Re: [R-SIG-Finance] PairTrading package

ding=6> •Gerry Bamberger and Nunzio Tartaglia •Quantitative group at Morgan Stanley •Around 1980s •D.E. Shaw & Co. is famous for this strategy Pair trading was pioneered by … 4 r-forge.r-project.org From: Enrico Schumann Sent: Tuesday, September 22, 2020 1:

Re: [R-SIG-Finance] PairTrading package

Thanks a lot, Enrico. From: Enrico Schumann Sent: Tuesday, September 22, 2020 1:29 AM To: Alec Schmidt Cc: Daniel Cegiełka ; r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] PairTrading package On Mon, 21 Sep 2020, Alec Schmidt writes: > Dan

Re: [R-SIG-Finance] PairTrading package

From: Daniel Cegiełka Sent: Monday, September 21, 2020 5:01 PM To: Alec Schmidt Cc: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] PairTrading package Hi Alec, $ R --version R version 4.0.0 (2020-04-24) -- "Arbor Day" Copyright (C) 2020 The R

[R-SIG-Finance] PairTrading package

I used to have R version 3.6.0 and tried to install PairTrading but got a message that the package is not available for that version. Now I've updated R to 4.0.2. but still have the message: package �PairTrading� is not available (for R version 4.0.2) I wonder if anything can be done about it

Re: [R-SIG-Finance] A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Brian, You're right, of course. But the Roll's model was an influential work in 1980s when the bid/ask prices were not easily available (if at all). But the transactional prices were available ( 'time and sales' tapes). So, this model was a nice and useful theoretical exercise.  Alec

Re: [R-SIG-Finance] effects of events that happened at the same time

From: Brian G. Peterson Sent: Thursday, May 21, 2020 5:08 PM To: Alec Schmidt ; r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] effects of events that happened at the same time On Thu, 2020-05-21 at 19:17 +, Alec Schmidt wrote: I usually use some arma (+garch) model with dummy

[R-SIG-Finance] effects of events that happened at the same time

I usually use some arma (+garch) model with dummy variables to study the effects of various events that happen on different days. I wonder if there is some way to discern their impacts if the events happen simultaneously, e.g. all macroeconomic announcements in some country are published on the

[R-SIG-Finance] GARCH for random time grid

I'd like to calculate GARCH-type volatility on a random grid using transaction prices and greatly appreciate pointers to the relevant hitherto research and software in free domain. Thanks, Alec [[alternative HTML version deleted]] ___

Re: [R-SIG-Finance] corrections vs drawdowns

Brian, I added references for 'forecast' and 'rugarch'. As for my script, It's a 'spagetti' without comments, which I can share privately. Best, Alec From: Brian G. Peterson Sent: Monday, April 1, 2019 11:38 AM To: Alec Schmidt; r-sig-finance@r-project.org

Re: [R-SIG-Finance] corrections vs drawdowns

Here is my piece about US equity market corrections: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3362361 I'll greatly appreciate your comments. Alec From: Brian G. Peterson Sent: Tuesday, January 8, 2019 11:55 AM To: Alec Schmidt; r-sig-finance@r

Re: [R-SIG-Finance] corrections vs drawdowns

trough. But of course there may be a more generic setup. Alec From: Brian G. Peterson Sent: Tuesday, January 8, 2019 11:55 AM To: Alec Schmidt; r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] corrections vs drawdowns I think that this is correct

Re: [R-SIG-Finance] corrections vs drawdowns

correction's trough. But of course there may be a more generic setup. Alec From: Brian G. Peterson Sent: Tuesday, January 8, 2019 11:55 AM To: Alec Schmidt; r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] corrections vs drawdowns I think that this is correct

Re: [R-SIG-Finance] corrections vs drawdowns

/08/2011 - 08/19/2011 (-15.96%) [31 Days] 05/02/2011 - 06/17/2011 (-7.59%) [34 Days] 02/22/2011 - 03/16/2011 (-6.54%) [17 Days] 07/18/2000 - 10/09/2002 (-97.34%) [559 Days] Alec From: Brian G. Peterson Sent: Tuesday, January 8, 2019 11:17 AM To: Alec Schmidt; r

[R-SIG-Finance] corrections vs drawdowns

I tried to use the function findDrawdowns() to compile NASDAQ (^IXIC) corrections. For the sample starting on 2007-01-01, I get the following start -to-trough periods with drawdowns higher than 10% 08/30/2018 - 12/24/2018 (-23.64%) [80 Days] 07/21/2015 - 02/11/2016 (-18.24%) [143 Days]

[R-SIG-Finance] input parameters for optimize.portfolio.rebalancing() in PortfolioAnalytics

I have a sample of daily portfolio returns and would like to estimate the weights using 252-day periods, starting with the 1st day of the sample, and do rebalancing every 126 days. How do I define the following parameters: rebalance_on, training_period, rolling_window Thank you, Alec

