zachary Mayer msts command in the forecast package? Dec 12, 2011
Michael msts command in the forecast package? Dec 12, 2011
R. Michael Weylandt msts command in the forecast package? Dec 12, 2011
Zachary Mayer msts command in the forecast package? Dec 12, 2011
Michael msts command in the forecast package? Dec 12, 2011
Zachary Mayer msts command in the forecast package? Dec 12, 2011
Joshua Ulrich msts command in the forecast package? Dec 12, 2011
R and Backtest platforms?
2 msgs
Michael R and Backtest platforms? Dec 12, 2011
Jeff Ryan R and Backtest platforms? Dec 12, 2011
R and Backtest platforms?
1 msg
Michael R and Backtest platforms? Dec 12, 2011
Question about fitting seasonal ARIMA in R?
2 msgs
Michael Question about fitting seasonal ARIMA in R? Dec 11, 2011
Zachary Mayer Question about fitting seasonal ARIMA in R? Dec 12, 2011
Questions related to R-Credit Risk
1 msg
Hans Radtke Questions related to R-Credit Risk Dec 12, 2011
nice time series viewer?
6 msgs
Michael nice time series viewer? Dec 7, 2011
R. Michael Weylandt nice time series viewer? Dec 7, 2011
Daniel Cegiełka nice time series viewer? Dec 7, 2011
Arun Kumar Saha nice time series viewer? Dec 8, 2011
Michael nice time series viewer? Dec 11, 2011
Arun Kumar Saha nice time series viewer? Dec 11, 2011
Questions related to R-Credit Risk
1 msg
clangkamp Questions related to R-Credit Risk Dec 11, 2011
Does fPortfolio support inequality constraints in MV optimization?
1 msg
Qian Liu Does fPortfolio support inequality constraints in MV optimization? Dec 9, 2011
The challenge to fit the greek gov curve with termstrc R Package!
1 msg
Enrico Schumann The challenge to fit the greek gov curve with termstrc R Package! Dec 8, 2011
The challenge to fit the greek gov curve with termstrc R Package!
2 msgs
ArvanitisCh at piraeusbank.gr The challenge to fit the greek gov curve with termstrc R Package! Dec 8, 2011
Enrico Schumann The challenge to fit the greek gov curve with termstrc R Package! Dec 8, 2011
Extracting data from google.finance: getSymbols
2 msgs
Vikram Bahure Extracting data from google.finance: getSymbols Dec 3, 2011
Db Extracting data from google.finance: getSymbols Dec 7, 2011
Rmetric Rolling Backtest Portfolio
1 msg
tonyp Rmetric Rolling Backtest Portfolio Dec 7, 2011
A possible bug in SMA
3 msgs
Worik Stanton A possible bug in SMA Dec 6, 2011
G See A possible bug in SMA Dec 6, 2011
Worik Stanton A possible bug in SMA Dec 6, 2011
Bloomberg login through R
1 msg
David Reiner Bloomberg login through R Dec 6, 2011
Fed stress test
2 msgs
debashis dutta Fed stress test Dec 6, 2011
Brian G. Peterson Fed stress test Dec 6, 2011
Desriptive Stats for List
6 msgs
Victor Chan Desriptive Stats for List Nov 30, 2011
Jun Zhu function for x to the power of y Dec 3, 2011
Samit Jain function for x to the power of y Dec 3, 2011
Pierre Lapointe function for x to the power of y Dec 3, 2011
Jeff Ryan function for x to the power of y Dec 4, 2011
Harun Ozkan function for x to the power of y Dec 6, 2011
Bloomberg login through R
4 msgs
Ayhan Yüksel (Finans Portföy A.Ş.) Bloomberg login through R Dec 5, 2011
Pierre Lapointe Bloomberg login through R Dec 5, 2011
John Laing Bloomberg login through R Dec 5, 2011
Mercurio Danilo 1850 SPI Bloomberg login through R Dec 5, 2011
PerformanceAnalytics - Sharpes Style Analysis- but with intercept?
1 msg
Philipp PerformanceAnalytics - Sharpes Style Analysis- but with intercept? Dec 1, 2011
HELP: Problem with RBloomberg blp intraday data
1 msg
John Laing HELP: Problem with RBloomberg blp intraday data Dec 1, 2011
Desriptive Stats for List
1 msg