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0
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0answers
207 views

Forecasting conditional mean in ARMA-GARCH model (R/Matlab)

I am trying to forecast the conditional mean from a ARMA(1,0)-GARCH(1,1) model. The mean equation in my model is: $x_t = \mu + \delta x_{t-1} + h_t \epsilon_t$ where x is the variable (a return ...
2
votes
1answer
412 views

Portfolio Analytics Optimization

I have a large dataset, 10,000 investments I am trying to create an optimized portfolio for. The portfolio has 3 restrictions. Long Only, Only 50 assets can be selected and every invested asset has ...
0
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1answer
229 views

Transforming daily simple returns into weekly

I am trying to transform daily simple returns into weekly returns. I am using the following R code: ...
6
votes
2answers
700 views

The option values are different from two r package - foptions,rquantlib

The results are very different.I know the code from quantlib and the result of quantlib seem right(close to market price). Is there anyone know why the value from fOptions is so large or fOptions used ...
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0answers
27 views

Download DGS3MO from FRED with getSymbols - error

I follow the course "Mathematical topics in finance" from MIT courseware. I opened R and rendered Dr. Kempthorne's Case Study 3: Time Series from September 30, 2013 I am able to render the code and ...
0
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0answers
37 views

Solving inequality constraint

I am trying to solve the following inequality constraint: Given time-series data for N stocks, I am trying to construct a portfolio weight vector to minimize the variance of the returns. the ...
1
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0answers
73 views

Portfolio Optimization with equal weight for assets selected

I have a data frame of bets, with 1 being a win and 0 being a loss. These bets are correlated so I cannot just pick the highest winning percentage. Goal is to get 2 optimizations, 1 for max sharpe ...
2
votes
1answer
72 views

Estimating Carma(2,1) parameters (using yuima package)

I am very new to R, and particularly to the yuima package, so I was hoping someone would be able to help me. I have some data (daily prices) that I wish to fit to ...
3
votes
2answers
117 views

Sobol numbers in monte Carlo simulation

I wanted to figure how how much faster the Sobol quasi random numbers convergence to the B&S call price compared with pseudo random numbers. To generate the Sobol numbers I used the randtoolbox in ...
3
votes
3answers
752 views

Any package to run VAR-GARCH or VECM-GARCH models in R?

I need to estimate a multivariate VECM-GARCH (or simply VAR-GARCH) in R. Browsing on the internet, I did not find anything yet. Do you know if such kind of packages exists? Please, note that a BEKK ...
1
vote
1answer
130 views

Anomaly or feature from Quantmod in R regarding getFX - currency data

I am using R to analyse stock data, using the quantmod package to get all sorts of data, but here specifically FX data using the function ...
1
vote
1answer
74 views

MSRV estimation in R

What are the R packages that let you estimate Multi Scale Realized Volatility (MSRV)? So far I've only found highfrequency (which comes with Realized Kernel as well), but from what I understand it ...
6
votes
2answers
401 views

Is it too important that my residuals be normal? I am Using an ARMA/GARCH model

I am trying to fit an ARMA/GARCH model to a time series. I found that the best candidate is an ARMA(1,0) + GARCH(1,1) with gaussian white noise It has coefficients with p-values near cero and the ...
1
vote
2answers
598 views

garchOxFit in R

Could someone please help me with trying to get the Ox interface to work in R. I followed the steps outlined in this paper (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1752095), but I get the ...
4
votes
0answers
1k views

FIGARCH estimation in R

I am trying to estimate a FIGARCH(1,1) model in R for Value-at-Risk purposes. As I understand it, the rugarch package does not support FIGARCH or FIEGARCH. To that end, I used the garchOxFit function (...
2
votes
0answers
115 views

Behaviour of out of sample efficient frontier

I am comparing the efficient frontier of a set of portfolios that are in and out of sample. The first period is from 1991-01-03 until 1992-10-03 and the second one from 1992-10-03 until 1994-03-03. I ...
3
votes
1answer
329 views

Stochastic Volatility CIR estimation

Would anyone have a code (pref. Matlab or R) for any type of estimation (QML, GMM) not using option prices of a stochastic volatility model driven by a CIR process described below? \begin{equation} ...
2
votes
1answer
320 views

How to create a basket of currency pairs with the lowest correlation in R?

