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R-SIG-Finance February 2012

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Achim Zeileis

Last active: Feb 2, 2012
1 msg
Achim Zeileis time series regime detection in R? Feb 2, 2012

Alex Bird

Last active: Feb 17, 2012
2 msgs
Alex Bird 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

Alexios Ghalanos

Last active: Feb 22, 2012
11 msgs
Alexios Ghalanos Volatility forecast Feb 6, 2012 Alexios Ghalanos Volatility forecast Feb 6, 2012 Alexios Ghalanos Hessian in GARCH-Models (rugarch-package) Feb 9, 2012 Alexios Ghalanos rugarch package Feb 11, 2012 Alexios Ghalanos ARMAX, t-GARCH estimation(RUGARCH package) Feb 11, 2012 Alexios Ghalanos ugarchfit and arima seem contradictory? Feb 11, 2012 Alexios Ghalanos ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012 Alexios Ghalanos ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012 Alexios Ghalanos 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 16, 2012 Alexios Ghalanos Getting different days ahead forecast apart from of 1-day ahead using rugarch Feb 22, 2012

Baranzan Alhamdu Vayin

Last active: Feb 8, 2012
1 msg
Baranzan Alhamdu Vayin assistance please Feb 8, 2012

Ben quant

Last active: Feb 29, 2012
2 msgs
Ben quant yahoo data request policy - quantstrat/quantmod Feb 20, 2012 Ben quant quantstrat - 1) iceberg, 2) trailing entry examples, and 3) fundamental data indicator Feb 29, 2012

Bob

Last active: Feb 16, 2012
4 msgs
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 15, 2012 Bob 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

Brian Askins

Last active: Feb 11, 2012
2 msgs
Brian Askins ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012 Brian Askins ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012

Brian G. Peterson

Last active: Feb 27, 2012
20 msgs
Brian G. Peterson time series regime detection in R? Feb 2, 2012 Brian G. Peterson CAPM homework (was RE: assistance please) Feb 9, 2012 Brian G. Peterson [Fwd: CAPM homework] Feb 9, 2012 Brian G. Peterson Using quantstrat indicators against columns other than "Close" Feb 10, 2012 Brian G. Peterson ugarchfit and arima seem contradictory? Feb 11, 2012 Brian G. Peterson ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012 Brian G. Peterson Writing sell rules with quantstrat Feb 15, 2012 Brian G. Peterson Writing sell rules with quantstrat Feb 15, 2012 Brian G. Peterson quantstrat executes trades that are more worth than total equity Feb 16, 2012 Brian G. Peterson HF strategy style change detection based on txn data Feb 17, 2012 Brian G. Peterson Writing sell rules with quantstrat Feb 17, 2012 Brian G. Peterson 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 Brian G. Peterson minimum variance portfolio (no shorts) Feb 18, 2012 Brian G. Peterson portfolios vs strategies in quantstrat Feb 24, 2012 Brian G. Peterson 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 Brian G. Peterson test for the change in the parameters in t-GARCH model Feb 27, 2012 Brian G. Peterson portfolios vs strategies in quantstrat Feb 27, 2012

Calvin

Last active: Feb 3, 2012
2 msgs
Calvin RBloomberg hanging on blpConnect() Feb 1, 2012 Calvin RBloomberg hanging on blpConnect() Feb 3, 2012

Daniel Cegiełka

Last active: Feb 1, 2012
1 msg
Daniel Cegiełka RBloomberg hanging on blpConnect() Feb 1, 2012

Devin Newman

Last active: Feb 23, 2012
2 msgs
Devin Newman Quantmod's getFin() functionality broken? Feb 23, 2012 Devin Newman Quantmod's getFin() functionality broken? Feb 23, 2012

Diego Jara

Last active: Feb 27, 2012
1 msg
Diego Jara Creating a DLL from R code Feb 27, 2012

Dirk Eddelbuettel

Last active: Feb 9, 2012
2 msgs
Dirk Eddelbuettel American option sensitivities Feb 9, 2012 Dirk Eddelbuettel American option sensitivities Feb 9, 2012

