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R-SIG-Finance January 2012

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- RBloomberg: Error in process.result(result, "first.column") - Email found in subject

1 msg
David Reiner - RBloomberg: Error in process.result(result, "first.column") - Email found in subject Jan 11, 2012

60/40 Backtest

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Belmont 60/40 Backtest Jan 8, 2012 Kent Russell 60/40 Backtest Jan 8, 2012 Kent Russell 60/40 Backtest Jan 8, 2012

: Comparing Forcasts

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Papa Senyo : Comparing Forcasts Jan 20, 2012 Zachary Mayer : Comparing Forcasts Jan 20, 2012 Eric Zivot : Comparing Forcasts Jan 20, 2012 Alexios Ghalanos : Comparing Forcasts Jan 20, 2012 Papa Senyo : Comparing Forcasts Jan 22, 2012

Backtesting

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Papa Senyo Backtesting Jan 19, 2012 Alexios Ghalanos Backtesting Jan 19, 2012

Best fit Model

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Papa Senyo Best fit Model Jan 22, 2012 Papa Senyo Best fit Model Jan 23, 2012

Blotter Package Installation

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Julien Hébert Nguyen Blotter Package Installation Jan 3, 2012 Jeff Ryan Blotter Package Installation Jan 3, 2012 Daniel Cegiełka Blotter Package Installation Jan 3, 2012 Ledon, Alain Blotter Package Installation Jan 3, 2012 Julien Hébert Nguyen Blotter Package Installation Jan 3, 2012 Julien Hébert Nguyen Blotter Package Installation Jan 3, 2012 Daniel Cegiełka Blotter Package Installation Jan 3, 2012

Blotter package not available for 2.14.0?

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Michael Blotter package not available for 2.14.0? Jan 31, 2012 R. Michael Weylandt Blotter package not available for 2.14.0? Jan 31, 2012 G See Blotter package not available for 2.14.0? Jan 31, 2012 Michael Blotter package not available for 2.14.0? Jan 31, 2012

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

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clangkamp Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Jan 9, 2012 Nidhi Aggrawal Calculating Hasbrouck's information share and Gonzalo-Granger weights on R Jan 13, 2012

Comparing Forcasts

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Papa Senyo Comparing Forcasts Jan 20, 2012

Constructing suitable temporal subsamples using zoo and/or xts

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Ted Constructing suitable temporal subsamples using zoo and/or xts Jan 28, 2012 Gabor Grothendieck Constructing suitable temporal subsamples using zoo and/or xts Jan 28, 2012 Jeff Ryan Constructing suitable temporal subsamples using zoo and/or xts Jan 28, 2012

Dealing with large dataset in quantmod

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Gabriele Vivinetto [Public address] Dealing with large dataset in quantmod Jan 12, 2012 Brian G. Peterson Dealing with large dataset in quantmod Jan 12, 2012 Paul Gilbert Dealing with large dataset in quantmod Jan 12, 2012

Defining many future_series() at once in FinancialInstruments

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varcovar Defining many future_series() at once in FinancialInstruments Jan 17, 2012 G See Defining many future_series() at once in FinancialInstruments Jan 17, 2012

Determine the number of trading days for XETRA or EUREX in a given period

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Joachim Breit Determine the number of trading days for XETRA or EUREX in a given period Jan 2, 2012 Enrico Schumann Determine the number of trading days for XETRA or EUREX in a given period Jan 2, 2012 Joachim Breit Determine the number of trading days for XETRA or EUREX in a given period Jan 3, 2012

Forecasting

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Papa Senyo Forecasting Jan 31, 2012 Bob Forecasting Jan 31, 2012 Bob Forecasting Jan 31, 2012

Garch Bootstrap forecast

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Papa Senyo Garch Bootstrap forecast Jan 18, 2012 Bob Garch Bootstrap forecast Jan 18, 2012 financial engineer Garch Bootstrap forecast Jan 20, 2012

Help with getSymbols from csv data file

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Jun Zhu Help with getSymbols from csv data file Jan 27, 2012 Joshua Ulrich Help with getSymbols from csv data file Jan 27, 2012

Help with monthlyReturn command

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benn fine Help with monthlyReturn command Jan 20, 2012

Help with portfolioData/fPortfolio?

