R-SIG-Finance - September 2012 - Subject View

"Multivariate Garch" Package in r

2 msgs · Sep 28 – Sep 28

Serdar Neslihanoglu "Multivariate Garch" Package in r Sep 28, 2012 Brian G. Peterson "Multivariate Garch" Package in r Sep 28, 2012

A question about function: dccsim in rmgarch package

2 msgs · Sep 3 – Sep 3

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

A question on VaR

2 msgs · Sep 3 – Sep 3

Christofer Bogaso A question on VaR Sep 3, 2012 Nick A question on VaR Sep 3, 2012

ABS value calculation for ATR use

3 msgs · Sep 20 – Sep 20

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

About Garch models

4 msgs · Sep 18 – Sep 18

jaimie villanueva About Garch models Sep 18, 2012 Patrick Burns About Garch models Sep 18, 2012 Patrick Burns About Garch models Sep 18, 2012 Alexios Ghalanos About Garch models Sep 18, 2012

Aggregating tick-by-tick data to seconds

4 msgs · Sep 15 – Sep 15

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

Any R api's available to do modelling with MM algos or portfolio weights?

1 msg · Sep 15

Pie T Any R api's available to do modelling with MM algos or portfolio weights? Sep 15, 2012

Backtesting (Kupiec) and Measure Stock's Portoflio using EVT

1 msg · Sep 26

Eko andryanto Prakasa Backtesting (Kupiec) and Measure Stock's Portoflio using EVT Sep 26, 2012

Backtesting Suite which can show profit/loss by time (drilldown by N time intervals)

5 msgs · Sep 12 – Sep 12

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

Coercing LHS to a list

6 msgs · Sep 26 – Sep 27

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 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

Comparing pvalues in ADF test in Gretl fUnitRoots and Eviews

2 msgs · Sep 13 – Sep 27

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 27, 2012

Comparing pvalues in ADF test in Gretl fUnitroots and Eviews

1 msg · Sep 15

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 · Sep 14

Stefan Janse van Rensburg Comparing pvalues in ADF test in Gretl, fUnitRoots and Eviews Sep 14, 2012

Dynamic Charting of Technical Indicators

3 msgs · Sep 7 – Sep 7

Andreas Swoboda Dynamic Charting of Technical Indicators Sep 7, 2012 Brian G. Peterson Dynamic Charting of Technical Indicators Sep 7, 2012 Andreas Swoboda Dynamic Charting of Technical Indicators Sep 7, 2012

EGARCH on Rexcel

1 msg · Sep 5

Ankit Mital EGARCH on Rexcel Sep 5, 2012

Equities Data

27 msgs · Sep 5 – Sep 6

Example using Galgo to Optimize Parameters

7 msgs · Sep 11 – Sep 12

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

Help with getSymbols from csv data file

1 msg · Sep 15

Jim Green Help with getSymbols from csv data file Sep 15, 2012

I am using the quantmod package (http://www.quantmod.com) and, using getSymbols,

2 msgs · Sep 9 – Sep 9

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

Incomplete Forward Curve

2 msgs · Sep 1 – Sep 2

Christofer Bogaso Incomplete Forward Curve Sep 1, 2012 Rory Winston Incomplete Forward Curve Sep 2, 2012

Intraday interval data from Bloomberg

3 msgs · Sep 26 – Sep 27

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

Market data playback from IBrokers

1 msg · Sep 26

Qiang Wang Market data playback from IBrokers Sep 26, 2012

Multi-factor GARCH model

2 msgs · Sep 28 – Sep 28

Serdar Neslihanoglu Multi-factor GARCH model Sep 28, 2012 Brian G. Peterson Multi-factor GARCH model Sep 28, 2012

Performance Analytics Calendar Returns

7 msgs · Sep 3 – Sep 5

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

Performance Analytics table.AnnualizedReturns

3 msgs · Sep 6 – Sep 8

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

Problem with updatePortf

5 msgs · Sep 20 – Sep 20

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

Problems with time format and read.csv()

