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R-SIG-Finance October 2012

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Alex Grund

Last active: Oct 28, 2012
4 msgs
Alex Grund statistical features of equity time series Oct 28, 2012 Alex Grund statistical features of equity time series Oct 28, 2012 Alex Grund statistical features of equity time series Oct 28, 2012 Alex Grund statistical features of equity time series Oct 28, 2012

Alexios Ghalanos

Last active: Oct 28, 2012
6 msgs
Alexios Ghalanos Variance intercept parameter. Oct 7, 2012 Alexios Ghalanos "ugarchfit" function of "rugarch" package needs at least 100 data points. Oct 9, 2012 Alexios Ghalanos Backtesting with ugarchroll( ) Oct 23, 2012 Alexios Ghalanos rugarch and copulas Oct 24, 2012 Alexios Ghalanos Get forecasted sigmas of ugarchforecast() functions Oct 27, 2012 Alexios Ghalanos statistical features of equity time series Oct 28, 2012

Bos, Roger

Last active: Oct 10, 2012
2 msgs
Bos, Roger PerformanceAnalytics seems to break rollapply Oct 5, 2012 Bos, Roger MACD crash problem Oct 10, 2012

Brian G. Peterson

Last active: Oct 10, 2012
5 msgs
Brian G. Peterson Accounting in blotter query Oct 4, 2012 Brian G. Peterson Accounting in blotter query Oct 5, 2012 Brian G. Peterson Accounting in blotter query Oct 7, 2012 Brian G. Peterson Higher Order Moment Portfolio Oct 9, 2012 Brian G. Peterson MACD crash problem Oct 10, 2012

Brian Moretta

Last active: Oct 12, 2012
2 msgs
Brian Moretta quanstrat: stop trailing with variable stops size Oct 12, 2012 Brian Moretta quanstrat: stop trailing with variable stops size Oct 12, 2012

Chao Zhang

Last active: Oct 18, 2012
1 msg
Chao Zhang Mystery In Creating data.frame w timeDate Oct 18, 2012

Cristi Popescu

Last active: Oct 12, 2012
2 msgs
Cristi Popescu Error with applyStrategy Oct 10, 2012 Cristi Popescu Error with applyStrategy Oct 12, 2012

Dan Rie

Last active: Oct 18, 2012
1 msg
Dan Rie beyond GPU support, 16+ cores, low power consumption, under $100 (64 cores for $200)? Oct 18, 2012

Daniel Cegiełka

Last active: Oct 19, 2012
1 msg
Daniel Cegiełka beyond GPU support, 16+ cores, low power consumption, under $100 (64 cores for $200)? Oct 19, 2012

David Winn

Last active: Oct 21, 2012
1 msg
David Winn Quantstrat creating signals on two or more conditions Oct 21, 2012

Db

Last active: Oct 29, 2012
1 msg
Db Low Priority - market component list and general coding help Oct 29, 2012

Dheeraj Pandey

Last active: Oct 25, 2012
1 msg
Dheeraj Pandey Egarch model using RExcel and VBA Oct 25, 2012

Dirk Eddelbuettel

Last active: Oct 28, 2012
2 msgs
Dirk Eddelbuettel Linux Commandline and Packages Oct 22, 2012 Dirk Eddelbuettel statistical features of equity time series Oct 28, 2012

Eko andryanto Prakasa

Last active: Oct 7, 2012
1 msg
Eko andryanto Prakasa Testing volatility cluster (heteroscedasticity) in stock return? Oct 7, 2012

Eric Zivot

Last active: Oct 23, 2012
2 msgs
Eric Zivot "ugarchfit" function of "rugarch" package needs at least 100 data points. Oct 9, 2012 Eric Zivot Backtesting with ugarchroll( ) Oct 23, 2012

Evelyn Nyamadi

Last active: Oct 25, 2012
2 msgs
Evelyn Nyamadi RUGARCH:EGARCH Oct 24, 2012 Evelyn Nyamadi Rugarch: volatility models Oct 25, 2012

