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R-SIG-Finance February 2012

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How to add the dummy variable in GARCH model(RUGARCH package)
1 msg
LINJUAN How to add the dummy variable in GARCH model(RUGARCH package) Feb 29, 2012
Splitting time series into blocks/regimes?
3 msgs
Michael Splitting time series into blocks/regimes? Feb 28, 2012
R. Michael Weylandt Splitting time series into blocks/regimes? Feb 29, 2012
Whit Armstrong Splitting time series into blocks/regimes? Feb 29, 2012
test for the change in the parameters in t-GARCH model
5 msgs
LINJUAN test for the change in the parameters in t-GARCH model Feb 26, 2012
Brian G. Peterson test for the change in the parameters in t-GARCH model Feb 27, 2012
LINJUAN test for the change in the parameters in t-GARCH model Feb 27, 2012
LINJUAN test for the change in the parameters in t-GARCH model Feb 29, 2012
LINJUAN test for the change in the parameters in t-GARCH model Feb 29, 2012
Update price data on disk using mmap package
1 msg
Wolfgang Wu Update price data on disk using mmap package Feb 29, 2012
Causal version of HP filter and Kernel Smoothing in R?
11 msgs
Michael Causal version of HP filter and Kernel Smoothing in R? Feb 24, 2012
Brian G. Peterson Causal version of HP filter and Kernel Smoothing in R? Feb 24, 2012
Michael Causal version of HP filter and Kernel Smoothing in R? Feb 24, 2012
Brian G. Peterson Causal version of HP filter and Kernel Smoothing in R? Feb 24, 2012
Paul Gilbert Causal version of HP filter and Kernel Smoothing in R? Feb 24, 2012
Wildi Marc (wlmr) Causal version of HP filter and Kernel Smoothing in R? Feb 24, 2012
Michael Causal version of HP filter and Kernel Smoothing in R? Feb 25, 2012
Mark Leeds Causal version of HP filter and Kernel Smoothing in R? Feb 25, 2012
Wildi Marc (wlmr) Causal version of HP filter and Kernel Smoothing in R? Feb 26, 2012
Michael Causal version of HP filter and Kernel Smoothing in R? Feb 28, 2012
Ulrich Staudinger Causal version of HP filter and Kernel Smoothing in R? Feb 29, 2012
RBloomberg download - findata.org disappeared
6 msgs
sergio RBloomberg download - findata.org disappeared Feb 28, 2012
Jeff Ryan RBloomberg download - findata.org disappeared Feb 28, 2012
Jeff Ryan RBloomberg download - findata.org disappeared Feb 28, 2012
Jeff Davis RBloomberg download - findata.org disappeared Feb 28, 2012
Sergio Bizzotto RBloomberg download - findata.org disappeared Feb 28, 2012
John Laing RBloomberg download - findata.org disappeared Feb 28, 2012
quantstrat: getting an error when using many symbols and %-based order sizing function
10 msgs
Sergey Pisarenko quantstrat: getting an error when using many symbols and %-based order sizing function Feb 17, 2012
G See quantstrat: getting an error when using many symbols and %-based order sizing function Feb 17, 2012
Sergey Pisarenko quantstrat: getting an error when using many symbols and %-based order sizing function Feb 17, 2012
Sergey Pisarenko quantstrat: getting an error when using many symbols and %-based order sizing function Feb 26, 2012
Sergey Pisarenko quantstrat: getting an error when using many symbols and %-based order sizing function Feb 26, 2012
Sergey Pisarenko quantstrat: getting an error when using many symbols and %-based order sizing function Feb 26, 2012
G See quantstrat: getting an error when using many symbols and %-based order sizing function Feb 27, 2012
Sergey Pisarenko quantstrat: getting an error when using many symbols and %-based order sizing function Feb 27, 2012
Sergey Pisarenko quantstrat: getting an error when using many symbols and %-based order sizing function Feb 27, 2012
G See quantstrat: getting an error when using many symbols and %-based order sizing function Feb 28, 2012
portfolios vs strategies in quantstrat
5 msgs
Faber Castell portfolios vs strategies in quantstrat Feb 24, 2012
Brian G. Peterson portfolios vs strategies in quantstrat Feb 24, 2012
Faber Castell portfolios vs strategies in quantstrat Feb 27, 2012
Brian G. Peterson portfolios vs strategies in quantstrat Feb 27, 2012
Faber Castell portfolios vs strategies in quantstrat Feb 28, 2012
Creating a DLL from R code
1 msg
Diego Jara Creating a DLL from R code Feb 27, 2012
really puzzled by this R script
2 msgs
johnzli at comcast.net really puzzled by this R script Feb 24, 2012
R. Michael Weylandt really puzzled by this R script Feb 25, 2012
Quantmod's getFin() functionality broken?