5 msgs · Sep 17 – Sep 17

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

R-SIG-Finance Digest, Vol 100, Issue 2

1 msg · Sep 2

Matthew Johnson R-SIG-Finance Digest, Vol 100, Issue 2 Sep 2, 2012

RBloomberg package

5 msgs · Sep 3 – Sep 3

Robert A'gata RBloomberg package Sep 3, 2012 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

Rbbg package's CONNECTION_FAILURE

2 msgs · Sep 8 – Sep 11

Robert A'gata Rbbg package's CONNECTION_FAILURE Sep 8, 2012 John Laing Rbbg package's CONNECTION_FAILURE Sep 11, 2012

Removing instruments...

2 msgs · Sep 17 – Sep 18

Worik Stanton Removing instruments... Sep 17, 2012 G See Removing instruments... Sep 18, 2012

Reversing date order in CSV file

3 msgs · Sep 26 – Sep 26

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

Stand Alone eSignal or DTN Connector

1 msg · Sep 12

Dave Stand Alone eSignal or DTN Connector Sep 12, 2012

Trouble with getSymbols.csv

2 msgs · Sep 17 – Sep 17

Worik Stanton Trouble with getSymbols.csv Sep 17, 2012 G See Trouble with getSymbols.csv Sep 17, 2012

UBS looking for a quantitative analyst

1 msg · Sep 20

david.jessop at ubs.com UBS looking for a quantitative analyst Sep 20, 2012

adjustOHLC discrepancy

4 msgs · Sep 18 – Sep 19

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

blotter updatePortf issue..

11 msgs · Sep 2 – Sep 5

help on creating 5 minutes bars

6 msgs · Sep 24 – Sep 24

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

quanstrat: stop trailing with variable stops size

6 msgs · Sep 21 – Sep 27

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

quantstrat demo error

3 msgs · Sep 22 – Sep 23

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

rugarch package "Warning Message" for GARCH-Normal

2 msgs · Sep 18 – Sep 18

Serdar Neslihanoglu rugarch package "Warning Message" for GARCH-Normal Sep 18, 2012 Alexios Ghalanos rugarch package "Warning Message" for GARCH-Normal Sep 18, 2012

sufficient n for a binomial option pricing model

3 msgs · Sep 6 – Sep 6

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

R-SIG-Finance September 2012

"Multivariate Garch" Package in r

A question about function: dccsim in rmgarch package

A question on VaR

ABS value calculation for ATR use

About Garch models

Aggregating tick-by-tick data to seconds

Any R api's available to do modelling with MM algos or portfolio weights?

Backtesting (Kupiec) and Measure Stock's Portoflio using EVT

Backtesting Suite which can show profit/loss by time (drilldown by N time intervals)

Coercing LHS to a list

Comparing pvalues in ADF test in Gretl fUnitRoots and Eviews

Comparing pvalues in ADF test in Gretl fUnitroots and Eviews

Comparing pvalues in ADF test in Gretl, fUnitRoots and Eviews

Dynamic Charting of Technical Indicators

EGARCH on Rexcel

Equities Data

Example using Galgo to Optimize Parameters

Help with getSymbols from csv data file

I am using the quantmod package (http://www.quantmod.com) and, using getSymbols,

Incomplete Forward Curve

Intraday interval data from Bloomberg

Market data playback from IBrokers

Multi-factor GARCH model

Performance Analytics Calendar Returns

Performance Analytics table.AnnualizedReturns

Problem with updatePortf

Problems with time format and read.csv()

R-SIG-Finance Digest, Vol 100, Issue 2

RBloomberg package

Rbbg package's CONNECTION_FAILURE

Removing instruments...

Reversing date order in CSV file

Stand Alone eSignal or DTN Connector

Trouble with getSymbols.csv

UBS looking for a quantitative analyst

adjustOHLC discrepancy

blotter updatePortf issue..

help on creating 5 minutes bars

quanstrat: stop trailing with variable stops size

quantstrat demo error

rugarch package "Warning Message" for GARCH-Normal

sufficient n for a binomial option pricing model