R-SIG-Finance May 2014

Thread Subject Author Date

102 messages in 41 threads

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simple question

1 msg May 30

walmir-rodrigues simple question May 30, 2014

Time Varying Higher Moments - racd?

10 msgs May 28

Mark Knecht Time Varying Higher Moments - racd? May 27, 2014

Joshua Ulrich Time Varying Higher Moments - racd? May 27, 2014

Alexios Ghalanos Time Varying Higher Moments - racd? May 27, 2014

Mark Knecht Time Varying Higher Moments - racd? May 27, 2014

Alexios Ghalanos Time Varying Higher Moments - racd? May 27, 2014

Mark Knecht Time Varying Higher Moments - racd? May 28, 2014

Alexios Ghalanos Time Varying Higher Moments - racd? May 28, 2014

Mark Knecht Time Varying Higher Moments - racd? May 28, 2014

Alexios Ghalanos Time Varying Higher Moments - racd? May 28, 2014

Mark Knecht Time Varying Higher Moments - racd? May 28, 2014

Simulating returns using copula and SPD distribution

4 msgs May 28

Guillaume PEALAT Simulating returns using copula and SPD distribution May 28, 2014

Alexios Ghalanos Simulating returns using copula and SPD distribution May 28, 2014

Guillaume PEALAT Simulating returns using copula and SPD distribution May 28, 2014

Alexios Ghalanos Simulating returns using copula and SPD distribution May 28, 2014

understanding an error from ugarchfit

4 msgs May 27

firhat.nawfan.h understanding an error from ugarchfit May 27, 2014

Alexios Ghalanos understanding an error from ugarchfit May 27, 2014

firhat.nawfan.h understanding an error from ugarchfit May 27, 2014

Alexios Ghalanos understanding an error from ugarchfit May 27, 2014

stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS

5 msgs May 26

amarjit chandhial stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS May 16, 2014

amarjit chandhial stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS May 16, 2014

amarjit chandhial stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS May 18, 2014

amarjit chandhial stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS May 20, 2014

amarjit chandhial stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS May 26, 2014

R Bitcoin Charts API packge 1.0.1 released

1 msg May 26

Thomas Fuller R Bitcoin Charts API packge 1.0.1 released May 26, 2014

[rugarch package] SIgn Bias Test

3 msgs May 24

Zirael SIgn Bias Test May 24, 2014

Alexios Ghalanos SIgn Bias Test May 24, 2014

Zirael SIgn Bias Test May 24, 2014

Rbbg (formerly RBloomberg) -- Pulling portfolio data

1 msg May 22

Sarran, Paul Rbbg (formerly RBloomberg) -- Pulling portfolio data May 22, 2014

Collaborative R, Python, MATLAB, and Excel plotting. Also Streaming Graphs.

1 msg May 22

Matt Sundquist Collaborative R, Python, MATLAB, and Excel plotting. Also Streaming Graphs. May 22, 2014

R/Finance 2014 slides

2 msgs May 22

Dirk Eddelbuettel R/Finance 2014 slides May 22, 2014

Dirk Eddelbuettel R/Finance 2014 slides May 22, 2014

R/Finance 2014 photos

1 msg May 21

Oleg Mubarakshin R/Finance 2014 photos May 21, 2014

Changing (seasonal) conditional distribution

1 msg May 20

Francis X. Diebold Changing (seasonal) conditional distribution May 20, 2014

Changing (seasonal) conditional distribution in a fGarch model

5 msgs May 20

PoddyOne Changing (seasonal) conditional distribution in a fGarch model May 19, 2014

Alexios Ghalanos Changing (seasonal) conditional distribution in a fGarch model May 19, 2014

PoddyOne Changing (seasonal) conditional distribution in a fGarch model May 19, 2014

PoddyOne Changing (seasonal) conditional distribution in a fGarch model May 19, 2014

Alexios Ghalanos Changing (seasonal) conditional distribution in a fGarch model May 20, 2014

quantstrat - object 'prefer' not found?

2 msgs May 19

rPaulS quantstrat - object 'prefer' not found? May 8, 2014

Joshua Ulrich quantstrat - object 'prefer' not found? May 19, 2014

change-point detection in highly dependent time series

3 msgs May 16

Johannes Moser change-point detection in highly dependent time series May 16, 2014

cen six change-point detection in highly dependent time series May 16, 2014

Johannes Moser change-point detection in highly dependent time series May 16, 2014

generalized beta G distribution

1 msg May 15

Wei-han Liu generalized beta G distribution May 15, 2014

A question on Time series analysis

3 msgs May 15

Christofer Bogaso A question on Time series analysis May 15, 2014

Dominykas Grigonis A question on Time series analysis May 15, 2014

Dominykas Grigonis A question on Time series analysis May 15, 2014

1 msg May 15

Wei-han Liu (no subject) May 15, 2014

fPortfolio and tangency portfolio for two assets

1 msg May 14

allbert.darenberg fPortfolio and tangency portfolio for two assets May 14, 2014

fPortfolio and Matlab: Different results for the tagency portfolio

1 msg May 14

Albert Darenberg fPortfolio and Matlab: Different results for the tagency portfolio May 14, 2014

fPortfolio and Matlab: Different results for the tagency portfolio

1 msg May 14

Albert Darenberg fPortfolio and Matlab: Different results for the tagency portfolio May 14, 2014

