Skip to content

R-SIG-Finance May 2012

|

Alain Burt

Last active: May 17, 2012
1 msg
Alain Burt IBrokers: issues with combo contracts May 17, 2012

Alex Fei

Last active: May 24, 2012
7 msgs
Alex Fei copula with rmgarch May 7, 2012 Alex Fei copula with rmgarch May 8, 2012 Alex Fei copula with rmgarch May 8, 2012 Alex Fei copula with rmgarch May 9, 2012 Alex Fei copula with rmgarch May 9, 2012 Alex Fei rugarchsim / garchsim with a user-defined time series matrix of standardized i.i.d. disturbances May 24, 2012 Alex Fei rugarchsim / garchsim with a user-defined time series matrix of standardized i.i.d. disturbances May 24, 2012

Alex Grund

Last active: May 30, 2012
1 msg
Alex Grund Question about Linear Models, Machine Learning May 30, 2012

Alexander Chernyakov

Last active: May 5, 2012
4 msgs
Alexander Chernyakov panel data in R May 4, 2012 Alexander Chernyakov panel data in R May 5, 2012 Alexander Chernyakov panel data in R May 5, 2012 Alexander Chernyakov panel data in R May 5, 2012

Alexios Ghalanos

Last active: May 27, 2012
19 msgs
Alexios Ghalanos Back test report in Rugarch May 2, 2012 Alexios Ghalanos Back test report in Rugarch May 2, 2012 Alexios Ghalanos Rugarch for EWMA/VaR May 3, 2012 Alexios Ghalanos Rugarch for EWMA/VaR May 3, 2012 Alexios Ghalanos Standardization of GH distribution May 5, 2012 Alexios Ghalanos copula with rmgarch May 7, 2012 Alexios Ghalanos copula with rmgarch May 8, 2012 Alexios Ghalanos copula with rmgarch May 8, 2012 Alexios Ghalanos copula with rmgarch May 9, 2012 Alexios Ghalanos copula with rmgarch May 9, 2012 Alexios Ghalanos rmgarch arguments May 16, 2012 Alexios Ghalanos About rugarch (message to alexios) May 17, 2012 Alexios Ghalanos arfimafit issue May 21, 2012 Alexios Ghalanos estimation difference between ugarchroll and ugarchfit‏ May 23, 2012 Alexios Ghalanos estimation difference between ugarchroll and ugarchfit‏ May 23, 2012 Alexios Ghalanos rugarchsim / garchsim with a user-defined time series matrix of standardized i.i.d. disturbances May 24, 2012 Alexios Ghalanos rugarchsim / garchsim with a user-defined time series matrix of standardized i.i.d. disturbances May 24, 2012 Alexios Ghalanos ugarchforecast May 27, 2012 Alexios Ghalanos ugarchforecast May 27, 2012

Andreas Voellenklee

Last active: May 17, 2012
2 msgs
Andreas Voellenklee moving averages on specific interval and merge May 12, 2012 Andreas Voellenklee mark random rows of xts object May 17, 2012

Arun Kumar Saha

Last active: May 19, 2012
1 msg
Arun Kumar Saha look at the underlying source code May 19, 2012

BBands

Last active: May 10, 2012
2 msgs
BBands Generating a front month only Time Series for Futures Prices May 3, 2012 BBands Generating a front month only Time Series for Futures Prices May 10, 2012

Ben quant

Last active: May 14, 2012
3 msgs
Ben quant quantmod, determine if ADR May 10, 2012 Ben quant quantmod, determine if ADR May 12, 2012 Ben quant determine google financials currency May 14, 2012

Bob

Last active: May 16, 2012
1 msg
Bob writing a loop May 16, 2012

Brian G. Peterson

Last active: May 26, 2012
19 msgs
Brian G. Peterson issue on data import to pgAdminIII May 2, 2012 Brian G. Peterson Back test report in Rugarch May 2, 2012 Brian G. Peterson quantstrat with intraday data May 2, 2012 Brian G. Peterson Back test report in Rugarch May 2, 2012 Brian G. Peterson One week to R/Finance May 2, 2012 Brian G. Peterson SMA and TTR May 3, 2012 Brian G. Peterson Cant get this Quantstrat going, May 4, 2012 Brian G. Peterson Quantstrat - Error while applying strategy May 5, 2012 Brian G. Peterson Cant get this Quantstrat going, May 5, 2012 Brian G. Peterson Cant get this Quantstrat going, May 5, 2012 Brian G. Peterson quanstrat rule to exit same day close (using daily data) May 13, 2012 Brian G. Peterson quanstrat rule to exit same day close (using daily data) May 13, 2012 Brian G. Peterson quanstrat rule to exit same day close (using daily data) May 15, 2012 Brian G. Peterson blotter: updatePortf Error in call to updatePosPL when instrument has no price May 15, 2012 Brian G. Peterson Is there a bug in Return.calculate function of the PerformanceAnalytics package? May 15, 2012 Brian G. Peterson mark random rows of xts object May 17, 2012 Brian G. Peterson look at the underlying source code May 17, 2012 Brian G. Peterson IBrokers - reqOpenOrders and placeOrder not working May 21, 2012 Brian G. Peterson plotting with dates May 26, 2012