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matt at considine.net Help with portfolioData/fPortfolio? Jan 27, 2012

How do I bin data into 5 min bins and compute the medians in the bins?

13 msgs
Michael How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 Jeff Ryan How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 Michael How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 R. Michael Weylandt How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 Jeff Ryan How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 G See How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 Michael How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 Michael How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 Jeff Ryan How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 Michael How do I bin data into 5 min bins and compute the medians in the bins? Jan 19, 2012 Michael How do I bin data into 5 min bins and compute the medians in the bins? Jan 20, 2012 Michael How do I bin data into 5 min bins and compute the medians in the bins? Jan 20, 2012 R. Michael Weylandt How do I bin data into 5 min bins and compute the medians in the bins? Jan 20, 2012

How do I intersecttwo time series?

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Michael How do I intersecttwo time series? Jan 23, 2012 Brian G. Peterson How do I intersecttwo time series? Jan 23, 2012 Jun Zhu How do I intersecttwo time series? Jan 23, 2012 Michael How do I intersecttwo time series? Jan 23, 2012 Michael How do I intersecttwo time series? Jan 23, 2012 Brian G. Peterson How do I intersecttwo time series? Jan 23, 2012 Michael How do I intersecttwo time series? Jan 23, 2012 Brian G. Peterson How do I intersecttwo time series? Jan 23, 2012 Jeff Ryan How do I intersecttwo time series? Jan 23, 2012 Jun Zhu How do I intersecttwo time series? Jan 23, 2012 Jun Zhu How do I intersecttwo time series? Jan 23, 2012 G See How do I intersecttwo time series? Jan 24, 2012 Michael How do I intersecttwo time series? Jan 24, 2012 G See How do I intersecttwo time series? Jan 24, 2012 R. Michael Weylandt How do I intersecttwo time series? Jan 24, 2012

How to make quantstrat demo work with intraday data

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Yuanhang Wang How to make quantstrat demo work with intraday data Jan 26, 2012 Joshua Ulrich How to make quantstrat demo work with intraday data Jan 26, 2012

How to search the archives

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Patrick Burns How to search the archives Jan 19, 2012

Latest version of R for blotter

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Bos, Roger Latest version of R for blotter Jan 5, 2012 Joshua Ulrich Latest version of R for blotter Jan 5, 2012 Bos, Roger Latest version of R for blotter Jan 5, 2012 Brian G. Peterson Latest version of R for blotter Jan 5, 2012

List index constituents of an index in R? quantmod?

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julien cuisinier List index constituents of an index in R? quantmod? Jan 4, 2012 Vincent Zoonekynd List index constituents of an index in R? quantmod? Jan 4, 2012 julien cuisinier List index constituents of an index in R? quantmod? Jan 4, 2012 G See List index constituents of an index in R? quantmod? Jan 4, 2012 Ledon, Alain List index constituents of an index in R? quantmod? Jan 4, 2012 julien cuisinier List index constituents of an index in R? quantmod? Jan 4, 2012 Jun Zhu List index constituents of an index in R? quantmod? Jan 4, 2012 G See List index constituents of an index in R? quantmod? Jan 4, 2012

Negative Estimate of EGARCH model

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Papa Senyo Negative Estimate of EGARCH model Jan 27, 2012 Alexios Ghalanos Negative Estimate of EGARCH model Jan 27, 2012 Papa Senyo Negative Estimate of EGARCH model Jan 27, 2012 Papa Senyo Negative Estimate of EGARCH model Jan 27, 2012

OHLC and volume data analysis using quantmod

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financial engineer OHLC and volume data analysis using quantmod Jan 16, 2012 G See OHLC and volume data analysis using quantmod Jan 16, 2012 financial engineer OHLC and volume data analysis using quantmod Jan 16, 2012

PerfomanceAnalytics

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Eric Thungstom PerfomanceAnalytics Jan 28, 2012 Brian G. Peterson PerfomanceAnalytics Jan 28, 2012

Quantstrat - Error while applying strategy

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Tim Meggs Quantstrat - Error while applying strategy Jan 24, 2012 Me Quantstrat - Error while applying strategy Jan 25, 2012