2 msgs
Jeff Ryan Quantmod's getFin() functionality broken? Feb 23, 2012
Devin Newman Quantmod's getFin() functionality broken? Feb 23, 2012
Quantmod's getFin() functionality broken?
2 msgs
Devin Newman Quantmod's getFin() functionality broken? Feb 23, 2012
Jeff Ryan Quantmod's getFin() functionality broken? Feb 23, 2012
how to substract one matrix from other with respect to each element (according to same position)
1 msg
vnatanel how to substract one matrix from other with respect to each element (according to same position) Feb 23, 2012
correlation based time series clustering?
7 msgs
Michael correlation based time series clustering? Feb 21, 2012
julien cuisinier correlation based time series clustering? Feb 23, 2012
Murali.Menon at avivainvestors.com correlation based time series clustering? Feb 23, 2012
julien cuisinier correlation based time series clustering? Feb 23, 2012
Patrick Burns correlation based time series clustering? Feb 23, 2012
Vincent Zoonekynd correlation based time series clustering? Feb 23, 2012
anmol sethy correlation based time series clustering? Feb 23, 2012
Getting different days ahead forecast apart from of 1-day ahead using rugarch
2 msgs
Papa Senyo Getting different days ahead forecast apart from of 1-day ahead using rugarch Feb 21, 2012
Alexios Ghalanos Getting different days ahead forecast apart from of 1-day ahead using rugarch Feb 22, 2012
customizing format of yaxis annotation Performance Analytics
2 msgs
Paul Ramer customizing format of yaxis annotation Performance Analytics Feb 21, 2012
Peter Carl customizing format of yaxis annotation Performance Analytics Feb 21, 2012
Imaginary root / complex number in a Gamma function
2 msgs
Mishuk.Chowdhury at tdameritrade.com Imaginary root / complex number in a Gamma function Feb 21, 2012
Maheshwari, Dhruv Imaginary root / complex number in a Gamma function Feb 21, 2012
Interesting behaviour in BBands
3 msgs
Stergios Marinopoulos Interesting behaviour in BBands Feb 18, 2012
Joshua Ulrich Interesting behaviour in BBands Feb 20, 2012
Stergios Marinopoulos Interesting behaviour in BBands Feb 21, 2012
Quantstrat: buy at tomorrow open
1 msg
varcovar Quantstrat: buy at tomorrow open Feb 21, 2012
Quantstrat: buy at tomorrow open
1 msg
varcovar Quantstrat: buy at tomorrow open Feb 21, 2012
yahoo data request policy - quantstrat/quantmod
2 msgs
Ben quant yahoo data request policy - quantstrat/quantmod Feb 20, 2012
Jeff Ryan yahoo data request policy - quantstrat/quantmod Feb 20, 2012
Stock Total Returns?
1 msg
SW Stock Total Returns? Feb 20, 2012
Stock Total Returns?