Re: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks

11:13 AM To: Alec Schmidt; Jason Hart Cc: R-SIG-Finance Subject: Re: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks Alec, I do not believe that there is a closed form optimization solution for what you are trying to do. In other words, I am agreeing with Coleman

Re: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks

gt; wrote: > >> On 03/07/2018 08:39 PM, Alec Schmidt wrote: >> Thank you Brian. I searched PortfolioAnalytics.pdf for 'tracking' but didn't >> find one. Are there any implementation examples? > > See Ross Bennett's tutorial from R/Finance 2017: > > https://r

Re: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks

t: Wednesday, March 7, 2018 9:14 PM To: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks On 03/07/2018 07:55 PM, Alec Schmidt wrote: > Say I have a portfolio of 100 stocks and want to find a subset of 20 stocks > with mini

[R-SIG-Finance] Minimizing tracking error with restricted number of stocks

Say I have a portfolio of 100 stocks and want to find a subset of 20 stocks with minimum tracking error in respect to the original portfolio. I wonder if a solver to this problem is implemented in some R-based library. Thanks! Alec [[alternative HTML version deleted]]

Re: [R-SIG-Finance] Yahoo Finance API change

Thank you Josh. I did not know about quantmod 0.4-9. From: Joshua Ulrich <josh.m.ulr...@gmail.com> Sent: Tuesday, June 27, 2017 5:00 PM To: Alec Schmidt Cc: r-sig-finance Subject: Re: [R-SIG-Finance] Yahoo Finance API change What versions are you ref

Re: [R-SIG-Finance] Yahoo Finance API change

It is possible now to download long time series of prices from Yahoo manually. However, the 'old' APIs for quantmod and tseries do not work. Is there chance new APIs will be implemented? Alec From: R-SIG-Finance on

Re: [R-SIG-Finance] Yahoo Finance API change

IMHO it's not necessarily quantmod problem. I use get.hist.quote() from tseries, which, too, yields the same error 502. From: R-SIG-Finance on behalf of Joshua Ulrich Sent: Tuesday, May 16,

Re: [R-SIG-Finance] Yahoo Did not update

Roger, I'm getting nervous with yahoo outage. Google works indeed, but it provides only closing but not adjusted prices. Any way around? Thanks, Alec From: R-SIG-Finance on behalf of Roger Bos

Re: [R-SIG-Finance] Yahoo Did not update

And now I cannot download from yahoo at all (it worked until 20 min ago): trying URL 'http://chart.yahoo.com/table.csv?s=AAPL=5=01=2012=4=12=2017=d=q=0=AAPL=.csv' download error, retrying ... 1: In download.file(url, destfile, method = method, quiet = quiet) : cannot open: HTTP status was

Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio: nloptr needs resampling

tr sensitivity to initial conditions was ever discussed. Best, Alec From: Enrico Schumann <e...@enricoschumann.net> Sent: Saturday, March 19, 2016 4:14 PM To: Alec Schmidt Cc: R-SIG-Finance@r-project.org Subject: Re: [R-SIG-Finance] comparing solve.

Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio

: Alec Schmidt Cc: R-SIG-Finance@r-project.org Subject: Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio On Fri, 18 Mar 2016, Alec Schmidt <aschm...@stevens.edu> writes: > I'm puzzled that I cannot reproduce results for asset weights using > solve.

[R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio

I'm puzzled that I cannot reproduce results for asset weights using solve.pq and nloptr even in the case of just three assets. E.g. if I use NLOPT_LD_SLSQP and start with initial weights of 1/3, I may obtain (0.47, 0, 0.53) vs (0.52, 0, 0.47). If I start with (0.52, 0, 0.47), I do get

Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio

:08 AM To: Alec Schmidt Cc: R-SIG-Finance@r-project.org Subject: Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance portfolio On Fri, 18 Mar 2016, Alec Schmidt <aschm...@stevens.edu> writes: > Hi Enrico, > Many thanks for your interest. I attach my script and input file wi

Re: [R-SIG-Finance] Solver for a generic optimal portfolio

ther reasons for minimizing turnover too, but those are the ones most often discussed). We still don't know enough about what the other objectives and constraints you have for your portfolio to recommend a specific solver. Regards, Brian On 03/12/2016 07:47 PM, Alec Schmidt wrote: > Bri

[R-SIG-Finance] Solver for a generic optimal portfolio

I'd like to estimate weights of an optimal portfolio other than min variance portfolio by replacing covariance matrix with something else. Is there an R package that can do this (my understanding is that solve.QP is not helpful for this task). Thanks! Alec [[alternative HTML version

[R-SIG-Finance] a problem with external regressors in rugarch

Hi everyone, I'm struggling with adding external regressors X to arma+garch model using the following script: spec1121ex = ugarchspec(variance.model = list(model = sGARCH, garchOrder = c(2,1)), mean.model = list(armaOrder = c(1,1), include.mean = TRUE, external.regressors = X),