Quantstrat using sigFormula

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Tim Meggs Quantstrat using sigFormula Jan 4, 2012 julien cuisinier Quantstrat using sigFormula Jan 4, 2012 G See Quantstrat using sigFormula Jan 4, 2012 Tim Meggs Quantstrat using sigFormula Jan 9, 2012 G See Quantstrat using sigFormula Jan 9, 2012 Brian G. Peterson Quantstrat using sigFormula Jan 9, 2012 Tim Meggs Quantstrat using sigFormula Jan 9, 2012

Questions about high frequency data and overnight jumps...

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Michael Questions about high frequency data and overnight jumps... Jan 24, 2012

R Bloomberg for intraday prices

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Sacks, John R Bloomberg for intraday prices Jan 4, 2012 Brian G. Peterson R Bloomberg for intraday prices Jan 4, 2012

R/Finance 2012 -- Call for Papers - deadline 31 January, 2012

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Brian G. Peterson R/Finance 2012 -- Call for Papers - deadline 31 January, 2012 Jan 17, 2012

RBloomberg and "tick"

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Stig Korsnes RBloomberg and "tick" Jan 31, 2012 John Laing RBloomberg and "tick" Jan 31, 2012 Stig Korsnes RBloomberg and "tick" Jan 31, 2012 John Laing RBloomberg and "tick" Jan 31, 2012

RBloomberg on R 2.14.0

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Nero Tulip RBloomberg on R 2.14.0 Jan 2, 2012 John Laing RBloomberg on R 2.14.0 Jan 2, 2012 Nero Tulip RBloomberg on R 2.14.0 Jan 4, 2012 Nero Tulip RBloomberg on R 2.14.0 Jan 5, 2012

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

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Sune Gaulsh RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array" Jan 26, 2012 John Laing RBloomberg update on "Error in dimnames(x) <- dn : 'dimnames' applied to non-array" Jan 26, 2012

RBloomberg: Error in process.result(result, "first.column")

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Scott.Lyden at instinet.com RBloomberg: Error in process.result(result, "first.column") Jan 10, 2012

Removing a row in an xts object in place?

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Michael Removing a row in an xts object in place? Jan 21, 2012 Michael Removing a row in an xts object in place? Jan 21, 2012 R. Michael Weylandt Removing a row in an xts object in place? Jan 21, 2012 Michael Removing a row in an xts object in place? Jan 21, 2012 Jeff Ryan Removing a row in an xts object in place? Jan 23, 2012

Rotational Trading Strategy in quantstrat

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daniel_krizian at tam.sk Rotational Trading Strategy in quantstrat Jan 30, 2012

Where is my hedge ratio when testing for cointegration with Phillips-Ouliaris test?

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Mark Breman Where is my hedge ratio when testing for cointegration with Phillips-Ouliaris test? Jan 6, 2012 R. Michael Weylandt Where is my hedge ratio when testing for cointegration with Phillips-Ouliaris test? Jan 6, 2012 Eric Zivot Where is my hedge ratio when testing for cointegration with Phillips-Ouliaris test? Jan 9, 2012

arima estimation - how many data points are needed?

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Michael arima estimation - how many data points are needed? Jan 5, 2012 Alexios Ghalanos arima estimation - how many data points are needed? Jan 5, 2012

can't load rJava via RBloomberg

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John Kerpel can't load rJava via RBloomberg Jan 4, 2012

can't load rJava via RBloomberg: FOLLOW UP

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John Kerpel can't load rJava via RBloomberg: FOLLOW UP Jan 4, 2012

custom indicator that returns results of backtest on subset of data

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Tim Meggs custom indicator that returns results of backtest on subset of data Jan 24, 2012 Tim Meggs custom indicator that returns results of backtest on subset of data Jan 25, 2012

data manipulation to for quantmod function

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KTD Services data manipulation to for quantmod function Jan 10, 2012 julien cuisinier data manipulation to for quantmod function Jan 11, 2012 Yuanhang Wang data manipulation to for quantmod function Jan 11, 2012 michael.weylandt at gmail.com (R. Michael Weylandt data manipulation to for quantmod function Jan 11, 2012 julien cuisinier data manipulation to for quantmod function Jan 11, 2012 Brian G. Peterson data manipulation to for quantmod function Jan 11, 2012 michael.weylandt at gmail.com (R. Michael Weylandt data manipulation to for quantmod function Jan 11, 2012 G See data manipulation to for quantmod function Jan 11, 2012

dynamic window size in rolling linear regression?