4 msgs
SW Stock Total Returns? Feb 18, 2012
R. Michael Weylandt Stock Total Returns? Feb 18, 2012
SW Stock Total Returns? Feb 18, 2012
Joshua Ulrich Stock Total Returns? Feb 19, 2012
minimum variance portfolio (no shorts)
7 msgs
benn fine minimum variance portfolio (no shorts) Feb 18, 2012
Brian G. Peterson minimum variance portfolio (no shorts) Feb 18, 2012
benn fine minimum variance portfolio (no shorts) Feb 18, 2012
Brian G. Peterson minimum variance portfolio (no shorts) Feb 18, 2012
benn fine minimum variance portfolio (no shorts) Feb 18, 2012
Brian G. Peterson minimum variance portfolio (no shorts) Feb 18, 2012
Brian G. Peterson minimum variance portfolio (no shorts) Feb 18, 2012
(no subject)
1 msg
Momop Momop (no subject) Feb 17, 2012
(no subject)
1 msg
Momop Momop (no subject) Feb 17, 2012
HF strategy style change detection based on txn data
3 msgs
Alex Bird HF strategy style change detection based on txn data Feb 17, 2012
Brian G. Peterson HF strategy style change detection based on txn data Feb 17, 2012
Alex Bird HF strategy style change detection based on txn data Feb 17, 2012
Writing sell rules with quantstrat
10 msgs
Sergey Pisarenko Writing sell rules with quantstrat Feb 14, 2012
Brian G. Peterson Writing sell rules with quantstrat Feb 15, 2012
Sergey Pisarenko Writing sell rules with quantstrat Feb 15, 2012
Sergey Pisarenko Writing sell rules with quantstrat Feb 15, 2012
Brian G. Peterson Writing sell rules with quantstrat Feb 15, 2012
Sergey Pisarenko Writing sell rules with quantstrat Feb 15, 2012
Sergey Pisarenko Writing sell rules with quantstrat Feb 15, 2012
Sergey Pisarenko Writing sell rules with quantstrat Feb 15, 2012
Sergey Pisarenko Writing sell rules with quantstrat Feb 15, 2012
Brian G. Peterson Writing sell rules with quantstrat Feb 17, 2012
Efficient CVaR Scenario Optimization for a Large number of Scenarios
6 msgs
Bob Efficient CVaR Scenario Optimization for a Large number of Scenarios Feb 15, 2012
Alexios Ghalanos Efficient CVaR Scenario Optimization for a Large number of Scenarios Feb 15, 2012
Bob Efficient CVaR Scenario Optimization for a Large number of Scenarios Feb 15, 2012
Bob Efficient CVaR Scenario Optimization for a Large number of Scenarios Feb 16, 2012
Alexios Ghalanos Efficient CVaR Scenario Optimization for a Large number of Scenarios Feb 16, 2012
Bob Efficient CVaR Scenario Optimization for a Large number of Scenarios Feb 16, 2012
quantstrat executes trades that are more worth than total equity
3 msgs
Sergey Pisarenko quantstrat executes trades that are more worth than total equity Feb 16, 2012
Brian G. Peterson quantstrat executes trades that are more worth than total equity Feb 16, 2012
Sergey Pisarenko quantstrat executes trades that are more worth than total equity Feb 16, 2012
using findPeaks in designing railing-stops?
8 msgs
Michael using findPeaks in designing railing-stops? Feb 9, 2012
R. Michael Weylandt using findPeaks in designing railing-stops? Feb 9, 2012
Jeff Ryan using findPeaks in designing railing-stops? Feb 9, 2012
R. Michael Weylandt using findPeaks in designing railing-stops? Feb 9, 2012
Luna using findPeaks in designing railing-stops? Feb 16, 2012
R. Michael Weylandt using findPeaks in designing railing-stops? Feb 16, 2012
Luna using findPeaks in designing railing-stops? Feb 16, 2012
R. Michael Weylandt using findPeaks in designing railing-stops? Feb 16, 2012
BurStFin now on CRAN
1 msg
Patrick Burns BurStFin now on CRAN Feb 16, 2012
IBrokers reqOpenOrders
4 msgs
Sash Ali IBrokers reqOpenOrders Feb 13, 2012
Me IBrokers reqOpenOrders Feb 13, 2012
Sash Ali IBrokers reqOpenOrders Feb 13, 2012
Me IBrokers reqOpenOrders Feb 13, 2012
rbloomberg includeConditionCodes
3 msgs
Jonny So rbloomberg includeConditionCodes Feb 8, 2012
John Laing rbloomberg includeConditionCodes Feb 12, 2012
Jonny So rbloomberg includeConditionCodes Feb 13, 2012
rugarch
1 msg
Horst R. Wolf rugarch Feb 12, 2012
ugarchfit() ARCH LM tests contradict ArchTest()?
6 msgs
Brian Askins ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012
Brian G. Peterson ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012
Alexios Ghalanos ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012
Brian Askins ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012
Alexios Ghalanos ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012
LINJUAN ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012
Hessian in GARCH-Models (rugarch-package)
3 msgs
Lin23 Hessian in GARCH-Models (rugarch-package) Feb 8, 2012
Alexios Ghalanos Hessian in GARCH-Models (rugarch-package) Feb 9, 2012
Lin23 Hessian in GARCH-Models (rugarch-package) Feb 11, 2012
ugarchfit and arima seem contradictory?