Cedrick Johnson

Last active: May 27, 2012
2 msgs
Cedrick Johnson Enhancements to getSymbols.MySQL May 14, 2012 Cedrick Johnson Methods of installing R on Linux May 27, 2012

Chao Zhang

Last active: May 30, 2012
1 msg
Chao Zhang Rbbg/RBloomberg Having Trouble to Downloan Tick Data May 30, 2012

Chuck

Last active: May 25, 2012
1 msg
Chuck 2 time/date columns to one May 25, 2012

Costas Vorlow

Last active: May 25, 2012
2 msgs
Costas Vorlow 2 time/date columns to one May 25, 2012 Costas Vorlow 2 time/date columns to one May 25, 2012

Dale W.R. Rosenthal

Last active: May 10, 2012
1 msg
Dale W.R. Rosenthal R-SIG-Finance Digest, Vol 96, Issue 10 May 10, 2012

Daniel Cegiełka

Last active: May 22, 2012
2 msgs
Daniel Cegiełka Spread discovery and backtester code May 22, 2012 Daniel Cegiełka Spread discovery and backtester code May 22, 2012

David Reiner

Last active: May 14, 2012
3 msgs
David Reiner - self-fulfilling prophecies in financial study - Email found in subject May 9, 2012 David Reiner - Re: 1 minute time interval in Bloomberg - Email found in subject May 14, 2012 David Reiner - Re: [SPAM] - Re: 1 minute time interval in Bloomberg - Email found in subject - Email found in subject May 14, 2012

David-Michael Lincke

Last active: May 9, 2012
2 msgs
David-Michael Lincke stripping holidays from timeSeries() class time series May 9, 2012 David-Michael Lincke stripping holidays from timeSeries() class time series May 9, 2012

Db

Last active: May 29, 2012
1 msg
Db quantmod, mfrow, plot question May 29, 2012

Dirk Eddelbuettel

Last active: May 2, 2012
1 msg
Dirk Eddelbuettel Efficiency of data.frame to xts conversion May 2, 2012

Edouard Tallent

Last active: May 4, 2012
1 msg
Edouard Tallent Generating a front month only Time Series May 4, 2012

Eric Thungstom

Last active: May 26, 2012
1 msg
Eric Thungstom plotting with dates May 26, 2012

G See

Last active: May 23, 2012
20 msgs
G See quantstrat with intraday data May 2, 2012 G See quantstrat with intraday data May 2, 2012 G See quantstrat with intraday data May 3, 2012 G See SMA and TTR May 3, 2012 G See Generating a front month only Time Series for Futures Prices May 3, 2012 G See Generating a front month only Time Series for Futures Prices May 3, 2012 G See Generating a front month only Time Series for Futures Prices May 3, 2012 G See Generating a front month only Time Series for Futures Prices May 3, 2012 G See Generating a front month only Time Series for Futures Prices May 3, 2012 G See Generating a front month only Time Series for Futures Prices May 4, 2012 G See object .blotter not found May 6, 2012 G See Generating a front month only Time Series for Futures Prices May 10, 2012 G See Generating a front month only Time Series for Futures Prices May 10, 2012 G See IBrokers - reqOpenOrders and placeOrder not working anymore May 11, 2012 G See IBrokers - reqOpenOrders and placeOrder not working anymore May 11, 2012 G See moving averages on specific interval and merge May 12, 2012 G See quanstrat rule to exit same day close (using daily data) May 13, 2012 G See quanstrat rule to exit same day close (using daily data) May 13, 2012 G See IBrokers - reqOpenOrders and placeOrder not working anymore May 17, 2012 G See Can't addMACD(). Is it a bug? May 23, 2012

Geoffrey Smith

Last active: May 16, 2012
2 msgs
Geoffrey Smith regression by ticker (panel data) May 9, 2012 Geoffrey Smith writing a loop May 16, 2012

