similar to: Vol calculations

Hi, I'm an R newbie and I've been struggling with a optimization problem for the past couple of days now. Here's the problem - I have a matrix of expected payouts from different stock option strategies. Each column in my matrix represents a different stock and each row represents the return to the strategy given a certain market move. So the rows are not a time series of percentage

I have an array called "stocks" which contains numeric dates, ticker symbols,prices, etc. > stocks[1:3,] DATE TICKER PERMNO EXCHCD TSYMBOL TRDSTAT SHROUT PRC RET 1 19950131 EWST 10001 3 EWST A 2224 -7.75000 -0.031250 2 19950228 EWST 10001 3 EWST A 2224 7.54688 -0.026210 3 19950331 EWST

Can someone verify for me if the for loop below is really calculating the nonzero min for each row of a matrix? I have a bug somewhere in the is section of code. My first guess is how I am find the the nonzero min of each row of my matrix. The overall idea is to make sure I am investing all of my money, i.e. new.set is a set of indicator variables for each stock for a particular portfolio, i.e.

Hi, I am trying in R to indicate in which quintile a value of a variable is for every month of my data frame in this case based on volatility. For each month I want to know for each stock if it is in the most volatile quintile of if it is in one of the others. So far I have come up with the following function (see below). Unfortunately, the function only works in some cases and often gives the

Hi all, I am currently optimising a small portfolio I have created as a part of my research project in Excel. I am unable to find the appropriate package to port this into R. My problem set up is as follows Minimise ABS(Sum(Xi-Xi')+10*Sum(XiMi)/Mavg) Subject to: 0 <= Xi <= 0.05 ABS(Sum(Xi)) = 0.2 where Mi - Market Cap of Stock i Xi - Initial weight of Stock i Xi' - New weight of

Hi, Apologies for the long mail. I have a data.frame with columns of price/mcap data for a portfolio of stocks, and the date. To get the total value of the portfolio on a daily basis, I calculate rowSums of the data.frame. > set.seed(1) > ab <- matrix(round(runif(100)*100),nrow=20,ncol=5) > ab[1:5,4:5] <- NA > ab[6:10,5] <- NA > ac <- as.data.frame(ifelse(ab <=

Dear R helpers I have following data stocks <- c("ABC", "DEF", "GHI", "JKL") prices_df <- data.frame(ABC = c(17,24,15,22,16,22,17,22,15,19),                                          DEF = c(22,28,20,20,28,26,29,18,24,21),                                           GHI = c(32,27,32,36,37,37,34,23,25,32),                                          

Hi I'm getting the following errors while using the efficientPortfolio function even though I'm setting the target return to the mean of the TargetReturn I obtain from the portfolio object created by the feasiblePortfolio function. First Error: Error: targetReturn >= min(mu) is not TRUE Second Error: Error in .rquadprog(Dmat = args$Dmat, dvec = args$dvec, Amat = args$Amat, :

Dear all, i have daily stock prices for more than 10 years and want to compute annual volatilities for certain dates during this period. Since i have found no "easy" way to work with time data, the data presents itself in the structure TIme Index - Stock Price 1 - 15,6 2 - 17 ... ... 2010 - 28 2011- 28,5 ... 4500 - 23 Since I want to have the volatility only for certain dates, I

Hi, I am an R novice working with financial data. I am developing a portfolio strategy evaluation technique to back-test the performance of our screens; checking how the screened stock would've performed over the period in question. I am using quantmod in R to download the historical data from yahoo and then analyzing it using PerformanceAnalytics. My problem is that, as our screens are done

My mistake sir. I was literally engrossed in my stupid logic, and while doing so, overlooked the simple and very effective solution you had offered. Sorry once again sir and will certainly try to be very careful in future. Thanks again and have a great weekend sir. Regards Amelia --- On Fri, 7/1/11, Petr PIKAL <petr.pikal@precheza.cz> wrote: From: Petr PIKAL

Dear sir, I am extremely sorry for messing up the logic asking for help w.r.t. my earlier mails   I have tried to explain below what I am looking for.     I have a database (say, currency_rates) storing datewise currency exchange rates with some base currency XYZ.   currency_rates <- data.frame(date = c("12/31/2010", "12/30/2010", "12/29/2010",

How to use R to solve the optimisaton problem Minimize: ?*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position ?*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position W: is the update weight of portfolio Wo is the initial weight of portfolio Omega is the variance covariance matrix mu is the vector of return rate of stocks in the portfolio C is the vector coefficient of transaction cost

Dear All, i want to use garch model in return of stock. and the data should presence volatility cluster (Heteroscedasticity). Do you know how to test volatility cluster (the presence of heteroscedasticity) in series data of stock return in R? Is it using Langrange Multiplier (LM) ARCH test? what package i should use? I really need the help. Thanks for the attention. Eko A P

I have a search form on my rails site. once the a user has entered a query it displays the results in a table with an extra field button so it can be added to there own portfolio called add to my stocks. How do i get the data for the stock they want to add and put this into a new table called mystocks. Is using a form submit button the right choice? Any examples much appreciated Regards Nick

Hi Everybody, I am a total beginner at this so please bear with me. I downloaded by hand the file WIG20.txt (Warsaw Stock Exchange Index of 20 most important stocks). The format is this: Name,Date,Open,High,Low,Close,Volume WIG20,19940414,1000.00,1000.00,1000.00,1000.00,71600.000 WIG20,19940418,1050.50,1050.50,1050.50,1050.50,99950.000 WIG20,19940419,1124.90,1124.90,1124.90,1124.90,138059.000

The GnuCash development team announces GnuCash 5.2, the third release in the stable 5.x series Between 5.1 and 5.2, the following bugfixes were accomplished: ? Bug 777472 - reconcile does not work if transaction selected Check that there's no outstanding activity in the current register page before starting a reconciliation. It is still possible to start modifying a transaction after the

Hi, This is probably trivial to most people out there, but I'm struggling with this. I have a data set which contains the closing prices (properly adjusted for dividends and splits) for several hundred securities and the closing prices for a general stock market index (S&P 500). I have no problem getting it into R with RODBC and manipulating it. There are no missing values. I can

Fritz just put the first version of a new time series package to the contrib section at CRAN. The package is called "tseries.tgz" and provides a library for time series analysis. It contains acf Autocorrelation Function adf.test Augmented Dickey-Fuller Test amif Auto Mutual Information Function bds.test BDS Test

Fritz just put the first version of a new time series package to the contrib section at CRAN. The package is called "tseries.tgz" and provides a library for time series analysis. It contains acf Autocorrelation Function adf.test Augmented Dickey-Fuller Test amif Auto Mutual Information Function bds.test BDS Test