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22
votes
9answers
7k views

What tools exist for order book analysis and visualization?

What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for ...
0
votes
0answers
26 views

Rblpapi-Getting different numbers than Bloomberg

I used the following code to pull day to day total returns (net dividends) from Bloomberg Terminal for a list of securities I have. When I compare my data using the GF function in Bloomberg, I am ...
4
votes
1answer
107 views

GARCH volatility modeling, squared returns, and convergence

After reading some more of Volatility Trading, I decided to try to make a simple volatility model using daily log returns of an ETF I follow. It turns out "simple" is sort of relative. Unfortunately, ...
3
votes
1answer
75 views

rugarch: GARCH external regressors

I'm currently playing around with the great rugarch package in R. However, I tried to test the external regressor functionality. I implemented a GARCH(1,1) process and compared it with a GARCH(0,1) ...
2
votes
1answer
113 views

VEC GARCH (1,1) for 4 time series

I have to estimate a VEC GARCH(1,1) model in R. I already tried rmgarch, fGarch, ccgarch, mgarch, tsDyn. Has somebody estimated a model like that? ...
5
votes
1answer
171 views

DCC GARCH - Specificating of ARCH and GARCH parameter Matrices STATA

The command in STATA to calculate the DCC model of two variables is: mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t) $$ \begin{bmatrix} ...
1
vote
0answers
33 views

R:log return calculation for panel data structure

I have a long form panel for hourly prices of stocks. I want to do log return calculation for this panel data structure. This is sample data: ...
1
vote
1answer
85 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}...
2
votes
1answer
94 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: '...
4
votes
0answers
59 views

Block bootstrap to synthesize asset prices

I have a few basic questions on block bootstrapping on a financial time series ('TS'). Assuming my trade universe consists of 10 stocks, I would like to create a set of synthetic prices for all 10 ...
1
vote
0answers
35 views

Problems in computing VaR with GARCH-GPD-copula approach

I use a time-varying Gaussian copula (with GARCH-filtered standardized residuals modeled semiparametrically with Gaussian kernel interior and GPD tails, i.e. generalized pareto distributed) to ...
1
vote
1answer
73 views

Generating random yields

I would like to test different methods for fitting a yield curve, like the Nelson-Siegel, cubic splines etc. I would like to generate random yield to maturity data, that somehow reflects the common ...
0
votes
0answers
20 views

How to measure practically the performance of Venture Capital backed tech firms following an IPO?

I am currently writing a thesis about whether the fact that a tech firm backed by venture capital companies achieves higher returns following an IPO (Horizon of 3 years). I have about 800 tech ...
2
votes
1answer
70 views

Vasicek yield curve

Term structure is determined by a two-factor affine model (Vasicek). Using the monthly swap market data, we fit the model to match exactly the one-year and ten-year points along the swap curve ...
3
votes
1answer
343 views

ARMA+GARCH prediction with package rugarch (R)

I am analyzing FTSE 100 series, from 2007-01-01 to 2010-12-31 (university exam homework). I have to use the data 'til 2010-11-30 as sample, and the remaining (23) observations as in-sample forecast (...
3
votes
1answer
62 views

Importance Sampling for Least Square Monte Carlo

I am currently trying to implement and model an Importance Sampling estimator for Longstaff and Schwartz algorithm for pricing American put options. It is used such that more paths are in-the-money ...
2
votes
1answer
339 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:...
3
votes
0answers
41 views

False warning messages in R, is it possible?

I'm modeling GARCH-filtered standardized residuals via semiparametric distribution with Gaussian kernel and GPD (generalized pareto distribution) tails with thresholds at 5% and 95%. For some series I'...
3
votes
2answers
112 views

Open source software for stock screening and scanning using technical analysis?

I am looking for open source software which can download stock data (yahoo/google finance etc) and used for screening/scanning stocks using technical analysis, for example: return stock list if ...
2
votes
1answer
92 views

Starting values for constrOptim() in R

I want to perform a constraint optimization for Maximum Likelihood Estimation in R to forecast volatility of returns. The probleme is that my initial values aren't in the permitted region. Is there ...
1
vote
0answers
28 views

Forecasting conditional returns in DCC-GARCH-copula approach in R

anyone who could help me interpreting and modifying this code? I have a dataset and want to reserve the last 100 returns for out-of-sample analysis. After specifying and fitting the garch-spd-copula, ...
0
votes
1answer
49 views

GARCH Model Constant in Regression

When regressing a variable on a constant of 1, the coefficient of this constant is the mean. However, when I specified that the residuals follow a GARCH(1,1) model, the coefficient of the constant ...
1
vote
0answers
35 views

(Reproducible example) Conditional returns in GARCH-EVT-Copula context (with R)

I'm estimating a time-varying correlation matrix for the normal copula using the rmgarch package from R. I've found this code in the rmgarch.tests folder. I use the ...
0
votes
1answer
76 views

Package for multivariate Garch Vech model for R?

I`m new to programming and searching a package for R which inherents the estimation for a Vech Garch(1,1). This is a multivariate Garch model which forms the residuals and the covariance matrix from a ...
1
vote
0answers
39 views

How to backtest strategy in portfolio of stocks using SIT R?

