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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 ...
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=...
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 ...
2
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0answers
87 views

Ledoit-Wolf portfolio weights calculation

I am trying to implement the Ledoit-Wolf minimum variance portfolio strategy on a real-world stock dataset. ...
2
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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-...
2
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0answers
114 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 ...
2
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0answers
296 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, ...
2
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1answer
360 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 http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:...
2
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2answers
164 views

Calculate efficient frontier using fPortfolio with incomplete set of returns

I want to calculate the efficient frontier for a set of 140 assets using returns from the past 10 years. However, some of these assets came into existence only more recently, so for some assets I have ...
2
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0answers
140 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 ...
2
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0answers
146 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: ...
2
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0answers
207 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 ...
2
votes
1answer
102 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: '...
2
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0answers
96 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 ...
2
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0answers
756 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 (1,1)...
2
votes
1answer
378 views

Interpretation of cross-correlation matrix when one sample distribution is not normal

I am looking at the variance of (log) price changes in securities vs. the amount of social media discussion about them. I'm not interested in building a model. I'm just looking to see if there is a ...
2
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0answers
340 views

Any one know how to implement the Heston and Rouwenhorst country-sector effects regression in R?

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. ...
2
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0answers
138 views

How to simulate a Geometric Binomial Process with state/tie dependent increments?

I want to simulate a geometric binomial process with state/time dependent increments. So the model is given by \begin{align}R_t=\frac{X_t}{X_{t-1}}\end{align} \begin{align}P(R_t=u)=p(X_{t-1},t) \...
2
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0answers
823 views

Philips-Ouliaris test for cointegration

I'm trying to implement cointegration tests using the R urca package. I've figured out the Johansen test (ca.jo), but I'm having trouble with the Philips-Ouliaris test (ca.po). I have two questions: ...
2
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0answers
146 views

What does negative gamma mean in APGARCH model?

I got a gamma of -0.1321677. ...
2
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0answers
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, ...
2
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0answers
101 views

Option symbol conversion [closed]

Maybe more of a programming question, Is there a Ruby gem to facilitate conversion of an option symbol notation from one form to another? For example, one source provides TZA1220J18 but an API for ...
1
vote
2answers
462 views

How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?

I have mean reverting data (Difference of 2 stock prices, that I want to do pairs trading on). I want to simulate my own mean reverting data as similar as possible to the real data that I have. The ...
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1answer
112 views

Understanding Yang-Zhang Volatility Estimator

I am using TTR in R and I am trying to understand the Yang Zhang volatility estimator. The following equations seem to imply a single value: $$ \sigma = \sqrt{{\sigma_o^2}+k\sigma_c^2+(1-k)\sigma_{rs}...
1
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1answer
64 views

Issues in estimating VaR with GARCH

I am currently trying to figure out how to estimate the value at risk using the rugarch package in R. I've come to a result, but it seems a bit excessive. Here's my code: ...
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3answers
259 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, ...
1
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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 ...
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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 ...
1
vote
1answer
153 views

How to implement momentum strategy using R

I am trying to see if momentum strategy has a profitability in a bond market. I have a bond dataset which is a panel data and it is monthly. It looks something like the table below. For each month ...
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2answers
106 views

Stochastic process theory question

*S follows a process $dS= mSdt + oSdz$ where m and o are constant. What is the probability followed by $ Y=(Se)^{(r-t)} $. If S follows a process $ dS= k (b-S) dt + oSdz $ where k, b, o are ...
1
vote
1answer
73 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 ...
1
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1answer
176 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. ...
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2answers
388 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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3answers
510 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 ...
1
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1answer
84 views

Brownian motion simulation - scaling issue

I'm trying to simulate some BM for 500 observations. I got correlated increments as I needed and they are not exactly N(0,1), so I standardize them (x-mean(x))/sd(x). But then the resulting Brownian ...
1
vote
1answer
94 views

Calculating the global minimum variance portfolio in R?

I am attempting to use the globalMin.portfolio command to calculate the global minimum variance portfolio in RStudio. My code is as follows (note that several libraries have been included which may ...
1
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2answers
40 views

type mismatch in Rquantlib Bond.cpp

I've been tracing back through bond.cpp and find the following in FloatingBond() : double dayCounter = Rcpp::as<double>(datemisc["dayCounter"]); $\mathrm{...
1
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1answer
39 views

Disappear Standard Error in OxEdit/G@rch6 package

Hellow everyone, I'm new here. Please instruct me to do something. My problem is when I run FIGARCH(0,d,1), OxEdit still show me a matrix with variable names, coefficient, s.e, t-stat... like this ...
1
vote
1answer
71 views

Error when trying to estimate a Markov-switching Var model in R

I'm trying to estimate a Markov-switching VAR in R using the command msvar. These are the first 10 entries of my two time series. I have 798. When I try to run this I get an Error message ...
1
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1answer
96 views

how to calculate RMSE, MAE, given ugarchforecast results?

Given S&P500 returns for the past 20 years I fitted an ARMA(1,1)-GARCH(1,1) model using the rugarch package, so using ugarchspec() and the ugarchfit(), with different innovations distributions, i....
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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
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1answer
333 views

Portfolio Management in R

I’ve been looking around for a R-package that will allow me to track my stock portfolio - basically I would like to enter stocks that I own, track the trades I make, calculate my open position & ...
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 ...
1
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1answer
173 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 ...
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 ...
1
vote
1answer
144 views

Interpretation of Johansen cointegration test in R

I am using urca package of R for Johansen Cointegration test in 2 stocks datas( A and B. My question is very elementar, but have cause some problems for me. How I interpret the critical values, for ...
1
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1answer
44 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 ...
1
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1answer
233 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 ...
1
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1answer
374 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: ...
1
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1answer
63 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. ...