FJ M

Last active: Oct 17, 2012
3 msgs
FJ M Daily dividend yield Oct 13, 2012 FJ M Daily dividend yield Oct 15, 2012 FJ M Recursively retrieve Date OHLC Adj Close and dividends, adjust some dividends, then calculate current yield two problems Oct 17, 2012

G See

Last active: Oct 26, 2012
7 msgs
G See PerformanceAnalytics seems to break rollapply Oct 5, 2012 G See Slow data EOD Oct 9, 2012 G See Slow data EOD Oct 9, 2012 G See "Optimx" help Oct 10, 2012 G See Slow data EOD Oct 13, 2012 G See Daily dividend yield Oct 14, 2012 G See Low Priority - market component list and general coding help Oct 26, 2012

George Kumar

Last active: Oct 8, 2012
1 msg
George Kumar sapply on a dataframe column of 30000 entries killed R session Oct 8, 2012

Gohou Danon

Last active: Oct 24, 2012
1 msg
Gohou Danon Vector Smooth Transition models (LSTAR and ESTAR) Oct 24, 2012

Guy Yollin

Last active: Oct 2, 2012
1 msg
Guy Yollin Read some data from TradeStation to display using barChart Oct 2, 2012

Henry Bee

Last active: Oct 28, 2012
2 msgs
Henry Bee adjustOHLC discrepancy Oct 28, 2012 Henry Bee adjustOHLC discrepancy Oct 28, 2012

Ilya Kipnis

Last active: Oct 22, 2012
1 msg
Ilya Kipnis To Dr. Eric Zivot: Coursera servers went down. Oct 22, 2012

Jeff Ryan

Last active: Oct 28, 2012
9 msgs
Jeff Ryan agent-based model Oct 4, 2012 Jeff Ryan Naming conventions for merged XTS columns Oct 9, 2012 Jeff Ryan Naming conventions for merged XTS columns Oct 9, 2012 Jeff Ryan quantmod::getOptionChain() errors Oct 10, 2012 Jeff Ryan RTAQ - convert function: warning causes incorrect loading of data Oct 13, 2012 Jeff Ryan Regarding availability of TTR/Quantmod etc for RV2.15.1 Oct 21, 2012 Jeff Ryan Regarding availability of TTR/Quantmod etc for RV2.15.1 Oct 22, 2012 Jeff Ryan Low Priority - market component list and general coding help Oct 26, 2012 Jeff Ryan statistical features of equity time series Oct 28, 2012

Joshua Ulrich

Last active: Oct 22, 2012
6 msgs
Joshua Ulrich Calculating FV of a Uniform Stream using TVM Oct 2, 2012 Joshua Ulrich adjustOHLC discrepancy Oct 6, 2012 Joshua Ulrich MACD crash problem Oct 11, 2012 Joshua Ulrich R-SIG-Finance Digest, Vol 101, Issue 14 Oct 15, 2012 Joshua Ulrich Recursively retrieve Date OHLC Adj Close and dividends, adjust some dividends, then calculate current yield two problems Oct 17, 2012 Joshua Ulrich Regarding availability of TTR/Quantmod etc for RV2.15.1 Oct 22, 2012

Ludovic Theate

Last active: Oct 24, 2012
1 msg
Ludovic Theate rugarch and copulas Oct 24, 2012

Mark Knecht

Last active: Oct 4, 2012
3 msgs
Mark Knecht Read some data from TradeStation to display using barChart Oct 2, 2012 Mark Knecht Test for new event and save data in new data.frame Oct 3, 2012 Mark Knecht Test for new event and save data in new data.frame Oct 4, 2012

Mark Leeds

Last active: Oct 31, 2012
4 msgs
Mark Leeds agent-based model Oct 4, 2012 Mark Leeds statistical features of equity time series Oct 28, 2012 Mark Leeds Kalman Filter + DLM Package in R Oct 30, 2012 Mark Leeds Kalman Filter + DLM Package in R Oct 31, 2012