Gmail

Last active: May 15, 2012
1 msg
Gmail rmgarch arguments May 15, 2012

Gordon Erlebacher

Last active: May 31, 2012
7 msgs
Gordon Erlebacher Efficiency of data.frame to xts conversion May 2, 2012 Gordon Erlebacher SMA and TTR May 3, 2012 Gordon Erlebacher question on add_TA May 3, 2012 Gordon Erlebacher stoch function May 5, 2012 Gordon Erlebacher candle charting on MacosX Lion May 24, 2012 Gordon Erlebacher Vertical lines in chart_Series May 31, 2012 Gordon Erlebacher contribution: chart_Series with vertical/horizontal lines May 31, 2012

Hideyoshi Maeda

Last active: May 21, 2012
1 msg
Hideyoshi Maeda error in yang.zhang volatility{TTR} May 21, 2012

Ivette

Last active: May 2, 2012
1 msg
Ivette calibration of GARCH models to futures data May 2, 2012

James

Last active: May 30, 2012
4 msgs
James error in yang.zhang volatility{TTR} May 21, 2012 James error in yang.zhang volatility{TTR} May 21, 2012 James error in yang.zhang volatility{TTR} May 22, 2012 James error in yang.zhang volatility{TTR} May 30, 2012

Jeff Ryan

Last active: May 22, 2012
8 msgs
Jeff Ryan Time indexation after selection in an xts object May 1, 2012 Jeff Ryan ChartSeries - Quantmod May 7, 2012 Jeff Ryan stripping holidays from timeSeries() class time series May 9, 2012 Jeff Ryan IBrokers - reqOpenOrders and placeOrder not working anymore May 11, 2012 Jeff Ryan Enhancements to getSymbols.MySQL May 14, 2012 Jeff Ryan IBrokers: issues with combo contracts May 17, 2012 Jeff Ryan Spread discovery and backtester code May 22, 2012 Jeff Ryan Spread discovery and backtester code May 22, 2012

Jim Green

Last active: May 17, 2012
7 msgs
Jim Green quantstrat with intraday data May 1, 2012 Jim Green quantstrat with intraday data May 2, 2012 Jim Green quantstrat with intraday data May 2, 2012 Jim Green moving averages on specific interval and merge May 10, 2012 Jim Green Guy's example osFixedDollar not working in latest quantstrat May 10, 2012 Jim Green moving averages on specific interval and merge May 12, 2012 Jim Green moving averages on specific interval and merge May 17, 2012

Johanna Slomp

Last active: May 27, 2012
3 msgs
Johanna Slomp power ewma May 11, 2012 Johanna Slomp Power EWMA with R May 15, 2012 Johanna Slomp ugarchforecast May 27, 2012

John Kerpel

Last active: May 2, 2012
2 msgs
John Kerpel Back test report in Rugarch May 2, 2012 John Kerpel Back test report in Rugarch May 2, 2012

John Laing

Last active: May 30, 2012
3 msgs
John Laing 1 minute time interval in Bloomberg May 14, 2012 John Laing RBloomberg package rename May 21, 2012 John Laing Rbbg/RBloomberg Having Trouble to Downloan Tick Data May 30, 2012

Jorge Nieves

Last active: May 15, 2012
1 msg
Jorge Nieves Is there a bug in Return.calculate function of the PerformanceAnalytics package? May 15, 2012

Joshua Ulrich

Last active: May 29, 2012
9 msgs
Joshua Ulrich Time indexation after selection in an xts object May 1, 2012 Joshua Ulrich Time indexation after selection in an xts object May 1, 2012 Joshua Ulrich stripping holidays from timeSeries() class time series May 9, 2012 Joshua Ulrich What does mean MidTau in Nelson-Siegel's model? May 12, 2012 Joshua Ulrich quantmod, determine if ADR May 12, 2012 Joshua Ulrich look at the underlying source code May 17, 2012 Joshua Ulrich IBrokers - reqOpenOrders and placeOrder not working May 21, 2012 Joshua Ulrich Spread discovery and backtester code May 22, 2012 Joshua Ulrich error in yang.zhang volatility{TTR} May 29, 2012

Juan José Fernández García

Last active: May 31, 2012
6 msgs
Juan José Fernández García RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 28, 2012 Juan José Fernández García RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 28, 2012 Juan José Fernández García RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 28, 2012 Juan José Fernández García RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 31, 2012 Juan José Fernández García RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 31, 2012 Juan José Fernández García RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 31, 2012

