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R-SIG-Finance September 2012

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Alexios Ghalanos

Last active: Sep 18, 2012
3 msgs
Alexios Ghalanos A question about function: dccsim in rmgarch package Sep 3, 2012 Alexios Ghalanos rugarch package "Warning Message" for GARCH-Normal Sep 18, 2012 Alexios Ghalanos About Garch models Sep 18, 2012

Andreas Swoboda

Last active: Sep 7, 2012
2 msgs
Andreas Swoboda Dynamic Charting of Technical Indicators Sep 7, 2012 Andreas Swoboda Dynamic Charting of Technical Indicators Sep 7, 2012

Ankit Mital

Last active: Sep 5, 2012
1 msg
Ankit Mital EGARCH on Rexcel Sep 5, 2012

Brian G. Peterson

Last active: Sep 28, 2012
7 msgs
Brian G. Peterson Equities Data Sep 6, 2012 Brian G. Peterson Dynamic Charting of Technical Indicators Sep 7, 2012 Brian G. Peterson Backtesting Suite which can show profit/loss by time (drilldown by N time intervals) Sep 12, 2012 Brian G. Peterson quanstrat: stop trailing with variable stops size Sep 21, 2012 Brian G. Peterson quantstrat demo error Sep 23, 2012 Brian G. Peterson "Multivariate Garch" Package in r Sep 28, 2012 Brian G. Peterson Multi-factor GARCH model Sep 28, 2012

Brian Moretta

Last active: Sep 27, 2012
3 msgs
Brian Moretta quanstrat: stop trailing with variable stops size Sep 21, 2012 Brian Moretta quanstrat: stop trailing with variable stops size Sep 25, 2012 Brian Moretta quanstrat: stop trailing with variable stops size Sep 27, 2012

Chris de Bleu

Last active: Sep 24, 2012
3 msgs
Chris de Bleu help on creating 5 minutes bars Sep 24, 2012 Chris de Bleu help on creating 5 minutes bars Sep 24, 2012 Chris de Bleu help on creating 5 minutes bars Sep 24, 2012

Christofer Bogaso

Last active: Sep 3, 2012
2 msgs
Christofer Bogaso Incomplete Forward Curve Sep 1, 2012 Christofer Bogaso A question on VaR Sep 3, 2012

Costas Vorlow

Last active: Sep 17, 2012
3 msgs
Costas Vorlow Aggregating tick-by-tick data to seconds Sep 15, 2012 Costas Vorlow Problems with time format and read.csv() Sep 17, 2012 Costas Vorlow Problems with time format and read.csv() Sep 17, 2012

Dave

Last active: Sep 17, 2012
8 msgs
Dave Example using Galgo to Optimize Parameters Sep 11, 2012 Dave Example using Galgo to Optimize Parameters Sep 11, 2012 Dave Example using Galgo to Optimize Parameters Sep 11, 2012 Dave Example using Galgo to Optimize Parameters Sep 12, 2012 Dave 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 Dave Stand Alone eSignal or DTN Connector Sep 12, 2012 Dave Problems with time format and read.csv() Sep 17, 2012

Doug Edmunds

Last active: Sep 5, 2012
2 msgs
Doug Edmunds blotter updatePortf issue.. Sep 5, 2012 Doug Edmunds blotter updatePortf issue.. Sep 5, 2012

Eko andryanto Prakasa

Last active: Sep 26, 2012
1 msg
Eko andryanto Prakasa Backtesting (Kupiec) and Measure Stock's Portoflio using EVT Sep 26, 2012

FJ M

Last active: Sep 6, 2012
1 msg
FJ M Equities Data Sep 6, 2012

G See

Last active: Sep 20, 2012
18 msgs
G See blotter updatePortf issue.. Sep 3, 2012 G See Performance Analytics Calendar Returns Sep 5, 2012 G See 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 G See 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 G See Equities Data Sep 6, 2012 G See Equities Data Sep 6, 2012 G See I am using the quantmod package (http://www.quantmod.com) and, using getSymbols, Sep 9, 2012 G See Aggregating tick-by-tick data to seconds Sep 15, 2012 G See Trouble with getSymbols.csv Sep 17, 2012 G See Removing instruments... Sep 18, 2012 G See Problem with updatePortf Sep 20, 2012 G See Problem with updatePortf Sep 20, 2012

Ilya Kipnis

Last active: Sep 12, 2012
1 msg
Ilya Kipnis Backtesting Suite which can show profit/loss by time (drilldown by N time intervals) Sep 12, 2012

JOSE FRANCISCO PERLES RIBES

Last active: Sep 27, 2012
3 msgs
JOSE FRANCISCO PERLES RIBES Comparing pvalues in ADF test in Gretl fUnitRoots and Eviews Sep 13, 2012 JOSE FRANCISCO PERLES RIBES Comparing pvalues in ADF test in Gretl fUnitroots and Eviews Sep 15, 2012 JOSE FRANCISCO PERLES RIBES Comparing pvalues in ADF test in Gretl fUnitRoots and Eviews Sep 27, 2012