Martin Jenkins

Last active: Oct 27, 2012
5 msgs
Martin Jenkins Low Priority - market component list and general coding help Oct 26, 2012 Martin Jenkins Low Priority - market component list and general coding help Oct 26, 2012 Martin Jenkins Low Priority - market component list and general coding help Oct 26, 2012 Martin Jenkins Low Priority - market component list and general coding help Oct 26, 2012 Martin Jenkins Low Priority - market component list and general coding help Oct 27, 2012

Matthew Gilbert

Last active: Oct 28, 2012
1 msg
Matthew Gilbert statistical features of equity time series Oct 28, 2012

Maxime Maxime

Last active: Oct 21, 2012
1 msg
Maxime Maxime Breadth Indicators Oct 21, 2012

Nick

Last active: Oct 20, 2012
1 msg
Nick A good backtesting package ?? Oct 20, 2012

Nicolae Caprarescu

Last active: Oct 15, 2012
2 msgs
Nicolae Caprarescu RTAQ - convert function: warning causes incorrect loading of data Oct 13, 2012 Nicolae Caprarescu RTAQ - convert function: warning causes incorrect loading of data Oct 15, 2012

Niklas K

Last active: Oct 21, 2012
1 msg
Niklas K Quantstrat creating signals on two or more conditions Oct 21, 2012

Nisseem Nabar

Last active: Oct 3, 2012
1 msg
Nisseem Nabar Quasi-Turtle Strategy Implementation in quantstrat Oct 3, 2012

Nitin Juneja

Last active: Oct 2, 2012
1 msg
Nitin Juneja Calculating FV of a Uniform Stream using TVM Oct 2, 2012

Noah Silverman

Last active: Oct 13, 2012
1 msg
Noah Silverman Errors with updatePortf in blotter package Oct 13, 2012

OpenTrades

Last active: Oct 12, 2012
2 msgs
OpenTrades Error with applyStrategy Oct 11, 2012 OpenTrades Error with applyStrategy Oct 12, 2012

Patrick Burns

Last active: Oct 28, 2012
4 msgs
Patrick Burns agent-based model Oct 5, 2012 Patrick Burns "ugarchfit" function of "rugarch" package needs at least 100 data points. Oct 9, 2012 Patrick Burns "ugarchfit" function of "rugarch" package needs at least 100 data points. Oct 10, 2012 Patrick Burns statistical features of equity time series Oct 28, 2012

Paul Teetor

Last active: Oct 31, 2012
2 msgs
Paul Teetor Kalman Filter + DLM Package in R Oct 30, 2012 Paul Teetor Kalman Filter + DLM Package in R Oct 31, 2012

PedroBSB

Last active: Oct 7, 2012
2 msgs
PedroBSB Variance intercept parameter. Oct 7, 2012 PedroBSB Variance intercept parameter. Oct 7, 2012

R. Michael Weylandt

Last active: Oct 22, 2012
10 msgs
R. Michael Weylandt Read some data from TradeStation to display using barChart Oct 2, 2012 R. Michael Weylandt Calculating FV of a Uniform Stream using TVM Oct 2, 2012 R. Michael Weylandt Test for new event and save data in new data.frame Oct 4, 2012 R. Michael Weylandt Test for new event and save data in new data.frame Oct 4, 2012 R. Michael Weylandt "Optimx" help Oct 10, 2012 R. Michael Weylandt NA When Setting Options to See Fractions of Seconds Oct 10, 2012 R. Michael Weylandt RTAQ - convert function: warning causes incorrect loading of data Oct 12, 2012 R. Michael Weylandt DCC help Oct 13, 2012 R. Michael Weylandt A good backtesting package ?? Oct 20, 2012 R. Michael Weylandt To Dr. Eric Zivot: Coursera servers went down. Oct 22, 2012