Julien Hambuckers

Last active: May 7, 2012
2 msgs
Julien Hambuckers Standardization of GH distribution May 5, 2012 Julien Hambuckers Standardization of GH distribution May 7, 2012

Julien Hébert-Nguyen

Last active: May 9, 2012
1 msg
Julien Hébert-Nguyen Quantstrat macross demo - Stops/Reverse strategy May 9, 2012

Karim

Last active: May 1, 2012
3 msgs
Karim Time indexation after selection in an xts object May 1, 2012 Karim Time indexation after selection in an xts object May 1, 2012 Karim Time indexation after selection in an xts object May 1, 2012

Kent Russell

Last active: May 26, 2012
1 msg
Kent Russell plotting with dates May 26, 2012

Marcus Felker

Last active: May 2, 2012
1 msg
Marcus Felker One week to R/Finance May 2, 2012

Mark Harrison

Last active: May 13, 2012
3 msgs
Mark Harrison IBrokers and fill Price May 6, 2012 Mark Harrison IBrokers and fill Price May 8, 2012 Mark Harrison Linux and IBrokers May 13, 2012

Matthieu Stigler

Last active: May 15, 2012
1 msg
Matthieu Stigler self-fulfilling prophecies in financial study May 15, 2012

Me

Last active: May 22, 2012
5 msgs
Me Quantstrat - Error while applying strategy May 5, 2012 Me IBrokers and fill Price May 7, 2012 Me IBrokers and fill Price May 8, 2012 Me self-fulfilling prophecies in financial study May 9, 2012 Me Spread discovery and backtester code May 22, 2012

Mikko Kauppila

Last active: May 29, 2012
1 msg
Mikko Kauppila Rbbg Java out-of-heap-space error (potential cause: response_cache) May 29, 2012

Minerva Mora

Last active: May 22, 2012
2 msgs
Minerva Mora What does mean MidTau in Nelson-Siegel's model? May 9, 2012 Minerva Mora What does mean MidTau in Nelson-Siegel's model? May 22, 2012

Nick

Last active: May 30, 2012
2 msgs
Nick RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 28, 2012 Nick Rbbg/RBloomberg Having Trouble to Downloan Tick Data May 30, 2012

Nitish Ranjan

Last active: May 9, 2012
2 msgs
Nitish Ranjan self-fulfilling prophecies in financial study May 9, 2012 Nitish Ranjan self-fulfilling prophecies in financial study May 9, 2012

OpenTrades

Last active: May 16, 2012
2 msgs
OpenTrades quanstrat rule to exit same day close (using daily data) May 13, 2012 OpenTrades quanstrat rule to exit same day close (using daily data) May 16, 2012

Papa sen

Last active: May 9, 2012
5 msgs
Papa sen Back test report in Rugarch May 2, 2012 Papa sen Back test report in Rugarch May 2, 2012 Papa sen Back test report in Rugarch May 2, 2012 Papa sen Back test report in Rugarch May 2, 2012 Papa sen VaR output using rugarch via Bactest report May 9, 2012

Peter Chan

Last active: May 6, 2012
3 msgs
Peter Chan Blotter - failed to build May 4, 2012 Peter Chan object .blotter not found May 5, 2012 Peter Chan object .blotter not found May 6, 2012

R. Michael Weylandt

Last active: May 28, 2012
5 msgs
R. Michael Weylandt Time indexation after selection in an xts object May 1, 2012 R. Michael Weylandt Can't addMACD(). Is it a bug? May 22, 2012 R. Michael Weylandt 2 time/date columns to one May 25, 2012 R. Michael Weylandt 2 time/date columns to one May 25, 2012 R. Michael Weylandt RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 28, 2012

Richard Herron

Last active: May 9, 2012
6 msgs
Richard Herron panel data in R May 5, 2012 Richard Herron panel data in R May 5, 2012 Richard Herron panel data in R May 5, 2012 Richard Herron panel data in R May 6, 2012 Richard Herron self-fulfilling prophecies in financial study May 9, 2012 Richard Herron self-fulfilling prophecies in financial study May 9, 2012

Robert Iquiapaza

Last active: May 9, 2012
1 msg
Robert Iquiapaza - self-fulfilling prophecies in financial study - Email found in subject May 9, 2012

S

Last active: May 15, 2012
4 msgs
S quanstrat rule to exit same day close (using daily data) May 12, 2012 S quanstrat rule to exit same day close (using daily data) May 13, 2012 S quanstrat rule to exit same day close (using daily data) May 15, 2012 S blotter: updatePortf Error in call to updatePosPL when instrument has no price May 15, 2012