1 msg
Eric Zivot dynamic window size in rolling linear regression? Jan 11, 2012

dynamic window size in rolling linear regression?

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Michael dynamic window size in rolling linear regression? Jan 11, 2012 Patrick Burns dynamic window size in rolling linear regression? Jan 11, 2012 riccardo visca dynamic window size in rolling linear regression? Jan 11, 2012 Patrick Burns dynamic window size in rolling linear regression? Jan 12, 2012 riccardo visca dynamic window size in rolling linear regression? Jan 12, 2012 Patrick Burns dynamic window size in rolling linear regression? Jan 12, 2012

exponentially weighted linear regression

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Michael exponentially weighted linear regression Jan 5, 2012 Zachary Mayer exponentially weighted linear regression Jan 5, 2012 Michael exponentially weighted linear regression Jan 5, 2012 Zachary Mayer exponentially weighted linear regression Jan 5, 2012 Michael exponentially weighted linear regression Jan 5, 2012 Michael exponentially weighted linear regression Jan 5, 2012 riccardo visca exponentially weighted linear regression Jan 5, 2012 Zachary Mayer exponentially weighted linear regression Jan 5, 2012 Michael exponentially weighted linear regression Jan 5, 2012 Eric Zivot exponentially weighted linear regression Jan 9, 2012 Michael exponentially weighted linear regression Jan 11, 2012

fitdist in R

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financial engineer fitdist in R Jan 2, 2012 Joshua Ulrich fitdist in R Jan 2, 2012

frequency in the xts object...

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Michael frequency in the xts object... Jan 6, 2012

getSymbol error to download data from FRED

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Krishna Kumar getSymbol error to download data from FRED Jan 18, 2012 Sankalp Upadhyay getSymbol error to download data from FRED Jan 18, 2012 Krishna Kumar getSymbol error to download data from FRED Jan 19, 2012

getSymbols.Bloomberg (was Re: data manipulation to for quantmod function)

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Brian G. Peterson getSymbols.Bloomberg (was Re: data manipulation to for quantmod function) Jan 11, 2012 Gei Lin getSymbols.Bloomberg (was Re: data manipulation to for quantmod function) Jan 12, 2012

half life are different when applying diff frequencies to mean reverting time series

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Thomas X half life are different when applying diff frequencies to mean reverting time series Jan 8, 2012

help with monthlyReturn command

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benn fine help with monthlyReturn command Jan 20, 2012 Joshua Ulrich help with monthlyReturn command Jan 20, 2012

holding period quant mod ?

1 msg
Martin Bauer holding period quant mod ? Jan 5, 2012

how do I make a movie out of a timeseries of 2D data?

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Michael how do I make a movie out of a timeseries of 2D data? Jan 12, 2012 G See how do I make a movie out of a timeseries of 2D data? Jan 12, 2012

in xts plot, how do I remove the hour and min info in the x axis labels?

2 msgs
Michael in xts plot, how do I remove the hour and min info in the x axis labels? Jan 13, 2012 Brian G. Peterson in xts plot, how do I remove the hour and min info in the x axis labels? Jan 13, 2012

is there a time-zone adjustment function in R that takes care of day-light saving?