Enrico Schumann

Last active: Feb 10, 2012
4 msgs
Enrico Schumann Monte Carlo Option Pricing formula Feb 2, 2012 Enrico Schumann Monte Carlo Option Pricing formula R code vs Matlab Feb 3, 2012 Enrico Schumann American option sensitivities Feb 10, 2012 Enrico Schumann American option sensitivities Feb 10, 2012

Faber Castell

Last active: Feb 28, 2012
3 msgs
Faber Castell portfolios vs strategies in quantstrat Feb 24, 2012 Faber Castell portfolios vs strategies in quantstrat Feb 27, 2012 Faber Castell portfolios vs strategies in quantstrat Feb 28, 2012

G See

Last active: Feb 28, 2012
4 msgs
G See BuildIBContract odd behavior Feb 9, 2012 G See 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 27, 2012 G See quantstrat: getting an error when using many symbols and %-based order sizing function Feb 28, 2012

Horst R. Wolf

Last active: Feb 12, 2012
1 msg
Horst R. Wolf rugarch Feb 12, 2012

James

Last active: Feb 10, 2012
3 msgs
James American option sensitivities Feb 9, 2012 James American option sensitivities Feb 9, 2012 James American option sensitivities Feb 10, 2012

Jeff Davis

Last active: Feb 28, 2012
1 msg
Jeff Davis RBloomberg download - findata.org disappeared Feb 28, 2012

Jeff Ryan

Last active: Feb 28, 2012
8 msgs
Jeff Ryan time series regime detection in R? Feb 2, 2012 Jeff Ryan using findPeaks in designing railing-stops? Feb 9, 2012 Jeff Ryan Interactive Brokers Compatibility Feb 10, 2012 Jeff Ryan yahoo data request policy - quantstrat/quantmod Feb 20, 2012 Jeff Ryan Quantmod's getFin() functionality broken? Feb 23, 2012 Jeff Ryan Quantmod's getFin() functionality broken? Feb 23, 2012 Jeff Ryan RBloomberg download - findata.org disappeared Feb 28, 2012 Jeff Ryan RBloomberg download - findata.org disappeared Feb 28, 2012

John Laing

Last active: Feb 28, 2012
3 msgs
John Laing RBloomberg hanging on blpConnect() Feb 1, 2012 John Laing rbloomberg includeConditionCodes Feb 12, 2012 John Laing RBloomberg download - findata.org disappeared Feb 28, 2012

Jonny So

Last active: Feb 13, 2012
2 msgs
Jonny So rbloomberg includeConditionCodes Feb 8, 2012 Jonny So rbloomberg includeConditionCodes Feb 13, 2012

Joshua Ulrich

Last active: Feb 20, 2012
2 msgs
Joshua Ulrich Stock Total Returns? Feb 19, 2012 Joshua Ulrich Interesting behaviour in BBands Feb 20, 2012

LINJUAN

Last active: Feb 29, 2012
6 msgs
LINJUAN ugarchfit() ARCH LM tests contradict ArchTest()? Feb 11, 2012 LINJUAN test for the change in the parameters in t-GARCH model Feb 26, 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 LINJUAN How to add the dummy variable in GARCH model(RUGARCH package) Feb 29, 2012

Lin23

Last active: Feb 11, 2012
2 msgs
Lin23 Hessian in GARCH-Models (rugarch-package) Feb 8, 2012 Lin23 Hessian in GARCH-Models (rugarch-package) Feb 11, 2012

Luna

Last active: Feb 16, 2012
2 msgs
Luna using findPeaks in designing railing-stops? Feb 16, 2012 Luna using findPeaks in designing railing-stops? Feb 16, 2012

Maheshwari, Dhruv

Last active: Feb 21, 2012
1 msg
Maheshwari, Dhruv Imaginary root / complex number in a Gamma function Feb 21, 2012

Mark Harrison

Last active: Feb 10, 2012
3 msgs
Mark Harrison BuildIBContract odd behavior Feb 9, 2012 Mark Harrison BuildIBContract odd behavior Feb 10, 2012 Mark Harrison Interactive Brokers Compatibility Feb 10, 2012

Mark Leeds

Last active: Feb 25, 2012
2 msgs
Mark Leeds Monte Carlo Option Pricing formula R code vs Matlab Feb 3, 2012 Mark Leeds Causal version of HP filter and Kernel Smoothing in R? Feb 25, 2012

