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R-SIG-Finance September 2012

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Multi-factor GARCH model
2 msgs
Serdar Neslihanoglu Multi-factor GARCH model Sep 28, 2012
Brian G. Peterson Multi-factor GARCH model Sep 28, 2012
"Multivariate Garch" Package in r
2 msgs
Serdar Neslihanoglu "Multivariate Garch" Package in r Sep 28, 2012
Brian G. Peterson "Multivariate Garch" Package in r Sep 28, 2012
Coercing LHS to a list
3 msgs
sean fallon Coercing LHS to a list Sep 27, 2012
rex Coercing LHS to a list Sep 27, 2012
sean fallon Coercing LHS to a list Sep 27, 2012
Intraday interval data from Bloomberg
3 msgs
R. Ben-David Intraday interval data from Bloomberg Sep 26, 2012
John Laing Intraday interval data from Bloomberg Sep 26, 2012
R. Ben-David Intraday interval data from Bloomberg Sep 27, 2012
quanstrat: stop trailing with variable stops size
6 msgs
Brian Moretta quanstrat: stop trailing with variable stops size Sep 21, 2012
Brian G. Peterson quanstrat: stop trailing with variable stops size Sep 21, 2012
Brian Moretta quanstrat: stop trailing with variable stops size Sep 25, 2012
OpenTrades quanstrat: stop trailing with variable stops size Sep 26, 2012
Brian Moretta quanstrat: stop trailing with variable stops size Sep 27, 2012
OpenTrades quanstrat: stop trailing with variable stops size Sep 27, 2012
Comparing pvalues in ADF test in Gretl fUnitRoots and Eviews
1 msg
JOSE FRANCISCO PERLES RIBES Comparing pvalues in ADF test in Gretl fUnitRoots and Eviews Sep 27, 2012
Reversing date order in CSV file
6 msgs
sean fallon Reversing date order in CSV file Sep 26, 2012
rex Reversing date order in CSV file Sep 26, 2012
sean fallon Reversing date order in CSV file Sep 26, 2012
sean fallon Coercing LHS to a list Sep 26, 2012
rex Coercing LHS to a list Sep 27, 2012
sean fallon Coercing LHS to a list Sep 27, 2012
Market data playback from IBrokers
1 msg
Qiang Wang Market data playback from IBrokers Sep 26, 2012
Backtesting (Kupiec) and Measure Stock's Portoflio using EVT
1 msg
Eko andryanto Prakasa Backtesting (Kupiec) and Measure Stock's Portoflio using EVT Sep 26, 2012
help on creating 5 minutes bars
6 msgs
Chris de Bleu help on creating 5 minutes bars Sep 24, 2012
R. Michael Weylandt help on creating 5 minutes bars Sep 24, 2012
OpenTrades help on creating 5 minutes bars Sep 24, 2012
Chris de Bleu help on creating 5 minutes bars Sep 24, 2012
R. Michael Weylandt help on creating 5 minutes bars Sep 24, 2012
Chris de Bleu help on creating 5 minutes bars Sep 24, 2012
quantstrat demo error
3 msgs
该走了 quantstrat demo error Sep 22, 2012
该走了 quantstrat demo error Sep 22, 2012
Brian G. Peterson quantstrat demo error Sep 23, 2012
Problem with updatePortf
5 msgs
Worik Stanton Problem with updatePortf Sep 20, 2012
G See Problem with updatePortf Sep 20, 2012
Worik Stanton Problem with updatePortf Sep 20, 2012
G See Problem with updatePortf Sep 20, 2012
Worik Stanton Problem with updatePortf Sep 20, 2012
adjustOHLC discrepancy
7 msgs
Jim Green adjustOHLC discrepancy Sep 18, 2012
Joshua Ulrich adjustOHLC discrepancy Sep 18, 2012
Jim Green adjustOHLC discrepancy Sep 18, 2012
Jim Green adjustOHLC discrepancy Sep 19, 2012
sean fallon ABS value calculation for ATR use Sep 20, 2012
Zachary Mayer ABS value calculation for ATR use Sep 20, 2012
Jeff Ryan ABS value calculation for ATR use Sep 20, 2012
UBS looking for a quantitative analyst
1 msg
david.jessop at ubs.com UBS looking for a quantitative analyst Sep 20, 2012
About Garch models
2 msgs
Patrick Burns About Garch models Sep 18, 2012
Alexios Ghalanos About Garch models Sep 18, 2012
rugarch package "Warning Message" for GARCH-Normal
2 msgs
Serdar Neslihanoglu rugarch package "Warning Message" for GARCH-Normal Sep 18, 2012
Alexios Ghalanos rugarch package "Warning Message" for GARCH-Normal Sep 18, 2012
Removing instruments...
