R-SIG-Finance - December 2012 - Subject View

"stoplimit" orders for the "short" side

1 msg · Dec 26

mattw30030 "stoplimit" orders for the "short" side Dec 26, 2012

Adding transaction fee in bps (in quantstrat add.rule)

3 msgs · Dec 18 – Dec 20

Robert A'gata Adding transaction fee in bps (in quantstrat add.rule) Dec 18, 2012 OpenTrades Adding transaction fee in bps (in quantstrat add.rule) Dec 19, 2012 Robert A'gata Adding transaction fee in bps (in quantstrat add.rule) Dec 20, 2012

Cointegration testing with multiple structural breaks

1 msg · Dec 29

asfdoij asfoij Cointegration testing with multiple structural breaks Dec 29, 2012

Combining instrument data into one xts

3 msgs · Dec 15 – Dec 15

Robert A'gata Combining instrument data into one xts Dec 15, 2012 G See Combining instrument data into one xts Dec 15, 2012 Robert A'gata Combining instrument data into one xts Dec 15, 2012

Customized indicator for quantstrat

8 msgs · Dec 14 – Dec 15

Equity data from google

5 msgs · Dec 15 – Dec 16

Robert A'gata Equity data from google Dec 15, 2012 Jeff Ryan Equity data from google Dec 16, 2012 Robert A'gata Equity data from google Dec 16, 2012 Jeff Ryan Equity data from google Dec 16, 2012 Robert A'gata Equity data from google Dec 16, 2012

Estimation of Markov Switching VECM in R.

2 msgs · Dec 20 – Dec 20

asfdoij asfoij Estimation of Markov Switching VECM in R. Dec 20, 2012 Matthieu Stigler Estimation of Markov Switching VECM in R. Dec 20, 2012

Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow)

1 msg · Dec 1

Matt Considine Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow) Dec 1, 2012

Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow)

2 msgs · Dec 4 – Dec 4

jkaprich at gmail.com Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow) Dec 4, 2012 Brian G. Peterson Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow) Dec 4, 2012

Fundamental question about backtesting in quantstrat

2 msgs · Dec 27 – Dec 27

Robert A'gata Fundamental question about backtesting in quantstrat Dec 27, 2012 R. Michael Weylandt Fundamental question about backtesting in quantstrat Dec 27, 2012

Futures data

7 msgs · Dec 15 – Dec 15

Robert A'gata Futures data Dec 15, 2012 G See Futures data Dec 15, 2012 Chinmay Patil Futures data Dec 15, 2012 G See Futures data Dec 15, 2012 Chinmay Patil Futures data Dec 15, 2012 G See Futures data Dec 15, 2012 G See Futures data Dec 15, 2012

Futures data (G See)

2 msgs · Dec 16 – Dec 16

Edouard Tallent Futures data (G See) Dec 16, 2012 G See Futures data (G See) Dec 16, 2012

Highfrequency package - Error in if (length(c(year, month, day, hour, min, sec)) == 6 && c(year, :

3 msgs · Dec 21 – Dec 21

Bastian Offermann Highfrequency package - Error in if (length(c(year, month, day, hour, min, sec)) == 6 && c(year, : Dec 21, 2012 Jonathan Cornelissen Highfrequency package - Error in if (length(c(year, month, day, hour, min, sec)) == 6 && c(year, : Dec 21, 2012 Bastian Offermann Highfrequency package - Error in if (length(c(year, month, day, hour, min, sec)) == 6 && c(year, : Dec 21, 2012

How to specify price column for add.rule?

3 msgs · Dec 18 – Dec 18

Robert A'gata How to specify price column for add.rule? Dec 18, 2012 Brian G. Peterson How to specify price column for add.rule? Dec 18, 2012 Robert A'gata How to specify price column for add.rule? Dec 18, 2012

Introducing TFX: An R Interface to the TrueFX Web API

1 msg · Dec 3

Dirk Eddelbuettel Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012

Introducing TFX: An R Interface to the TrueFX Web API

12 msgs · Dec 3 – Dec 3

Is it possible to import residuals of mean.model into variance.model in rugarch package or others?

4 msgs · Dec 25 – Dec 28

SamuelS Is it possible to import residuals of mean.model into variance.model in rugarch package or others? Dec 25, 2012 Alexios Ghalanos Is it possible to import residuals of mean.model into variance.model in rugarch package or others? Dec 26, 2012 SamuelS Is it possible to import residuals of mean.model into variance.model in rugarch package or others? Dec 27, 2012 Alexios Ghalanos Is it possible to import residuals of mean.model into variance.model in rugarch package or others? Dec 28, 2012

NA's in xts object index

2 msgs · Dec 13 – Dec 26

Muhammad Abuizzah NA's in xts object index Dec 13, 2012 Joshua Ulrich NA's in xts object index Dec 26, 2012

OAS vs Ledoit-Wolf covariance shrinkage?