Matthieu Stigler

Last active: Feb 2, 2012
1 msg
Matthieu Stigler time series regime detection in R? Feb 2, 2012

Me

Last active: Feb 13, 2012
2 msgs
Me IBrokers reqOpenOrders Feb 13, 2012 Me IBrokers reqOpenOrders Feb 13, 2012

Michael

Last active: Feb 28, 2012
9 msgs
Michael time series regime detection in R? Feb 2, 2012 Michael time series regime detection in R? Feb 2, 2012 Michael using findPeaks in designing railing-stops? Feb 9, 2012 Michael correlation based time series clustering? Feb 21, 2012 Michael 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 Michael Causal version of HP filter and Kernel Smoothing in R? Feb 25, 2012 Michael Splitting time series into blocks/regimes? Feb 28, 2012 Michael Causal version of HP filter and Kernel Smoothing in R? Feb 28, 2012

Mishuk.Chowdhury at tdameritrade.com

Last active: Feb 21, 2012
1 msg
Mishuk.Chowdhury at tdameritrade.com Imaginary root / complex number in a Gamma function Feb 21, 2012

Momop Momop

Last active: Feb 17, 2012
2 msgs
Momop Momop (no subject) Feb 17, 2012 Momop Momop (no subject) Feb 17, 2012

Murali.Menon at avivainvestors.com

Last active: Feb 23, 2012
1 msg
Murali.Menon at avivainvestors.com correlation based time series clustering? Feb 23, 2012

Papa Senyo

Last active: Feb 21, 2012
3 msgs
Papa Senyo Volatility forecast Feb 6, 2012 Papa Senyo Volatility forecast Feb 6, 2012 Papa Senyo Getting different days ahead forecast apart from of 1-day ahead using rugarch Feb 21, 2012

Patrick Burns

Last active: Feb 23, 2012
2 msgs
Patrick Burns BurStFin now on CRAN Feb 16, 2012 Patrick Burns correlation based time series clustering? Feb 23, 2012

Paul Gilbert

Last active: Feb 24, 2012
2 msgs
Paul Gilbert American option sensitivities Feb 10, 2012 Paul Gilbert Causal version of HP filter and Kernel Smoothing in R? Feb 24, 2012

Paul Ramer

Last active: Feb 21, 2012
1 msg
Paul Ramer customizing format of yaxis annotation Performance Analytics Feb 21, 2012

Peter Carl

Last active: Feb 21, 2012
1 msg
Peter Carl customizing format of yaxis annotation Performance Analytics Feb 21, 2012

R. Michael Weylandt

Last active: Feb 29, 2012
7 msgs
R. Michael Weylandt using findPeaks in designing railing-stops? Feb 9, 2012 R. Michael Weylandt using findPeaks in designing railing-stops? Feb 9, 2012 R. Michael Weylandt using findPeaks in designing railing-stops? Feb 16, 2012 R. Michael Weylandt using findPeaks in designing railing-stops? Feb 16, 2012 R. Michael Weylandt Stock Total Returns? Feb 18, 2012 R. Michael Weylandt really puzzled by this R script Feb 25, 2012 R. Michael Weylandt Splitting time series into blocks/regimes? Feb 29, 2012

Roupell, Darko

Last active: Feb 2, 2012
2 msgs
Roupell, Darko Monte Carlo Option Pricing formula Feb 1, 2012 Roupell, Darko Monte Carlo Option Pricing formula R code vs Matlab Feb 2, 2012

SW

Last active: Feb 20, 2012
3 msgs
SW Stock Total Returns? Feb 18, 2012 SW Stock Total Returns? Feb 18, 2012 SW Stock Total Returns? Feb 20, 2012

Sash Ali

Last active: Feb 13, 2012
2 msgs
Sash Ali IBrokers reqOpenOrders Feb 13, 2012 Sash Ali IBrokers reqOpenOrders Feb 13, 2012

Sergey Pisarenko

Last active: Feb 27, 2012
18 msgs
Sergey Pisarenko Using quantstrat indicators against columns other than "Close" Feb 10, 2012 Sergey Pisarenko Using quantstrat indicators against columns other than "Close" Feb 10, 2012 Sergey Pisarenko Writing sell rules with quantstrat Feb 14, 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 Sergey Pisarenko Writing sell rules with quantstrat Feb 15, 2012 Sergey Pisarenko Writing sell rules with quantstrat Feb 15, 2012 Sergey Pisarenko 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 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 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 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