I am creating and testing strategies in R code and using systemic investor toolbox(SIT) package as the backtesting tool. I copied a SIT backtesting code from a website and made small changes to make ...
1
vote
1answer
91 views

Is it possible to download stock-data countrywise with quantmod package for R?

Is it possible to download stock-data countrywise with quantmod package for R ? Hi, I'm wondering if it's possible to download equities countrywise. Let's say i want all data from the Finnish market....
3
votes
0answers
61 views

what is the minimum capital necessary for quantitative/automated/algorithm trading? [closed]

I mean from my home for myself I have a degree in statistics so I know time series, predictions, R ... I would like to design statistical model for trading with R I don't ask for trading strategies, ...
3
votes
1answer
84 views

Return.portfolio error from PerformanceAnalytics package

When using the PerformanceAnalytics package of R, I am getting an error from the Return.portfolio function whenever I ask it to rebalance_on any frequency. If the rebalance parameter is removed, the ...
1
vote
1answer
80 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 ...
4
votes
2answers
112 views

Using R with princomp to create hedge baskets

I am experimenting to try to find better ways to hedge some of our equity portfolios. It's easy enough to use R to get a PCA breakdown of exposure for a portfolio but I can't figure out how to then ...
3
votes
1answer
150 views

Could someone teach me how to construct the portfolios by compute (like using R, Excel or Eviews)

Recently, I am doing my dissertation that covers asset pricing theory. The empirical test of Fama 3 factors model is an important part of this dissertation. Please let me review the fama model. Fama ...
1
vote
0answers
46 views

How to write time-varying functions in R? Applied example

Let's say I want to use a Gaussian copula $$C_{R_t}(\eta_1, ..., \eta_n) = N_{R_t}(N^{-1}(\eta_1), ...,N^{-1}(\eta_n))$$ with a time-varying correlation matrix $R_t$. Through DCC we model the ...
0
votes
0answers
22 views

How to Download Benchmark Weights in R on daily basis?

I would like to download benchmark weights on a daily basis in R for NSE Stock Exchange. Do we have any package in R for the same. If yes, then please help out with example code.
1
vote
0answers
88 views

Update Daily price from yahoo in R

I am trying to update daily prices from yahoo via below R code, but code is not working properly and i am not getting any error as such. One can see the reference code at following link. http://www....
2
votes
2answers
113 views

How many years of historical data is require for Portfolio Optimization?

I would like to know about below questions. How many years of historical data is require for Portfolio Optimization in R programming. Thanks Atul
1
vote
2answers
39 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
vote
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: ...
6
votes
1answer
184 views

Obtaining risk-neutral probability from option prices

Suppose I have the following data (for the current stock and option prices of the Bank of America) Strike Last IV Probability 4 8 5.43 0.5813566 0.0000000 7 11 2.45 0.2868052 ...
2
votes
2answers
57 views

Automate selection of BIC-minimizing ARIMA(1,0,X) model

I want to estimate an ARIMA(1,0,X) model. The MA(X) in the model is selected to minimize BIC. I have the following code employing the function auto.arima from "...
1
vote
0answers
66 views

Optimize a trading strategy created in excel with R

I have created quite a complex back test in excel spanning 15 years with 17 parameters. I would like to optimize the parameters which would give me maximum return given a maximum draw-down percentage. ...
0
votes
0answers
32 views

Evaluation of Bayesian GARCH

I am using the bayesGARCH package to estimate Bayesian GARCH models and I was wondering how to evaluate them in terms of precision of forecast or at least the quality of the model. I have encountered ...
5
votes
1answer
113 views

Bloomberg & R: Accessing multiple securities with getBars() in R

I am attempting to access 1 minute trade data for 50 securities using Bloomberg API (rblpapi). Following is the code I got from the CRAN: ...
2
votes
0answers
38 views

Using Market Prices of Bonds to Model the Discount Curve with a Polynomial (Math + R)

I have a small program I'm building to interpolate the discount curve from a portfolio of benchmark bonds. If anyone has any guesses as to whether it's my process, or my code that's messed up I would ...
9
votes
4answers
20k views

How to fit ARMA+GARCH Model In R?

I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ...
1
vote
0answers
169 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: ...
1
vote
1answer
137 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 ...
0
votes
1answer
45 views

How to create time series with lagged in R [closed]

Would anyone else advise me, how to create time series with lagged in R. I would the result is the difference with lagged, there is a function Delt() but the result is the percentage change. Please ...
2
votes
0answers
91 views

Simulate correlated Geometric Brownian Motion in the R programming language

In response to this question: How to simulate correlated Geometric brownian motion for n assets? One of the responses provides an implementation in MATLAB: http://www.goddardconsulting.ca/matlab-...
2
votes
0answers
61 views

Johansen cointegration test interpretation in R

I want to test my time series for cointegration using the Johansen test in R. I got the following result and so I know now that at least 5 out of 9 of my time series are cointegrated. My question is, ...
0
votes
0answers
14 views

How to set the mean matrix in fPortfolio package in R

I'm doing a mean-variance analysis of 5 ETF's and insted of using the sample mean i used a time series model to forecast it. I want to do a backtest of a tangency portfolio getting the weights with ...