An open source programming language and software environment for statistical computing and graphics.

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110 views

Building custom indices; getting data from web; stats analysis; Python or R?

I would like to build a couple of custom indices. I would like to be able to enter ticker(s) into an input and have ohlc, volume, qualitative ...data downloaded from yahoofinance, google finance, ...
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1answer
61 views

Geometric Return & Performance Results for Quarterly Rebalancing

I have a Portfolio that is rebalanced every 3-months. The portfolio is made up of assets that have daily log-returns. I am a bit confused when charting the results using ...
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1answer
1k 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 ...
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1answer
211 views

short-sale constraint with nonpositive-definite matrix in portfolio optimization

I need help about portfolio optimization in R. I have inverted matrix and I want to use it as an input in portfolio optimization. It was non-positive definite before I have handled it. In portfolio ...
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3answers
278 views

Daily option data

I am wondering where I can pull daily (hourly, by-the-minute, etc. even better) option data for a particular underlying. I would prefer a database I could scrape through and API, but would not mind ...
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75 views

GARCH modelling and forecasting

I have a few questions regarding GARCH modelling and forecasting and it would be great if someone could help me. I am modelling the log return of oil spot prices using various GARCH models: GARCH, ...
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0answers
62 views

How can I do a dynamic GARCH model using extended Kalman filter in R?

Today I was reading an article quoted here, in this article is proposed an adaptive (dynamic) Garch model. How can I do it in R? The use of extended Kalman filter or particle filter is indifferent. I ...
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104 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} ...
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70 views

Ibrokers: reqMktData extremely slow when adding tickers

I am trying to snap prices in R for the latest price for a list of stocks (around 150). When I snap them for 2 stocks, it's almost instantaneous: ...
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107 views

Stationarity tests in the frequency domain for regression

Strict stationarity is the strongest form of stationarity. It means that the joint statistical distribution of any collection of the time series variates never depends on time. So, the mean, variance ...
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169 views

one-step-ahead Stochastic Volatility for 5-minute VWAP prices

I'm trying to run an SV model against prices of Euro/USD. For those not familiar with SV, its a volatility model in which each point gets its own volatility parameter $h_t$ with 3 main parameters that ...
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1answer
169 views

Plot Evolution of portfolio weights over time in R [closed]

Is there any function for plotting the evolution of portfolio weights over time in r?. I have a matrix of portfolio weights from an equal weighting strategy at rebalancing times and want to plot ...
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213 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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173 views

trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?

Background: I want to compare two trading strategies in term of profitability. The red one is an active trading strategy, which involves many entry and exit to a specific market. The blue one is a ...
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0answers
64 views

rugarch and rolling estimation

I use Rugarch for a long time in order to calibrate GARCH models on FX rates time series and perform simulations. I am trying to understand the ugarchroll method. However even if I can find plenty of ...
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0answers
133 views

RCaller & RQuantlib error in java

I am receiving the following error: ...
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33 views

How to set up Heston and Rouwenhorst regression? [duplicate]

Heston and Rouwenhorst (1994) devised an empirical estimation strategy to decompose stock returns into three components: a pure industry effect, a pure country effect, and a world-factor return. ...
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351 views

Interpolate option volatility in delta space in R

I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls ...
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531 views

portfolio optimization with a loop

I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
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2k views

Backtest pair trade strategy in R

I am looking for some tips on how to run a simple backtest on a pairtrading strategy intraday using eg. 30minute bars. I have calculated the spread, ...
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2answers
438 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 ...
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2answers
58 views

Fractals indicator (Bill Williams) R Quantstrat

Hi has anyone seen or know how to create an indicator for fractals in quantstrat? fractals explained http://forex-indicators.net/bill-williams/fractals example code (only interested in type 1 ...
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1answer
184 views

Portfolio optimzation : efficient frontier with respect to risk aversion parameter with R

I am currently trying to write a little script in R to determine the optimal weights given a fixed risk aversion parameter. The problem I have is that by increasing the risk aversion parameter I think ...
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3answers
157 views

Portfolio Optimization - Zero beta portfolio

I am trying to solve a optimization portfolio in R in which I do the following constraints: Set weight sum to within a boundary Set return to a certain value Set portfolio beta to 0 The purpose ...
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1answer
361 views

I want to keep a column in getSymbols or get.hist.quote with the Date as as.Date format [closed]

I use getSymbols to download historical information over an environment with 200 tickers but I cannot seem to keep the date information from becoming an index. I ...
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1answer
298 views

How to plot custom hourly data into R with quantmod?