1 msg · Dec 10

matt at considine.net OAS vs Ledoit-Wolf covariance shrinkage? Dec 10, 2012

Quantstrat runs quite slow on large data

1 msg · Dec 28

Robert A'gata Quantstrat runs quite slow on large data Dec 28, 2012

Quantstrat summary of trades/transactions

2 msgs · Dec 17 – Dec 17

Robert A'gata Quantstrat summary of trades/transactions Dec 17, 2012 Joshua Ulrich Quantstrat summary of trades/transactions Dec 17, 2012

Quantstrat with TAQ data

10 msgs · Dec 12 – Dec 14

R/Finance 2013 -- Call for Papers

1 msg · Dec 17

Dirk Eddelbuettel R/Finance 2013 -- Call for Papers Dec 17, 2012

RQuantLib AsianOption Function

2 msgs · Dec 21 – Dec 21

Bob RQuantLib AsianOption Function Dec 21, 2012 Bob RQuantLib AsianOption Function Dec 21, 2012

Rbbg bar function -- doubts about data correctness

2 msgs · Dec 30 – Dec 31

andre zege Rbbg bar function -- doubts about data correctness Dec 30, 2012 John Laing Rbbg bar function -- doubts about data correctness Dec 31, 2012

Rbbg package's CONNECTION_FAILURE

8 msgs · Dec 27 – Dec 27

altaf Rbbg package's CONNECTION_FAILURE Dec 27, 2012 julien cuisinier Rbbg package's CONNECTION_FAILURE Dec 27, 2012 altaf Rbbg package's CONNECTION_FAILURE Dec 27, 2012 julien cuisinier Rbbg package's CONNECTION_FAILURE Dec 27, 2012 altaf Rbbg package's CONNECTION_FAILURE Dec 27, 2012 Nuno Ramiro Rbbg package's CONNECTION_FAILURE Dec 27, 2012 John Laing Rbbg package's CONNECTION_FAILURE Dec 27, 2012 altaf Rbbg package's CONNECTION_FAILURE Dec 27, 2012

Reading xts data from csv

4 msgs · Dec 26 – Dec 27

Robert A'gata Reading xts data from csv Dec 26, 2012 Olaf TNSB Reading xts data from csv Dec 26, 2012 Gabor Grothendieck Reading xts data from csv Dec 26, 2012 intertodd Reading xts data from csv Dec 27, 2012

Statistical analysis

4 msgs · Dec 22 – Dec 22

Ron Michael Statistical analysis Dec 22, 2012 Ralph Vince Statistical analysis Dec 22, 2012 Ron Michael Statistical analysis Dec 22, 2012 Neil Gupta Statistical analysis Dec 22, 2012

Time-varying cointegration

1 msg · Dec 31

asfdoij asfoij Time-varying cointegration Dec 31, 2012

Tips on creating dummy data?

2 msgs · Dec 1 – Dec 2

Matt Considine Tips on creating dummy data? Dec 1, 2012 Matt Considine Tips on creating dummy data? Dec 2, 2012

Webinar: Advances in Gradient Boosting: the Power of Post-Processing. TOMORROW, 10-11 a.m., PST

2 msgs · Dec 13 – Dec 13

Lisa Solomon Webinar: Advances in Gradient Boosting: the Power of Post-Processing. TOMORROW, 10-11 a.m., PST Dec 13, 2012 Lisa Solomon Webinar: Advances in Gradient Boosting: the Power of Post-Processing. TOMORROW, 10-11 a.m., PST Dec 13, 2012

What does PortfReturns return?

2 msgs · Dec 18 – Dec 18

Robert A'gata What does PortfReturns return? Dec 18, 2012 Brian G. Peterson What does PortfReturns return? Dec 18, 2012

cant install Quantstrat package

6 msgs · Dec 20 – Dec 23

intertodd cant install Quantstrat package Dec 20, 2012 intertodd cant install Quantstrat package Dec 20, 2012 Michael Newell cant install Quantstrat package Dec 21, 2012 Chinmay Patil cant install Quantstrat package Dec 21, 2012 OpenTrades cant install Quantstrat package Dec 21, 2012 intertodd cant install Quantstrat package Dec 23, 2012

duplicate column in mktdata, but don't see it

1 msg · Dec 6

Russell Miller duplicate column in mktdata, but don't see it Dec 6, 2012

duplicate column in mktdata, but don't see it (R file attached)

1 msg · Dec 6

Russell Miller duplicate column in mktdata, but don't see it (R file attached) Dec 6, 2012

duplicate column in mktdata, but don't see it [SOLVED]

