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thanks Jeff for your detailed answer. It worked just fine. regards, Anass |------------------------------ | jeff.a.ryan at gmail | .com | | 03/21/2008 16:53 | To Anass MOUHSINE/fr/socgen at socgen cc r-sig-finance at stat.math.eth z.ch...

Actually I am using R 2.5.1 and Rmetrics221.10065 Thanks for the tip it might be that. I will download the last version and test back. |------------------------------ | chalabi at phys.ethz | .ch | | 01/30/2008 16:58 | To Anass...

Thank you Jeff, my aim was to calculate standard statistics + volume weighted prices and spreads. I will try out the xts package, but I am wondering if it can aggregate Multivariate timeSeries (e.g, (spread, volume) or (price,volume)). thanks...

thank you gus for your thoughts!! I am starting to replicate some C++ code I developed years ago on LOB (Limit Order Book) analysis into R. So I start with the simple VWAP, VWAS, TWAS etc...but the objective is...

Hi all, I have a list of stocks in a variable e.g. l = c("MSFT","IBM") using a loop, I would like to use each stock symbol in the function setSymbolLookup. to be more specific, I know how to...

Hi guys, I have a timeSeries object like this one V10 2005-04-08 17:31:41 0.01 2005-04-08 17:31:57 0.02 2005-04-08 17:32:00 0.02 2005-04-08 17:32...

Hello, I am carrying out some research on tick data and I am faced to a date problem when trying to transform my dataset into timeSeries. My date time is written this way "2005-04-08 08:30:35.916...

Hi all, Suppose I have two xts time series with asynchroneous time index. I would like for example to calculate a ratio of those two series, but I don't know how to get an intersection of the two indices...

Hi all, While using the demos in package quantstrat ( btw a very nice and useful package), I wondered about the application on a synthetic asset. I've seen the possibilities offered by the FinancialInstrument package on the subject. This package...

Hi Jeff, I used the xts package as you advised. I have a timeSeries object called test >test[1000:1005,] V10 V7 2005-04-08 10:55:16 0.3202287 448 2005-04-08 10:55:16 0.3945675 552...

Hi Jeff, I used the xts package as you advised. I have a timeSeries object called test >test[1000:1005,] V10 V7 2005-04-08 10:55:16 0.3202287 448 2005-04-08 10:55:16 0.3945675 552...

Hi everybody, When trying to fit an ARMA(0,2)-APARCH(1,1) model to a timeseries, it results in the following warning message: NaNs produced in: sqrt(diag(fit$cvar)) the print function gives the following result _______________________________________________________________________ Title: GARCH...

Hi all, I've got an xts series in the New York time zone, and I would like to convert it to Paris time. > t1 Open High Low Close Volume 1998-04-20 08:42:00 12.727 12.727...

Hi all, I encountered a weird behaviour of merge function while using it with xts objects. I have multiple xts objects (10 timeseries) that I want to merge in order to conduct a multivariate analysis. Here is an example with...

Hi all, here is an example code for a basic strategy on a synthetic asset. (with error :-( ) Let us assume I already calculated the synthetic asset. You will find it attached. require(quantstrat) try(rm("order_book.testP",pos=.strategy...

Here, you will find attached data used to illustrate the issue. here is the code used as well #reading file t1=read.csv("AUDJPY.csv", sep=";") rownames(t1)<-t1[,"Index"];t1<-t1[,-1] #constructing xts object t1<-as.xts(t1...

Thank you Brian for your insights. I understand a little bit more the philosophy behind the spread definition with Financial Instruments. I totally agree with you on the necessity to test a spread as a univariate time series without entering...