I'm trying to get into R because for some personal project, I need R and quantmod to create OHCL charts for me. I'm stuck at the candleChart creation step, and I'm not sure I understand why. Using a ...
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1answer
21 views

Residuals in the Ljung box test

does anybody know what type of residuals is used in the Ljung box test in R? raw or standardized? Because basically when I fit a GARCH model using garchFit, the summary() function gives me all the ...
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1answer
84 views

Quantiles, Value-at-Risk and log normal random walks…

Sorry, that's probably quite a bunch of silly questions, but I just got lost a bit and need to dot all the i's and cross some t's :). Let's say we have a series of returns (like this one we may get ...
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1answer
97 views

Chart Correlation warnings

when I run chart.Correlation I get a series of warnings. I get the identical warnings with chart.Correlation(managers[,1:2],method="pearson") Here is a short sample: ...
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1answer
43 views

Risk free rate for Performance Analytics

In [R] one can pass either a vector or scalar as the risk free rate. What is better? If I pass a vector to (for example) chart.riskreturnscatter then the sharpe ratio lines disappear. ...
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1answer
320 views

IB with R which package?

I want to implement my models in R and trade according to them with my IB account. Now I am wondering, how I should solve this problem? Do I need to program with C an access ...
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14 views

Can you tell me what this RBloomberg formula means?

I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
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1answer
46 views

Accuracy of GARCH& ARCH forecast

I'm learing ARCH&GARCH model. I have four questions that I don't know the answers 1st: ARCH & GARCH are often used to evaluate equities. Does it mean that ARCH and GARCH are fitter for high ...
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1answer
25 views

Diebold-Mariano test

I am trying to use the Diebold-Mariano test but it doesnt work for some reason. Here is my code: dm.test(maegarch14,maeegarch14,h=126) where ...
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1answer
42 views

Constant decreasing volatility, GARCH forecasting

I am trying to forecast the volatility using GARCH modelling in R. I fit an ARMA(1,1)-GARCH(1,1) model, but my sigma predictions are constantly decreasing. Anybody know why? ...
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1answer
54 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 ...
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46 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 ...
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26 views

comparison of speech signal processing and financial data

I have read that in speech signal processing analysis when voice is segmented in brief temporary segments the series segments transitions from being non stationary to stationary. My question is if ...
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1answer
71 views

Technical Analysis - OBV indicator calculation in R

Here is a few references about OBV calculations: http://ta.mql4.com/indicators/volumes/on_balance_volume ...
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87 views

R TTR/RSI does not behave like a Bloomberg RSI

The implementation of TTR:RSI differs slightly from the RSI calculated in Bloomberg, see more details here. I use in TTR the SMA, which simply calculates the mean, that is a walking window of: ...
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0answers
74 views

Using the R package “ termstrc ”

I am attempting to use the function estim_nss from the termstrc package in R. However, I am experiencing the following error: ...
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570 views

Calculating the efficient frontier from expected returns and SD

I'm trying to calculate the efficient frontier (and the optimal portfolio at the Sharpe ratio) given two vectors for a portfolio: (1) expected returns and (2) historical standard deviations. I would ...
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27 views

garchOxFit in R-oxo file does not match

Could someone please help me with trying to get the Ox interface to work in R. I get the following errors as output: This version may be used for academic research and teaching only Link error: ...
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116 views

Asian option numerical pricing method generates a negative time value

I use R to write a function which simulates price path and calculates the value of an arithmetic Asian option. I found sometimes the value of the option can be lower than its intrinsic value, i.e., ...
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437 views

Calculating the VaR from a GARCH(1,1) with Student-t innovations

I'm self-studying several questions on Ruey S. Tsay's teaching page. I'm experiencing some difficulty getting the correct answer for final exam 2013 Problem B Question 3. Given a Student-t GARCH ...