1 msg · Dec 6

Russell Miller duplicate column in mktdata, but don't see it [SOLVED] Dec 6, 2012

fOptions::CND versus pnorm

2 msgs · Dec 11 – Dec 12

James fOptions::CND versus pnorm Dec 11, 2012 James fOptions::CND versus pnorm Dec 12, 2012

ghyp package

4 msgs · Dec 20 – Dec 30

Gmail ghyp package Dec 20, 2012 Maheshwari, Dhruv ghyp package Dec 21, 2012 Gmail ghyp package Dec 30, 2012 Maheshwari, Dhruv ghyp package Dec 30, 2012

help for a simulation

2 msgs · Dec 26 – Dec 26

Simone Gogna help for a simulation Dec 26, 2012 Robert Iquiapaza help for a simulation Dec 26, 2012

help writing quantstrat rule accessing pos/txn info

1 msg · Dec 4

Justin Lilly help writing quantstrat rule accessing pos/txn info Dec 4, 2012

ordertype="market" in add.rule

1 msg · Dec 26

Robert A'gata ordertype="market" in add.rule Dec 26, 2012

problem with add.indicators and ATR function

3 msgs · Dec 4 – Dec 4

Justin Lilly problem with add.indicators and ATR function Dec 4, 2012 Brian G. Peterson problem with add.indicators and ATR function Dec 4, 2012 Justin Lilly problem with add.indicators and ATR function Dec 4, 2012

qantstrat same period execution

6 msgs · Dec 9 – Dec 9

af2tr qantstrat same period execution Dec 9, 2012 Brian G. Peterson qantstrat same period execution Dec 9, 2012 af2tr qantstrat same period execution Dec 9, 2012 Ulrich Staudinger qantstrat same period execution Dec 9, 2012 Ulrich Staudinger qantstrat same period execution Dec 9, 2012 af2tr qantstrat same period execution Dec 9, 2012

quantstrat order execution

1 msg · Dec 1

Ulrich Staudinger quantstrat order execution Dec 1, 2012

ruleSignal doesn't want to open a position

2 msgs · Dec 26 – Dec 26

Robert A'gata ruleSignal doesn't want to open a position Dec 26, 2012 Robert A'gata ruleSignal doesn't want to open a position Dec 26, 2012

simulation

5 msgs · Dec 29 – Dec 30

Simone Gogna simulation Dec 29, 2012 Dominykas Grigonis simulation Dec 29, 2012 Dominykas Grigonis simulation Dec 29, 2012 Patrick Burns simulation Dec 30, 2012 Patrick Burns simulation Dec 30, 2012

time index in high frequency data

2 msgs · Dec 3 – Dec 3

Wei-han Liu time index in high frequency data Dec 3, 2012 Santosh Srinivas time index in high frequency data Dec 3, 2012

R-SIG-Finance December 2012

"stoplimit" orders for the "short" side

Adding transaction fee in bps (in quantstrat add.rule)

Cointegration testing with multiple structural breaks

Combining instrument data into one xts

Customized indicator for quantstrat

Equity data from google

Estimation of Markov Switching VECM in R.

Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow)

Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow)

Fundamental question about backtesting in quantstrat

Futures data

Futures data (G See)

Highfrequency package - Error in if (length(c(year, month, day, hour, min, sec)) == 6 && c(year, :

How to specify price column for add.rule?

Introducing TFX: An R Interface to the TrueFX Web API

Introducing TFX: An R Interface to the TrueFX Web API

Is it possible to import residuals of mean.model into variance.model in rugarch package or others?

NA's in xts object index

OAS vs Ledoit-Wolf covariance shrinkage?

Quantstrat runs quite slow on large data

Quantstrat summary of trades/transactions

Quantstrat with TAQ data

R/Finance 2013 -- Call for Papers

RQuantLib AsianOption Function

Rbbg bar function -- doubts about data correctness

Rbbg package's CONNECTION_FAILURE

Reading xts data from csv

Statistical analysis

Time-varying cointegration

Tips on creating dummy data?

Webinar: Advances in Gradient Boosting: the Power of Post-Processing. TOMORROW, 10-11 a.m., PST

What does PortfReturns return?

cant install Quantstrat package

duplicate column in mktdata, but don't see it

duplicate column in mktdata, but don't see it (R file attached)

duplicate column in mktdata, but don't see it [SOLVED]

fOptions::CND versus pnorm

ghyp package

help for a simulation

help writing quantstrat rule accessing pos/txn info

ordertype="market" in add.rule

problem with add.indicators and ATR function

qantstrat same period execution

quantstrat order execution

ruleSignal doesn't want to open a position

simulation

time index in high frequency data