My strategy is designed to buy and sell all assets of a universe and rebalance periodically. It goes either long or short. To limit risk exposure to a single currency I would like the assets in the ...
6
votes
2answers
370 views

Hidden Markov Models methods for selecting optimal number of states

Package RHmm (R) I have a vector which I fit into a hmm model in an attempt to select an optimal number of states for a hidden markov model. ...
43
votes
12answers
17k views

Switching from C++ to R - limitations/applications

I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are ...
2
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0answers
87 views

Gaussian Time-varing copula in R

I want to estimate the parameters of time-varing Normal Copula using R. A bivariate Normal copula is defined as following: The dynamic equation of dependance parameter ρ is : So I need the ...
21
votes
3answers
2k views

Tools in R for estimating time-varying copulas?

Are there libraries in R for estimating time-varying joint distributions via copulas? Hedibert Lopes has an excellent paper on the topic here. I know there is an existing packaged called copula but ...
1
vote
1answer
368 views

Is there a good backtesting package in R?

My model exports a vector that have for each day b-buy s-sell or h- hold it's look like this: sig [1] b b s s b b b s s b s b s s b s b s s s s b b s s b b b b b b s b b b b b b b I want to ...
2
votes
2answers
193 views

What are the advantages of financial modelling in R? [closed]

Recently I've found out that quantitative department in my company uses mostly R software for modeling in general. What is the advantage of modeling financial data in R instead of Excel, or some ...
2
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0answers
46 views

Rollapply: what does by.column do? [closed]

I have read the description of by.column for rollapply in the manual but i couldn't understand how to use it. see below: x=matrix(1:60,nrow=10) rollapply(x,3,mean,fill=NA,align="right",by.column=...
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0answers
46 views

RQuantLib FixedRateBondPriceByYield() Non-tradable error

How do I use FixedRateBondPriceByYield() function on maturity date that is earlier than today? I get "non tradable error" when applying on date older than today. <...
0
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0answers
32 views

Luis Torgo - Case Study, Function creates high leverage

I am doing Luis Torgo Case study - Predicting Stock Market Returns and I have a problem when I use the function trading.simulator in the package DMwR ...
0
votes
1answer
74 views

Binary Option valuation problem in R using RQuantLib; also result validation aspect

When I am trying to value Binary Option using RQuantLib I am not getting all the greeks for exctype "american" wheras "european" exctype is fine. What is the problem here ? ...
2
votes
2answers
128 views

What do you do with low r-squared when calculating high-frequency beta

I am calculating a high-frequency beta. For example I have 90 days of data of the S&P and GOOGLE and I have 10-minute percent returns for each instrument. Each day has 34 10-minute percent returns ...
1
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0answers
181 views

Automated Import of 10-Q and 10-K Statements in XBRL Format from SEC.gov

I want to read financial statements in XBRL Format from the SEC site automatically. For instance the 10-Q File from Apple: http://www.sec.gov/Archives/edgar/data/320193/000119312515259935/aapl-...
1
vote
1answer
174 views

Original Fundamental Accounting Data (Not Ratios)

Where do I get original fundamental accounting data from income statement, balance sheet and cash flow statement, like Sales/Revenue, Gross Income, EBIT, Operating Income, Cash & Short Term ...
2
votes
1answer
192 views

Forecasting using GARCH in R

I am using the predict and ugarchforecast functions in R. When I fit my models and try to forecast, I get either only increasing or decreasing values for sigma, does anyone know why? Thank you ...
7
votes
1answer
18k views

How to interpret results of Johansen Test?