Excel price function

1 msg May 14

Katherine Gobin Excel price function May 14, 2014

fPortfolio and minimum variance portfolio

2 msgs May 13

Albert Darenberg fPortfolio and minimum variance portfolio May 12, 2014

amarjit chandhial fPortfolio and minimum variance portfolio May 13, 2014

2 msgs May 13

Wei-han Liu (no subject) May 12, 2014

Alexios Ghalanos (no subject) May 13, 2014

GARCH fitted parametric distributions for copula fitting

2 msgs May 12

Sebastian Ivanciu GARCH fitted parametric distributions for copula fitting May 12, 2014

Alexios Ghalanos GARCH fitted parametric distributions for copula fitting May 12, 2014

Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ?

9 msgs May 10

Pablo Rios Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ? May 6, 2014

fc_11 Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ? May 7, 2014

Joshua Ulrich Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ? May 8, 2014

Pablo Rios Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ? May 8, 2014

Pablo Rios Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ? May 8, 2014

Chinmay Patil Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ? May 8, 2014

Joshua Ulrich Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ? May 9, 2014

amarjit chandhial Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ? May 10, 2014

Pablo Rios Luxor strategy (quantstrat) - Why are successive short (and long) trades happening ? May 10, 2014

timout using "evalWithTimeout" in looped rugarch estimation

8 msgs May 10

Johannes Moser timout using "evalWithTimeout" in looped rugarch estimation May 9, 2014

Johannes Moser timout using "evalWithTimeout" in looped rugarch estimation May 10, 2014

Alexios Ghalanos timout using "evalWithTimeout" in looped rugarch estimation May 10, 2014

Johannes Moser timout using "evalWithTimeout" in looped rugarch estimation May 10, 2014

Alexios Ghalanos timout using "evalWithTimeout" in looped rugarch estimation May 10, 2014

Johannes Moser timout using "evalWithTimeout" in looped rugarch estimation May 10, 2014

Alexios Ghalanos timout using "evalWithTimeout" in looped rugarch estimation May 10, 2014

Johannes Moser timout using "evalWithTimeout" in looped rugarch estimation May 10, 2014

[Announce] YUIMA package on CRAN

1 msg May 9

stefano iacus YUIMA package on CRAN May 9, 2014

Scaling and Clustering of Financial Data

1 msg May 9

stefano iacus Scaling and Clustering of Financial Data May 9, 2014

2 msgs May 9

Adam Ginensky Volume data May 9, 2014

max nissman Volume data May 9, 2014

Implied Volatility

2 msgs May 8

Katherine Gobin Implied Volatility May 8, 2014

Oleg Mubarakshin Implied Volatility May 8, 2014

2 msgs May 8

BBands clustering May 7, 2014

Neil Tiffin clustering May 8, 2014

getSymbols not properly accounting for GOOGL's stock split.

2 msgs May 7

Ilya Kipnis getSymbols not properly accounting for GOOGL's stock split. May 6, 2014

Joshua Ulrich getSymbols not properly accounting for GOOGL's stock split. May 7, 2014

Is TTR::volatility(..., calc="close") correct?

1 msg May 6

Ivan Popivanov Is TTR::volatility(..., calc="close") correct? May 6, 2014

Paris R/Rmetrics Conference registration deadline - 15 May 2014

1 msg May 5

P. Henaff Paris R/Rmetrics Conference registration deadline - 15 May 2014 May 5, 2014

Writing sell rules with quantstrat

3 msgs May 4

fc_11 Writing sell rules with quantstrat May 3, 2014

Joshua Ulrich Writing sell rules with quantstrat May 4, 2014

Ilya Kipnis Writing sell rules with quantstrat May 4, 2014

preserving dates in output of tseries

4 msgs May 2

Alec Schmidt preserving dates in output of tseries May 1, 2014

sean fallon preserving dates in output of tseries May 1, 2014

Chinmay Patil preserving dates in output of tseries May 1, 2014

Alec Schmidt preserving dates in output of tseries May 2, 2014

moments (and/or density) for "std" in the "rugarch"-package or "TF2" in the "gamlss.dist"-package

1 msg May 2

Johannes Moser moments (and/or density) for "std" in the "rugarch"-package or "TF2" in the "gamlss.dist"-package May 2, 2014

Mode list to mode numerical.... fast..

5 msgs May 1

Steve Greiner Mode list to mode numerical.... fast.. May 1, 2014

Joshua Ulrich Mode list to mode numerical.... fast.. May 1, 2014

Dirk Eddelbuettel Mode list to mode numerical.... fast.. May 1, 2014

Mustafa Baydogan Mode list to mode numerical.... fast.. May 1, 2014

Mustafa Baydogan Mode list to mode numerical.... fast.. May 1, 2014

rbbg connection problem

1 msg May 1

Aidan Corcoran rbbg connection problem May 1, 2014

efficient code for nonlinear garch model

1 msg Apr 30