2 msgs
Worik Stanton Removing instruments... Sep 17, 2012
G See Removing instruments... Sep 18, 2012
About Garch models
2 msgs
jaimie villanueva About Garch models Sep 18, 2012
Patrick Burns About Garch models Sep 18, 2012
Trouble with getSymbols.csv
2 msgs
Worik Stanton Trouble with getSymbols.csv Sep 17, 2012
G See Trouble with getSymbols.csv Sep 17, 2012
Problems with time format and read.csv()
5 msgs
Costas Vorlow Problems with time format and read.csv() Sep 17, 2012
Joshua Ulrich Problems with time format and read.csv() Sep 17, 2012
Dave Problems with time format and read.csv() Sep 17, 2012
Joshua Ulrich Problems with time format and read.csv() Sep 17, 2012
Costas Vorlow Problems with time format and read.csv() Sep 17, 2012
Help with getSymbols from csv data file
1 msg
Jim Green Help with getSymbols from csv data file Sep 15, 2012
Any R api's available to do modelling with MM algos or portfolio weights?
1 msg
Pie T Any R api's available to do modelling with MM algos or portfolio weights? Sep 15, 2012
Aggregating tick-by-tick data to seconds
4 msgs
Costas Vorlow Aggregating tick-by-tick data to seconds Sep 15, 2012
R. Michael Weylandt Aggregating tick-by-tick data to seconds Sep 15, 2012
G See Aggregating tick-by-tick data to seconds Sep 15, 2012
Jeff Ryan Aggregating tick-by-tick data to seconds Sep 15, 2012
Comparing pvalues in ADF test in Gretl fUnitroots and Eviews
1 msg
JOSE FRANCISCO PERLES RIBES Comparing pvalues in ADF test in Gretl fUnitroots and Eviews Sep 15, 2012
Comparing pvalues in ADF test in Gretl, fUnitRoots and Eviews
1 msg
Stefan Janse van Rensburg Comparing pvalues in ADF test in Gretl, fUnitRoots and Eviews Sep 14, 2012
Comparing pvalues in ADF test in Gretl fUnitRoots and Eviews
1 msg
JOSE FRANCISCO PERLES RIBES Comparing pvalues in ADF test in Gretl fUnitRoots and Eviews Sep 13, 2012
Backtesting Suite which can show profit/loss by time (drilldown by N time intervals)
5 msgs
Dave Backtesting Suite which can show profit/loss by time (drilldown by N time intervals) Sep 12, 2012
Brian G. Peterson Backtesting Suite which can show profit/loss by time (drilldown by N time intervals) Sep 12, 2012
Dave Backtesting Suite which can show profit/loss by time (drilldown by N time intervals) Sep 12, 2012
Ilya Kipnis Backtesting Suite which can show profit/loss by time (drilldown by N time intervals) Sep 12, 2012
OpenTrades Backtesting Suite which can show profit/loss by time (drilldown by N time intervals) Sep 12, 2012
Stand Alone eSignal or DTN Connector
1 msg
Dave Stand Alone eSignal or DTN Connector Sep 12, 2012
Example using Galgo to Optimize Parameters
7 msgs
Dave Example using Galgo to Optimize Parameters Sep 11, 2012
Ulrich Staudinger Example using Galgo to Optimize Parameters Sep 11, 2012
Dave Example using Galgo to Optimize Parameters Sep 11, 2012
Ulrich Staudinger Example using Galgo to Optimize Parameters Sep 11, 2012
Dave Example using Galgo to Optimize Parameters Sep 11, 2012
Patrick Burns Example using Galgo to Optimize Parameters Sep 12, 2012
Dave Example using Galgo to Optimize Parameters Sep 12, 2012
Rbbg package's CONNECTION_FAILURE
2 msgs
Robert A'gata Rbbg package's CONNECTION_FAILURE Sep 8, 2012
John Laing Rbbg package's CONNECTION_FAILURE Sep 11, 2012
I am using the quantmod package (http://www.quantmod.com) and, using getSymbols,
2 msgs
Jean-Victor Côté I am using the quantmod package (http://www.quantmod.com) and, using getSymbols, Sep 9, 2012
G See I am using the quantmod package (http://www.quantmod.com) and, using getSymbols, Sep 9, 2012
Performance Analytics table.AnnualizedReturns
3 msgs
Nikos Rachmanis Performance Analytics table.AnnualizedReturns Sep 6, 2012