I have two time-series a & b. The objective is to find out whether two series are cointegrated or not. I am using Johansen Test in R to find this out. I am using urca package of R. Here is the ...
2
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0answers
112 views

R quantstrat backtest with dollar based position sizing

I am attempting to tweak a quantstrat based backtest but have run into an issue. The maxPos limits are share based, and I would rather use a fixed dollar amount instead. So I've tried generating a ...
5
votes
2answers
931 views

Change periodicity on Rblpapi

So Dirk Eddelbuettel, Whit Armstrong, and John Laing released Rblpapi to CRAN recently, and it is awesome. I'm having some difficulty understanding how the overrides work though, hopefully someone can ...
1
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0answers
56 views

ROC — Output from Calculating Stock Returns Producing Lower Numbers Than Actual

I tried this on stack exchange, but think it is a better question here. I am beginning user and I need help with an error / bad output I am getting when calculating returns (using ROC) on stock ...
6
votes
1answer
440 views

Calculate turnover for portfolio

I am trying to calculate the turnover for a portfolio strategy. First I generate some random data and assign it dates: ...
1
vote
1answer
177 views

What is the logic behind this backtesting code in R

I am new to R and I have found this simple backtesting code and can you explain me what is happening here. ...
2
votes
0answers
88 views

Ledoit-Wolf portfolio weights calculation

I am trying to implement the Ledoit-Wolf minimum variance portfolio strategy on a real-world stock dataset. ...
4
votes
1answer
93 views

Tools/R-code to create gain/loss-asymmetry plots

The gain/loss asymmetry is a well known stylized fact: It basically states that real financial time series take longer for going up than going down. To detect it a heavy statistical machinery is ...
4
votes
1answer
260 views

Rebalancing portfolio weights

I have a matrix of returns and weights for every time period. ...
2
votes
1answer
107 views

FORECASTING Model AR(1) in an Autoregressive Form The Pi´s Parameters

Ive been implementing a little exercise to obtain the first 2 forecasting points of an AR(1) process. And i want to have the forecasting ponts using the three forms: Im folowing this pdf http://www.le....
7
votes
1answer
1k views

Tools/R code for predicting Dragon-Kings

The theory of the so called Dragon-Kings, esp. by Didier Sornette (ETH Zürich), basically states that financial crises and crashes are predictable (contrary to the theory of black swans). The ...
1
vote
1answer
2k views

Integrating R with Bloomberg

In the past, I have used the package RBloomberg to directly pull bloomberg data into R. I've also seen it go by the names Rbbg or R[Name Redacted]. It seems to me, however, that this package no longer ...
4
votes
1answer
153 views

Are all stocks and stock indexes just white noise

In the paper Super-Whiteness of Returns Spectra from Erhard Reschenhofer of University of Vienna it is commented the following "Until the late 70’s the spectral densities of stock returns and stock ...
4
votes
1answer
114 views

Fit linear model to higher moments of CAPM

How can one fit a linear model to the higher moments of CAPM in R? Fitting a linear model to the second moment (classical CAPM) would be ...
5
votes
1answer
159 views

Simulate (imaginary) asset prices using random numbers that follow a Frank Copula

I didn't understand how to simulate asset prices by using non normal random numbers. I am assuming that it would be incorrect to use the standard Geometric Brownian Motion, since it is based solely ...
1
vote
0answers
74 views

Issues with +100 symbols in Quantstrat, Erratic Trades

I've tested my code against individual symbols and very small groups of symbols. I'm finding the more symbols I add the fewer trades I get. For instance, if I just include the first five symbols, all ...
2
votes
0answers
215 views

Forecast of ARMA-GARCH model in R

I managed to forecast a GARCH model yesterday and run a Monte Carlo simulation on R. Nevertheless, I can't do the same with an ARMA-GARCH. I tested 4 different method but without achieving an ARMA-...
1
vote
2answers
346 views

How to get list of all symbols in fred database?

I am trying to query every single series in the fred database using r. I have checked out both the quantmod and fImport packages, and they work fine, though it seems that quantmod fits my use a bit ...