Sergio Bizzotto

Last active: Feb 28, 2012
1 msg
Sergio Bizzotto RBloomberg download - findata.org disappeared Feb 28, 2012

Stergios Marinopoulos

Last active: Feb 21, 2012
2 msgs
Stergios Marinopoulos Interesting behaviour in BBands Feb 18, 2012 Stergios Marinopoulos Interesting behaviour in BBands Feb 21, 2012

Stig Korsnes

Last active: Feb 1, 2012
1 msg
Stig Korsnes RBloomberg and "tick" Feb 1, 2012

Thomas Schwiertz

Last active: Feb 9, 2012
1 msg
Thomas Schwiertz American option sensitivities Feb 9, 2012

Ulrich Staudinger

Last active: Feb 29, 2012
1 msg
Ulrich Staudinger Causal version of HP filter and Kernel Smoothing in R? Feb 29, 2012

Vincent Zoonekynd

Last active: Feb 23, 2012
1 msg
Vincent Zoonekynd correlation based time series clustering? Feb 23, 2012

Whit Armstrong

Last active: Feb 29, 2012
1 msg
Whit Armstrong Splitting time series into blocks/regimes? Feb 29, 2012

Wildi Marc (wlmr)

Last active: Feb 26, 2012
2 msgs
Wildi Marc (wlmr) 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 26, 2012

Wolfgang Wu

Last active: Feb 29, 2012
1 msg
Wolfgang Wu Update price data on disk using mmap package Feb 29, 2012

anmol sethy

Last active: Feb 23, 2012
1 msg
anmol sethy correlation based time series clustering? Feb 23, 2012

benn fine

Last active: Feb 18, 2012
3 msgs
benn fine minimum variance portfolio (no shorts) Feb 18, 2012 benn fine minimum variance portfolio (no shorts) Feb 18, 2012 benn fine minimum variance portfolio (no shorts) Feb 18, 2012

ecsniffer林娟

Last active: Feb 11, 2012
6 msgs
ecsniffer林娟 rugarch package Feb 11, 2012 ecsniffer林娟 ARMAX, t-GARCH estimation(RUGARCH package) Feb 11, 2012 ecsniffer林娟 ARMAX, t-GARCH estimation(RUGARCH package) Feb 11, 2012 ecsniffer林娟 ugarchfit and arima seem contradictory? Feb 11, 2012 ecsniffer林娟 ugarchfit and arima seem contradictory? Feb 11, 2012 ecsniffer林娟 ugarchfit and arima seem contradictory? Feb 11, 2012

johnzli at comcast.net

Last active: Feb 24, 2012
1 msg
johnzli at comcast.net really puzzled by this R script Feb 24, 2012

julien cuisinier

Last active: Feb 23, 2012
2 msgs
julien cuisinier correlation based time series clustering? Feb 23, 2012 julien cuisinier correlation based time series clustering? Feb 23, 2012

kidA

Last active: Feb 5, 2012
2 msgs
kidA bug in updatePortf Feb 5, 2012 kidA bug in updatePortf Feb 5, 2012

rex

Last active: Feb 29, 2012
3 msgs
rex Monte Carlo Option Pricing formula Feb 2, 2012 rex Monte Carlo Option Pricing formula R code vs Matlab Feb 3, 2012 rex Potential bug in quantstrat in how it handles "F" symbol Feb 29, 2012

sergio

Last active: Feb 28, 2012
1 msg
sergio RBloomberg download - findata.org disappeared Feb 28, 2012

varcovar

Last active: Feb 21, 2012
2 msgs
varcovar Quantstrat: buy at tomorrow open Feb 21, 2012 varcovar Quantstrat: buy at tomorrow open Feb 21, 2012

vnatanel

Last active: Feb 23, 2012
1 msg
vnatanel how to substract one matrix from other with respect to each element (according to same position) Feb 23, 2012

嗒昵昵

Last active: Feb 4, 2012
1 msg
嗒昵昵 quantmod newTA Feb 4, 2012