9 msgs
Michael is there a time-zone adjustment function in R that takes care of day-light saving? Jan 30, 2012 Brian G. Peterson is there a time-zone adjustment function in R that takes care of day-light saving? Jan 30, 2012 Jeff Ryan is there a time-zone adjustment function in R that takes care of day-light saving? Jan 30, 2012 Michael is there a time-zone adjustment function in R that takes care of day-light saving? Jan 30, 2012 Jeff Ryan is there a time-zone adjustment function in R that takes care of day-light saving? Jan 30, 2012 Michael is there a time-zone adjustment function in R that takes care of day-light saving? Jan 30, 2012 Jeff Ryan is there a time-zone adjustment function in R that takes care of day-light saving? Jan 30, 2012 Michael is there a time-zone adjustment function in R that takes care of day-light saving? Jan 30, 2012 Jeff Ryan is there a time-zone adjustment function in R that takes care of day-light saving? Jan 30, 2012

logical AND of all columns in a xts object

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Andreas Voellenklee logical AND of all columns in a xts object Jan 4, 2012 Joshua Ulrich logical AND of all columns in a xts object Jan 4, 2012

plotting stl with time series data

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financial engineer plotting stl with time series data Jan 16, 2012 Joshua Ulrich plotting stl with time series data Jan 16, 2012

portfolios vs strategies in quantstrat

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Faber Castell portfolios vs strategies in quantstrat Jan 18, 2012 Brian G. Peterson portfolios vs strategies in quantstrat Jan 18, 2012 Faber Castell portfolios vs strategies in quantstrat Jan 19, 2012 Faber Castell portfolios vs strategies in quantstrat Jan 19, 2012 Brian G. Peterson portfolios vs strategies in quantstrat Jan 19, 2012 Faber Castell portfolios vs strategies in quantstrat Jan 23, 2012

price channel

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Michael price channel Jan 13, 2012 R. Michael Weylandt price channel Jan 13, 2012 Kent Russell price channel Jan 13, 2012 Jeff Ryan price channel Jan 14, 2012 Michael price channel Jan 16, 2012

quantmod getSymbols executes MySQL queries without escaping symbol/ticker data

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Sergey Pisarenko quantmod getSymbols executes MySQL queries without escaping symbol/ticker data Jan 24, 2012 Sergey Pisarenko quantmod getSymbols executes MySQL queries without escaping symbol/ticker data Jan 24, 2012 Sergey Pisarenko quantmod getSymbols executes MySQL queries without escaping symbol/ticker data Jan 24, 2012

question about time-stamp comparison?

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Michael question about time-stamp comparison? Jan 20, 2012 R. Michael Weylandt question about time-stamp comparison? Jan 20, 2012 Brian G. Peterson question about time-stamp comparison? Jan 20, 2012 Michael question about time-stamp comparison? Jan 20, 2012 R. Michael Weylandt question about time-stamp comparison? Jan 20, 2012 Michael question about time-stamp comparison? Jan 20, 2012 Brian G. Peterson question about time-stamp comparison? Jan 20, 2012 R. Michael Weylandt question about time-stamp comparison? Jan 20, 2012 Michael question about time-stamp comparison? Jan 20, 2012

question on implementing trading strategy

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C W question on implementing trading strategy Jan 31, 2012 Brian G. Peterson question on implementing trading strategy Jan 31, 2012

rugarch and missing data

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Ted rugarch and missing data Jan 26, 2012 Alexios Ghalanos rugarch and missing data Jan 26, 2012 John Kerpel rugarch and missing data Jan 26, 2012 Ted rugarch and missing data Jan 26, 2012 Patrick Burns rugarch and missing data Jan 26, 2012 Alexios Ghalanos rugarch and missing data Jan 26, 2012

stop and reverse strategy not behaving as I expected

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Samuel de Bousquet stop and reverse strategy not behaving as I expected Jan 18, 2012 Kent Hoxsey stop and reverse strategy not behaving as I expected Jan 18, 2012 Samuel de Bousquet stop and reverse strategy not behaving as I expected Jan 18, 2012 Brian G. Peterson stop and reverse strategy not behaving as I expected Jan 18, 2012

tawny: deriving

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rohan sadler tawny: deriving Jan 27, 2012 Patrick Burns tawny: deriving Jan 28, 2012

troubles with apply.daily

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Ted troubles with apply.daily Jan 29, 2012 R. Michael Weylandt troubles with apply.daily Jan 29, 2012 Ted troubles with apply.daily Jan 29, 2012 R. Michael Weylandt troubles with apply.daily Jan 29, 2012 Ted troubles with apply.daily Jan 29, 2012 Ted troubles with apply.daily Jan 29, 2012