James

Last active: Sep 6, 2012
2 msgs
James sufficient n for a binomial option pricing model Sep 6, 2012 James sufficient n for a binomial option pricing model Sep 6, 2012

Jean-Victor Côté

Last active: Sep 9, 2012
1 msg
Jean-Victor Côté I am using the quantmod package (http://www.quantmod.com) and, using getSymbols, Sep 9, 2012

Jeff Ryan

Last active: Sep 20, 2012
3 msgs
Jeff Ryan Equities Data Sep 6, 2012 Jeff Ryan Aggregating tick-by-tick data to seconds Sep 15, 2012 Jeff Ryan ABS value calculation for ATR use Sep 20, 2012

Jim Green

Last active: Sep 19, 2012
4 msgs
Jim Green Help with getSymbols from csv data file Sep 15, 2012 Jim Green adjustOHLC discrepancy Sep 18, 2012 Jim Green adjustOHLC discrepancy Sep 18, 2012 Jim Green adjustOHLC discrepancy Sep 19, 2012

John Laing

Last active: Sep 26, 2012
2 msgs
John Laing Rbbg package's CONNECTION_FAILURE Sep 11, 2012 John Laing Intraday interval data from Bloomberg Sep 26, 2012

Joshua Ulrich

Last active: Sep 18, 2012
4 msgs
Joshua Ulrich Performance Analytics table.AnnualizedReturns Sep 8, 2012 Joshua Ulrich Problems with time format and read.csv() Sep 17, 2012 Joshua Ulrich Problems with time format and read.csv() Sep 17, 2012 Joshua Ulrich adjustOHLC discrepancy Sep 18, 2012

Jun Zhu

Last active: Sep 5, 2012
1 msg
Jun Zhu Equities Data Sep 5, 2012

Krishna Kumar

Last active: Sep 4, 2012
1 msg
Krishna Kumar Performance Analytics Calendar Returns Sep 4, 2012

Matthew Johnson

Last active: Sep 2, 2012
1 msg
Matthew Johnson R-SIG-Finance Digest, Vol 100, Issue 2 Sep 2, 2012

Me

Last active: Sep 3, 2012
2 msgs
Me blotter updatePortf issue.. Sep 2, 2012 Me blotter updatePortf issue.. Sep 3, 2012

Nick

Last active: Sep 3, 2012
3 msgs
Nick A question on VaR Sep 3, 2012 Nick RBloomberg package Sep 3, 2012 Nick RBloomberg package Sep 3, 2012

Nikos Rachmanis

Last active: Sep 6, 2012
4 msgs
Nikos Rachmanis Performance Analytics Calendar Returns Sep 3, 2012 Nikos Rachmanis Performance Analytics Calendar Returns Sep 4, 2012 Nikos Rachmanis Performance Analytics Calendar Returns Sep 5, 2012 Nikos Rachmanis Performance Analytics table.AnnualizedReturns Sep 6, 2012

OpenTrades

Last active: Sep 27, 2012
4 msgs
OpenTrades Backtesting Suite which can show profit/loss by time (drilldown by N time intervals) Sep 12, 2012 OpenTrades help on creating 5 minutes bars Sep 24, 2012 OpenTrades quanstrat: stop trailing with variable stops size Sep 26, 2012 OpenTrades quanstrat: stop trailing with variable stops size Sep 27, 2012

Patrick Burns

Last active: Sep 18, 2012
3 msgs
Patrick Burns Example using Galgo to Optimize Parameters Sep 12, 2012 Patrick Burns About Garch models Sep 18, 2012 Patrick Burns About Garch models Sep 18, 2012

Pie T

Last active: Sep 15, 2012
2 msgs
Pie T Performance Analytics Calendar Returns Sep 5, 2012 Pie T Any R api's available to do modelling with MM algos or portfolio weights? Sep 15, 2012

Qiang Wang

Last active: Sep 26, 2012
1 msg
Qiang Wang Market data playback from IBrokers Sep 26, 2012

R. Ben-David

Last active: Sep 27, 2012
2 msgs
R. Ben-David Intraday interval data from Bloomberg Sep 26, 2012 R. Ben-David Intraday interval data from Bloomberg Sep 27, 2012

R. Michael Weylandt

Last active: Sep 24, 2012
3 msgs
R. Michael Weylandt Aggregating tick-by-tick data to seconds Sep 15, 2012 R. Michael Weylandt help on creating 5 minutes bars Sep 24, 2012 R. Michael Weylandt help on creating 5 minutes bars Sep 24, 2012