varcovar Performance Analytics table.AnnualizedReturns Sep 7, 2012
Joshua Ulrich Performance Analytics table.AnnualizedReturns Sep 8, 2012
Dynamic Charting of Technical Indicators
1 msg
Andreas Swoboda Dynamic Charting of Technical Indicators Sep 7, 2012
Dynamic Charting of Technical Indicators
2 msgs
Andreas Swoboda Dynamic Charting of Technical Indicators Sep 7, 2012
Brian G. Peterson Dynamic Charting of Technical Indicators Sep 7, 2012
sufficient n for a binomial option pricing model
3 msgs
James sufficient n for a binomial option pricing model Sep 6, 2012
Smith, Dale (Norcross) sufficient n for a binomial option pricing model Sep 6, 2012
James sufficient n for a binomial option pricing model Sep 6, 2012
Equities Data
27 msgs
Ralph Vince Equities Data Sep 5, 2012
Jun Zhu Equities Data Sep 5, 2012
julien cuisinier Equities Data Sep 6, 2012
sidharth mallik Equities Data Sep 6, 2012
FJ M Equities Data Sep 6, 2012
Ralph Vince Equities Data Sep 6, 2012
Ralph Vince Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
Ralph Vince Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
Ralph Vince Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
Brian G. Peterson Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
Ralph Vince Equities Data Sep 6, 2012
Jeff Ryan Equities Data Sep 6, 2012
Ulrich Staudinger Equities Data Sep 6, 2012
Ralph Vince Equities Data Sep 6, 2012
Ralph Vince Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
Ralph Vince Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
Ralph Vince Equities Data Sep 6, 2012
G See Equities Data Sep 6, 2012
Performance Analytics Calendar Returns
7 msgs
Nikos Rachmanis Performance Analytics Calendar Returns Sep 3, 2012
Krishna Kumar Performance Analytics Calendar Returns Sep 4, 2012
Nikos Rachmanis Performance Analytics Calendar Returns Sep 4, 2012
pie trader Performance Analytics Calendar Returns Sep 5, 2012
G See Performance Analytics Calendar Returns Sep 5, 2012
Pie T Performance Analytics Calendar Returns Sep 5, 2012
Nikos Rachmanis Performance Analytics Calendar Returns Sep 5, 2012
blotter updatePortf issue..
2 msgs
pie trader blotter updatePortf issue.. Sep 3, 2012
Doug Edmunds blotter updatePortf issue.. Sep 5, 2012
blotter updatePortf issue..
9 msgs
pie trader blotter updatePortf issue.. Sep 2, 2012
Me blotter updatePortf issue.. Sep 2, 2012
pie trader blotter updatePortf issue.. Sep 3, 2012
pie trader blotter updatePortf issue.. Sep 3, 2012
G See blotter updatePortf issue.. Sep 3, 2012
Me blotter updatePortf issue.. Sep 3, 2012
pie trader blotter updatePortf issue.. Sep 3, 2012
Doug Edmunds blotter updatePortf issue.. Sep 5, 2012
pie trader blotter updatePortf issue.. Sep 5, 2012
EGARCH on Rexcel
1 msg
Ankit Mital EGARCH on Rexcel Sep 5, 2012
RBloomberg package
4 msgs
Robert A'gata RBloomberg package Sep 3, 2012
rex RBloomberg package Sep 3, 2012
Nick RBloomberg package Sep 3, 2012
Nick RBloomberg package Sep 3, 2012
A question on VaR
2 msgs
Christofer Bogaso A question on VaR Sep 3, 2012
Nick A question on VaR Sep 3, 2012
RBloomberg package
1 msg
Robert A'gata RBloomberg package Sep 3, 2012
A question about function: dccsim in rmgarch package
2 msgs
cai zhu A question about function: dccsim in rmgarch package Sep 3, 2012
Alexios Ghalanos A question about function: dccsim in rmgarch package Sep 3, 2012
R-SIG-Finance Digest, Vol 100, Issue 2
1 msg
Matthew Johnson R-SIG-Finance Digest, Vol 100, Issue 2 Sep 2, 2012
Incomplete Forward Curve
1 msg
Rory Winston Incomplete Forward Curve Sep 2, 2012
Incomplete Forward Curve
1 msg
Christofer Bogaso Incomplete Forward Curve Sep 1, 2012