Ralph Vince

Last active: Oct 22, 2012
6 msgs
Ralph Vince Dividend-adjusted data Oct 2, 2012 Ralph Vince Dividend-adjusted data Oct 2, 2012 Ralph Vince Slow data EOD Oct 9, 2012 Ralph Vince Slow data EOD Oct 9, 2012 Ralph Vince Slow data EOD Oct 9, 2012 Ralph Vince Linux Commandline and Packages Oct 22, 2012

Ram Ahluwalia

Last active: Oct 15, 2012
1 msg
Ram Ahluwalia R-SIG-Finance Digest, Vol 101, Issue 14 Oct 15, 2012

Shekhar Gupta

Last active: Oct 2, 2012
1 msg
Shekhar Gupta HFT market data/colo sharing Oct 2, 2012

Simone Gogna

Last active: Oct 4, 2012
1 msg
Simone Gogna agent-based model Oct 4, 2012

Tanvir Khan

Last active: Oct 9, 2012
1 msg
Tanvir Khan "ugarchfit" function of "rugarch" package needs at least 100 data points. Oct 9, 2012

Worik Stanton

Last active: Oct 11, 2012
7 msgs
Worik Stanton agent-based model Oct 4, 2012 Worik Stanton Accounting in blotter query Oct 4, 2012 Worik Stanton Accounting in blotter query Oct 4, 2012 Worik Stanton Accounting in blotter query Oct 7, 2012 Worik Stanton Accounting in blotter query Oct 7, 2012 Worik Stanton Naming conventions for merged XTS columns Oct 9, 2012 Worik Stanton Problem with portfolio/blotter and base currencies Oct 11, 2012

Zachary Mayer

Last active: Oct 2, 2012
1 msg
Zachary Mayer Dividend-adjusted data Oct 2, 2012

elephann

Last active: Oct 3, 2012
1 msg
elephann computing the actual/realized efficient frontier points and extracting frontier return and covariance data points Oct 3, 2012

geoff at wrightville.org

Last active: Oct 4, 2012
1 msg
geoff at wrightville.org agent-based model Oct 4, 2012

gunjan narulkar

Last active: Oct 22, 2012
3 msgs
gunjan narulkar Regarding availability of TTR/Quantmod etc for RV2.15.1 Oct 21, 2012 gunjan narulkar Regarding availability of TTR/Quantmod etc for RV2.15.1 Oct 22, 2012 gunjan narulkar Regarding availability of TTR/Quantmod etc for RV2.15.1 Oct 22, 2012

henry.bee at gmail.com

Last active: Oct 23, 2012
1 msg
henry.bee at gmail.com adjustOHLC discrepancy Oct 23, 2012

jaimie villanueva

Last active: Oct 27, 2012
3 msgs
jaimie villanueva A good backtesting package ?? Oct 20, 2012 jaimie villanueva Backtesting with ugarchroll( ) Oct 23, 2012 jaimie villanueva Get forecasted sigmas of ugarchforecast() functions Oct 27, 2012

julien cuisinier

Last active: Oct 11, 2012
1 msg
julien cuisinier MACD crash problem Oct 11, 2012

nserdar

Last active: Oct 31, 2012
8 msgs
nserdar Higher Order Moment Portfolio Oct 9, 2012 nserdar "Optimx" help Oct 10, 2012 nserdar "Optimx" help Oct 10, 2012 nserdar Kalman Filter + DLM Package in R Oct 25, 2012 nserdar Kalman Filter + DLM Package in R Oct 25, 2012 nserdar State Space Model + DLM Package in R Oct 30, 2012 nserdar Kalman Filter + DLM Package in R Oct 31, 2012 nserdar Kalman Filter + DLM Package in R Oct 31, 2012

research

Last active: Oct 23, 2012
1 msg
research Analyst (Intern) position - R user Oct 23, 2012

rex

Last active: Oct 10, 2012
2 msgs
rex quantmod::getOptionChain() errors Oct 10, 2012 rex quantmod::getOptionChain() errors Oct 10, 2012