Ralph Vince

Last active: Sep 6, 2012
10 msgs
Ralph Vince Equities Data Sep 5, 2012 Ralph Vince Equities Data Sep 6, 2012 Ralph Vince Equities Data Sep 6, 2012 Ralph Vince Equities Data Sep 6, 2012 Ralph Vince Equities Data Sep 6, 2012 Ralph Vince Equities Data Sep 6, 2012 Ralph Vince Equities Data Sep 6, 2012 Ralph Vince Equities Data Sep 6, 2012 Ralph Vince Equities Data Sep 6, 2012 Ralph Vince Equities Data Sep 6, 2012

Robert A'gata

Last active: Sep 8, 2012
3 msgs
Robert A'gata RBloomberg package Sep 3, 2012 Robert A'gata RBloomberg package Sep 3, 2012 Robert A'gata Rbbg package's CONNECTION_FAILURE Sep 8, 2012

Rory Winston

Last active: Sep 2, 2012
1 msg
Rory Winston Incomplete Forward Curve Sep 2, 2012

Serdar Neslihanoglu

Last active: Sep 28, 2012
3 msgs
Serdar Neslihanoglu rugarch package "Warning Message" for GARCH-Normal Sep 18, 2012 Serdar Neslihanoglu "Multivariate Garch" Package in r Sep 28, 2012 Serdar Neslihanoglu Multi-factor GARCH model Sep 28, 2012

Smith, Dale (Norcross)

Last active: Sep 6, 2012
1 msg
Smith, Dale (Norcross) sufficient n for a binomial option pricing model Sep 6, 2012

Stefan Janse van Rensburg

Last active: Sep 14, 2012
1 msg
Stefan Janse van Rensburg Comparing pvalues in ADF test in Gretl, fUnitRoots and Eviews Sep 14, 2012

Ulrich Staudinger

Last active: Sep 11, 2012
3 msgs
Ulrich Staudinger Equities Data Sep 6, 2012 Ulrich Staudinger Example using Galgo to Optimize Parameters Sep 11, 2012 Ulrich Staudinger Example using Galgo to Optimize Parameters Sep 11, 2012

Worik Stanton

Last active: Sep 20, 2012
5 msgs
Worik Stanton Trouble with getSymbols.csv Sep 17, 2012 Worik Stanton Removing instruments... Sep 17, 2012 Worik Stanton Problem with updatePortf Sep 20, 2012 Worik Stanton Problem with updatePortf Sep 20, 2012 Worik Stanton Problem with updatePortf Sep 20, 2012

Zachary Mayer

Last active: Sep 20, 2012
1 msg
Zachary Mayer ABS value calculation for ATR use Sep 20, 2012

cai zhu

Last active: Sep 3, 2012
1 msg
cai zhu A question about function: dccsim in rmgarch package Sep 3, 2012

david.jessop at ubs.com

Last active: Sep 20, 2012
1 msg
david.jessop at ubs.com UBS looking for a quantitative analyst Sep 20, 2012

jaimie villanueva

Last active: Sep 18, 2012
1 msg
jaimie villanueva About Garch models Sep 18, 2012

julien cuisinier

Last active: Sep 6, 2012
1 msg
julien cuisinier Equities Data Sep 6, 2012

pie trader

Last active: Sep 5, 2012
7 msgs
pie trader blotter updatePortf issue.. Sep 2, 2012 pie trader blotter updatePortf issue.. Sep 3, 2012 pie trader blotter updatePortf issue.. Sep 3, 2012 pie trader blotter updatePortf issue.. Sep 3, 2012 pie trader blotter updatePortf issue.. Sep 3, 2012 pie trader blotter updatePortf issue.. Sep 5, 2012 pie trader Performance Analytics Calendar Returns Sep 5, 2012

rex

Last active: Sep 27, 2012
4 msgs
rex RBloomberg package Sep 3, 2012 rex Reversing date order in CSV file Sep 26, 2012 rex Coercing LHS to a list Sep 27, 2012 rex Coercing LHS to a list Sep 27, 2012

sean fallon

Last active: Sep 27, 2012
7 msgs
sean fallon ABS value calculation for ATR use Sep 20, 2012 sean fallon 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 sean fallon Coercing LHS to a list Sep 27, 2012 sean fallon Coercing LHS to a list Sep 27, 2012 sean fallon Coercing LHS to a list Sep 27, 2012

sidharth mallik

Last active: Sep 6, 2012
1 msg
sidharth mallik Equities Data Sep 6, 2012

varcovar

Last active: Sep 7, 2012
1 msg
varcovar Performance Analytics table.AnnualizedReturns Sep 7, 2012

该走了

Last active: Sep 22, 2012
2 msgs
该走了 quantstrat demo error Sep 22, 2012 该走了 quantstrat demo error Sep 22, 2012