5 msgs
ecsniffer林娟 ugarchfit and arima seem contradictory? Feb 11, 2012
Alexios Ghalanos ugarchfit and arima seem contradictory? Feb 11, 2012
ecsniffer林娟 ugarchfit and arima seem contradictory? Feb 11, 2012
Brian G. Peterson ugarchfit and arima seem contradictory? Feb 11, 2012
ecsniffer林娟 ugarchfit and arima seem contradictory? Feb 11, 2012
ARMAX, t-GARCH estimation(RUGARCH package)
3 msgs
ecsniffer林娟 ARMAX, t-GARCH estimation(RUGARCH package) Feb 11, 2012
Alexios Ghalanos ARMAX, t-GARCH estimation(RUGARCH package) Feb 11, 2012
ecsniffer林娟 ARMAX, t-GARCH estimation(RUGARCH package) Feb 11, 2012
rugarch package
2 msgs
ecsniffer林娟 rugarch package Feb 11, 2012
Alexios Ghalanos rugarch package Feb 11, 2012
Interactive Brokers Compatibility
2 msgs
Mark Harrison Interactive Brokers Compatibility Feb 10, 2012
Jeff Ryan Interactive Brokers Compatibility Feb 10, 2012
Using quantstrat indicators against columns other than "Close"
3 msgs
Sergey Pisarenko Using quantstrat indicators against columns other than "Close" Feb 10, 2012
Brian G. Peterson Using quantstrat indicators against columns other than "Close" Feb 10, 2012
Sergey Pisarenko Using quantstrat indicators against columns other than "Close" Feb 10, 2012
BuildIBContract odd behavior
3 msgs
Mark Harrison BuildIBContract odd behavior Feb 9, 2012
G See BuildIBContract odd behavior Feb 9, 2012
Mark Harrison BuildIBContract odd behavior Feb 10, 2012
American option sensitivities
9 msgs
James American option sensitivities Feb 9, 2012
Dirk Eddelbuettel American option sensitivities Feb 9, 2012
Thomas Schwiertz American option sensitivities Feb 9, 2012
James American option sensitivities Feb 9, 2012
Dirk Eddelbuettel American option sensitivities Feb 9, 2012
Enrico Schumann American option sensitivities Feb 10, 2012
James American option sensitivities Feb 10, 2012
Paul Gilbert American option sensitivities Feb 10, 2012
Enrico Schumann American option sensitivities Feb 10, 2012
[Fwd: CAPM homework]
1 msg
Brian G. Peterson [Fwd: CAPM homework] Feb 9, 2012
assistance please
2 msgs
Baranzan Alhamdu Vayin assistance please Feb 8, 2012
Brian G. Peterson CAPM homework (was RE: assistance please) Feb 9, 2012
Volatility forecast
4 msgs
Papa Senyo Volatility forecast Feb 6, 2012
Alexios Ghalanos Volatility forecast Feb 6, 2012
Papa Senyo Volatility forecast Feb 6, 2012
Alexios Ghalanos Volatility forecast Feb 6, 2012
bug in updatePortf
2 msgs
kidA bug in updatePortf Feb 5, 2012
kidA bug in updatePortf Feb 5, 2012
quantmod newTA
1 msg
嗒昵昵 quantmod newTA Feb 4, 2012
Monte Carlo Option Pricing formula
7 msgs
Roupell, Darko Monte Carlo Option Pricing formula Feb 1, 2012
Enrico Schumann Monte Carlo Option Pricing formula Feb 2, 2012
Roupell, Darko Monte Carlo Option Pricing formula R code vs Matlab Feb 2, 2012
rex Monte Carlo Option Pricing formula Feb 2, 2012
Enrico Schumann Monte Carlo Option Pricing formula R code vs Matlab Feb 3, 2012
Mark Leeds Monte Carlo Option Pricing formula R code vs Matlab Feb 3, 2012
rex Monte Carlo Option Pricing formula R code vs Matlab Feb 3, 2012
RBloomberg hanging on blpConnect()
4 msgs
Calvin RBloomberg hanging on blpConnect() Feb 1, 2012
John Laing RBloomberg hanging on blpConnect() Feb 1, 2012
Daniel Cegiełka RBloomberg hanging on blpConnect() Feb 1, 2012
Calvin RBloomberg hanging on blpConnect() Feb 3, 2012
time series regime detection in R?
6 msgs
Michael time series regime detection in R? Feb 2, 2012
Brian G. Peterson time series regime detection in R? Feb 2, 2012
Achim Zeileis time series regime detection in R? Feb 2, 2012
Matthieu Stigler time series regime detection in R? Feb 2, 2012
Michael time series regime detection in R? Feb 2, 2012
Jeff Ryan time series regime detection in R? Feb 2, 2012
RBloomberg and "tick"
1 msg
Stig Korsnes RBloomberg and "tick" Feb 1, 2012