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R-SIG-Finance December 2011

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"visualizing" multi-dimensional backtesting/optimization results?

1 msg
Michael "visualizing" multi-dimensional backtesting/optimization results? Dec 30, 2011

(no subject)

3 msgs
Wei-han Liu (no subject) Dec 14, 2011 Joshua Ulrich (no subject) Dec 14, 2011 Joshua Ulrich (no subject) Dec 14, 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

Accessing the output of the MINE routine

1 msg
Matt Considine Accessing the output of the MINE routine Dec 26, 2011

Additional Text Indicator for 'chartSeries' Bar Chart?

1 msg
jnoble1 at mmm.com Additional Text Indicator for 'chartSeries' Bar Chart? Dec 19, 2011

Asking for help using quantstrat

3 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

Asking for help using quantstrat SOLVED

1 msg
Bos, Roger Asking for help using quantstrat SOLVED Dec 23, 2011

Bloomberg login through R

5 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 David Reiner Bloomberg login through R Dec 6, 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

Desriptive Stats for List

1 msg
Victor Chan Desriptive Stats for List Nov 30, 2011

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

Does fPortfolio support inequality constraints in MV optimization?

1 msg
Qian Liu Does fPortfolio support inequality constraints in MV optimization? Dec 9, 2011

Equity in Blotter

2 msgs
Rashmi Equity in Blotter Dec 28, 2011 Brian G. Peterson Equity in Blotter Dec 29, 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

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

Fed stress test

2 msgs
debashis dutta Fed stress test Dec 6, 2011 Brian G. Peterson Fed stress test Dec 6, 2011

HELP: Problem with RBloomberg blp intraday data

1 msg
John Laing HELP: Problem with RBloomberg blp intraday data Dec 1, 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

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

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

Intraday data using RBloomberg?

2 msgs
Vickie Guo Intraday data using RBloomberg? Dec 13, 2011 Olivier Schmitt Intraday data using RBloomberg? Dec 13, 2011

Mulitple FI Sources

9 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 G See Mulitple FI Sources Dec 29, 2011 Mark Harrison Mulitple FI Sources Dec 29, 2011 G See Mulitple FI Sources Dec 30, 2011 G See Mulitple FI Sources Dec 30, 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

PerformanceAnalytics - Sharpes Style Analysis- but with intercept?

1 msg
Philipp PerformanceAnalytics - Sharpes Style Analysis- but with intercept? Dec 1, 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

Playback in IBrokers package

1 msg
bshepherd at texxors.com Playback in IBrokers package Dec 22, 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

2 msgs
clangkamp Questions related to R-Credit Risk Dec 11, 2011 Hans Radtke Questions related to R-Credit Risk Dec 12, 2011

R and Backtest platforms?

3 msgs
Michael R and Backtest platforms? Dec 12, 2011 Michael R and Backtest platforms? Dec 12, 2011 Jeff Ryan R and Backtest platforms? Dec 12, 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

RBloomberg blpConnect issue

1 msg
fabien azoulay RBloomberg blpConnect issue Dec 15, 2011

RBloomberg connection problem

1 msg
S RBloomberg connection problem Dec 18, 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

RBloomberg/RJava Issue

1 msg
Benjamin, Michael RBloomberg/RJava Issue Dec 15, 2011

Rbloomberg

5 msgs
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 Longo, EMLL (Eduardo) Rbloomberg Dec 14, 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

Rmetric Rolling Backtest Portfolio

1 msg
tonyp Rmetric Rolling Backtest Portfolio Dec 7, 2011

Routines for net and gross of fee returns?

1 msg
Matt Considine Routines for net and gross of fee returns? Dec 30, 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

3 msgs
Mark Harrison Setting up Financial Instrument Dec 17, 2011 G See Setting up Financial Instrument Dec 17, 2011 Mark Harrison Setting up Financial Instrument Dec 18, 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

Simulated expected return for a hedge fund

12 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 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 G See Simulated expected return for a hedge fund Dec 26, 2011 David Afshartous Simulated expected return for a hedge fund Dec 26, 2011

Strange results from Quantstrat

1 msg
이원재 Strange results from Quantstrat Dec 24, 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

The challenge to fit the greek gov curve with termstrc R Package!

3 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 Enrico Schumann The challenge to fit the greek gov curve with termstrc R Package! Dec 8, 2011

Unit root test

1 msg
Papa Senyo Unit root test Dec 24, 2011

Using MINE in R

1 msg
Matt Considine Using MINE in R Dec 20, 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

bats in Forecast library?

2 msgs
Michael bats in Forecast library? Dec 12, 2011 Brian G. Peterson bats in Forecast library? Dec 12, 2011

chart.TimeSeries() with ylabel formats (percentages, scientific etc)

1 msg
Gei Lin chart.TimeSeries() with ylabel formats (percentages, scientific etc) Dec 29, 2011

constrained weighted least square estimation

1 msg
Philipp constrained weighted least square estimation Dec 16, 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

fPortfolio - SOCP not available?

1 msg
Adrian Madescu fPortfolio - SOCP not available? Dec 14, 2011

function for x to the power of y

5 msgs
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

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

irregular time series to regular time series

1 msg
Pete Brecknock irregular time series to regular time series Dec 19, 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

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

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

ranking by stats

2 msgs
financial engineer ranking by stats Dec 26, 2011 Brian G. Peterson ranking by stats Dec 27, 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

weighting data points in npreg

1 msg
Russell Bowdrey weighting data points in npreg Dec 19, 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