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R-SIG-Finance December 2012

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Rbbg bar function -- doubts about data correctness
2 msgs
andre zege Rbbg bar function -- doubts about data correctness Dec 30, 2012
John Laing Rbbg bar function -- doubts about data correctness Dec 31, 2012
ghyp package
4 msgs
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
simulation
5 msgs
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
Cointegration testing with multiple structural breaks
1 msg
asfdoij asfoij Cointegration testing with multiple structural breaks Dec 29, 2012
Quantstrat runs quite slow on large data
1 msg
Robert A'gata Quantstrat runs quite slow on large data Dec 28, 2012
Is it possible to import residuals of mean.model into variance.model in rugarch package or others?
4 msgs
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
Fundamental question about backtesting in quantstrat
2 msgs
Robert A'gata Fundamental question about backtesting in quantstrat Dec 27, 2012
R. Michael Weylandt Fundamental question about backtesting in quantstrat Dec 27, 2012
Reading xts data from csv
4 msgs
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
Rbbg package's CONNECTION_FAILURE
8 msgs
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
ruleSignal doesn't want to open a position
2 msgs
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
NA's in xts object index
2 msgs
Muhammad Abuizzah NA's in xts object index Dec 13, 2012
Joshua Ulrich NA's in xts object index Dec 26, 2012
"stoplimit" orders for the "short" side
1 msg
mattw30030 "stoplimit" orders for the "short" side Dec 26, 2012
ordertype="market" in add.rule
1 msg
Robert A'gata ordertype="market" in add.rule Dec 26, 2012
help for a simulation
2 msgs
Simone Gogna help for a simulation Dec 26, 2012
Robert Iquiapaza help for a simulation Dec 26, 2012
cant install Quantstrat package
6 msgs
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
Statistical analysis
4 msgs
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
Highfrequency package - Error in if (length(c(year, month, day, hour, min, sec)) == 6 && c(year, :
3 msgs
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
RQuantLib AsianOption Function
2 msgs
Bob RQuantLib AsianOption Function Dec 21, 2012
Bob RQuantLib AsianOption Function Dec 21, 2012
Adding transaction fee in bps (in quantstrat add.rule)
3 msgs
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
Estimation of Markov Switching VECM in R.
2 msgs
asfdoij asfoij Estimation of Markov Switching VECM in R. Dec 20, 2012
Matthieu Stigler Estimation of Markov Switching VECM in R. Dec 20, 2012
How to specify price column for add.rule?
3 msgs
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
What does PortfReturns return?
2 msgs
Robert A'gata What does PortfReturns return? Dec 18, 2012
Brian G. Peterson What does PortfReturns return? Dec 18, 2012
Quantstrat summary of trades/transactions
2 msgs
Robert A'gata Quantstrat summary of trades/transactions Dec 17, 2012
Joshua Ulrich Quantstrat summary of trades/transactions Dec 17, 2012
R/Finance 2013 -- Call for Papers
1 msg
Dirk Eddelbuettel R/Finance 2013 -- Call for Papers Dec 17, 2012
Equity data from google
5 msgs
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
Futures data (G See)
2 msgs
Edouard Tallent Futures data (G See) Dec 16, 2012
G See Futures data (G See) Dec 16, 2012
Combining instrument data into one xts
3 msgs
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
Futures data
7 msgs
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
Customized indicator for quantstrat
8 msgs
Robert A'gata Customized indicator for quantstrat Dec 14, 2012
Me Customized indicator for quantstrat Dec 15, 2012
Brian G. Peterson Customized indicator for quantstrat Dec 15, 2012
Robert A'gata Customized indicator for quantstrat Dec 15, 2012
Brian G. Peterson Customized indicator for quantstrat Dec 15, 2012
Robert A'gata Customized indicator for quantstrat Dec 15, 2012
Brian G. Peterson Customized indicator for quantstrat Dec 15, 2012
Robert A'gata Customized indicator for quantstrat Dec 15, 2012
Quantstrat with TAQ data
10 msgs
Robert A'gata Quantstrat with TAQ data Dec 12, 2012
Aleksey Schukin Quantstrat with TAQ data Dec 12, 2012
Robert A'gata Quantstrat with TAQ data Dec 12, 2012
Aleksey Schukin Quantstrat with TAQ data Dec 12, 2012
Chinmay Patil Quantstrat with TAQ data Dec 12, 2012
Chinmay Patil Quantstrat with TAQ data Dec 12, 2012
Brian G. Peterson Quantstrat with TAQ data Dec 13, 2012
Robert A'gata Quantstrat with TAQ data Dec 13, 2012
Robert A'gata Quantstrat with TAQ data Dec 13, 2012
Robert A'gata Quantstrat with TAQ data Dec 14, 2012
Webinar: Advances in Gradient Boosting: the Power of Post-Processing. TOMORROW, 10-11 a.m., PST
1 msg
Lisa Solomon Webinar: Advances in Gradient Boosting: the Power of Post-Processing. TOMORROW, 10-11 a.m., PST Dec 13, 2012
Webinar: Advances in Gradient Boosting: the Power of Post-Processing. TOMORROW, 10-11 a.m., PST
1 msg
Lisa Solomon Webinar: Advances in Gradient Boosting: the Power of Post-Processing. TOMORROW, 10-11 a.m., PST Dec 13, 2012
fOptions::CND versus pnorm
1 msg
James fOptions::CND versus pnorm Dec 12, 2012
fOptions::CND versus pnorm
1 msg
James fOptions::CND versus pnorm Dec 11, 2012
OAS vs Ledoit-Wolf covariance shrinkage?
1 msg
matt at considine.net OAS vs Ledoit-Wolf covariance shrinkage? Dec 10, 2012
qantstrat same period execution
6 msgs
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
duplicate column in mktdata, but don't see it [SOLVED]
1 msg
Russell Miller duplicate column in mktdata, but don't see it [SOLVED] Dec 6, 2012
duplicate column in mktdata, but don't see it (R file attached)
1 msg
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
1 msg
Russell Miller duplicate column in mktdata, but don't see it Dec 6, 2012
Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow)
3 msgs
Matt Considine Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow) Dec 1, 2012
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
problem with add.indicators and ATR function
3 msgs
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
help writing quantstrat rule accessing pos/txn info
1 msg
Justin Lilly help writing quantstrat rule accessing pos/txn info Dec 4, 2012
Introducing TFX: An R Interface to the TrueFX Web API
12 msgs
G See Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
Dennis Lee Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
G See Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
Dirk Eddelbuettel Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
Dennis Lee Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
Jeff Ryan Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
G See Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
G See Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
Dennis Lee Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
G See Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
Jeff Ryan Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
rex Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
Introducing TFX: An R Interface to the TrueFX Web API
1 msg
G See Introducing TFX: An R Interface to the TrueFX Web API Dec 3, 2012
time index in high frequency data
2 msgs
Wei-han Liu time index in high frequency data Dec 3, 2012
Santosh Srinivas time index in high frequency data Dec 3, 2012
Tips on creating dummy data?
1 msg
Matt Considine Tips on creating dummy data? Dec 2, 2012
Tips on creating dummy data?
1 msg
Matt Considine Tips on creating dummy data? Dec 1, 2012
quantstrat order execution
1 msg
Ulrich Staudinger quantstrat order execution Dec 1, 2012