Stanley Neo

Last active: May 1, 2012
1 msg
Stanley Neo Help! NAs and errors in ugarchfit ... May 1, 2012

Sávio M. Ramos

Last active: May 22, 2012
1 msg
Sávio M. Ramos Can't addMACD(). Is it a bug? May 22, 2012

Sávio Ramos

Last active: May 23, 2012
1 msg
Sávio Ramos Can't addMACD(). Is it a bug? May 23, 2012

ThomasF

Last active: May 3, 2012
2 msgs
ThomasF Rugarch for EWMA/VaR May 3, 2012 ThomasF Rugarch for EWMA/VaR May 3, 2012

Wei-han Liu

Last active: May 9, 2012
1 msg
Wei-han Liu self-fulfilling prophecies in financial study May 9, 2012

Whit Armstrong

Last active: May 22, 2012
1 msg
Whit Armstrong Spread discovery and backtester code May 22, 2012

Worik Stanton

Last active: May 27, 2012
1 msg
Worik Stanton Methods of installing R on Linux May 27, 2012

Xiaoxiao Shi

Last active: May 25, 2012
1 msg
Xiaoxiao Shi 2 time/date columns to one May 25, 2012

bhavna

Last active: May 5, 2012
2 msgs
bhavna Quantstrat - Error while applying strategy May 4, 2012 bhavna Quantstrat - Error while applying strategy May 5, 2012

golam sakline

Last active: May 7, 2012
1 msg
golam sakline ChartSeries - Quantmod May 7, 2012

gussinsky

Last active: May 5, 2012
7 msgs
gussinsky Generating a front month only Time Series for Futures Prices May 3, 2012 gussinsky Generating a front month only Time Series for Futures Prices May 3, 2012 gussinsky Generating a front month only Time Series for Futures Prices May 4, 2012 gussinsky Cant get this Quantstrat going, May 4, 2012 gussinsky Cant get this Quantstrat going, May 4, 2012 gussinsky Cant get this Quantstrat going, May 5, 2012 gussinsky Cant get this Quantstrat going, May 5, 2012

jaimie villanueva

Last active: May 22, 2012
5 msgs
jaimie villanueva About rugarch (message to alexios) May 17, 2012 jaimie villanueva look at the underlying source code May 17, 2012 jaimie villanueva arfimafit issue May 20, 2012 jaimie villanueva garchFit issue May 22, 2012 jaimie villanueva Help with armaFit function May 22, 2012

jim green

Last active: May 4, 2012
2 msgs
jim green Handling half hourly data from electricity markets May 1, 2012 jim green Blotter - failed to build May 4, 2012

julien cuisinier

Last active: May 31, 2012
5 msgs
julien cuisinier look at the underlying source code May 17, 2012 julien cuisinier RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 28, 2012 julien cuisinier RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 28, 2012 julien cuisinier RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 28, 2012 julien cuisinier RBLOOMBERG--conn=blpConnect(iface="COM") PROBLEMS May 31, 2012

krisan haria

Last active: May 14, 2012
2 msgs
krisan haria issue on data import to pgAdminIII May 2, 2012 krisan haria 1 minute time interval in Bloomberg May 14, 2012

linpack

Last active: May 23, 2012
2 msgs
linpack estimation difference between ugarchroll and ugarchfit‏ May 23, 2012 linpack estimation difference between ugarchroll and ugarchfit‏ May 23, 2012

mail at chrisbird.com

Last active: May 22, 2012
3 msgs
mail at chrisbird.com Spread discovery and backtester code May 22, 2012 mail at chrisbird.com Spread discovery and backtester code May 22, 2012 mail at chrisbird.com Spread discovery and backtester code May 22, 2012

matt at considine.net

Last active: May 14, 2012
2 msgs
matt at considine.net Q re: running the Workshop 2010 script May 11, 2012 matt at considine.net Q re: running Workshop 2010 script May 14, 2012

omerle

Last active: May 21, 2012
4 msgs
omerle IBrokers - reqOpenOrders and placeOrder not working anymore May 11, 2012 omerle IBrokers - reqOpenOrders and placeOrder not working anymore May 17, 2012 omerle IBrokers - reqOpenOrders and placeOrder not working May 21, 2012 omerle IBrokers - reqOpenOrders and placeOrder not working May 21, 2012

rahul deora

Last active: May 20, 2012
1 msg
rahul deora Problem in convert function of RTAQ package for high frequency data May 20, 2012

zazzo89

Last active: May 19, 2012
1 msg
zazzo89 AON corporation option pricing May 19, 2012