similar to: help on cross hedge optimal hedge variance ratio

Hi all i have two data sets, spot and futures cash market prices. to estimate the minimum variance hedge ratio, i first had a glance on the correlation coefficient of relative price change (ln(St / St-1). surprizingly the value is just 0.2 compared to actual price correlation of 0.9. (i did regress the spot change on future change, co-effi is 0.3, and R2 is only 0.025 a) in such scenario can

Hi all. I've been lurking and posting on this list for a few years now. Prior to that, I managed the US Convertible Arbitrage portfolio for Amaranth Advisors. I recently agreed to manage a similar portfolio for a different hedge fund and am looking for someone to join me, essentially as the principal quant for a new San Francisco office. I've been very impressed with the posters on

A quantitative hedge fund within Lazard Asset Management in New York City is looking for a talented programmer/statistician to join a small team of researchers and portfolio managers. The job would intersect the fields of finance, applied statistics and computer science. The position involves applying intelligent design and development of r programs to accelerate the speed of research. The

Dear all, I would like to add mixed effects in a multinomial model and I am trying to use MCMCglmm for that. The main problem I face: my data set consits of a trapping data set, where the observation at eah trap (1 or 0 for each species) have been aggregated per traplines. Therefore we have a proportion of presence/absence for each species per trapline. ex: ID_line mesh habitat Apsy Mygl

Hi, I starting a new project, and have run into behavior I cannot replicate in irb, (i.e. outside of using rspec) when the directory? returns true, so I thought I''d ask here, in case any one has seen this badhavior. ruby-1.9.2-p136 rspec (2.5.0) rspec-core (2.5.1) rspec-expectations (2.5.0) rspec-mocks (2.5.0) When I try to run this spec: require Pathname(__FILE__).ascend { |d|

i am working on the project to analyze hedge fund performance, i would appreciate that if you guys could spare some time helping me out with the R code. Thanks. The senario is: i applied BOXPLOT() to plot the performance of all hedge funds with 7 strategies. And right now in this boxplot I need to plot the points of 30 individual hedge funds from my portfolio. And I applied POINTS() and

Hi Martin, my name's Daragh, and I'm a renewal projects architect in the University of Chicago. I saw your name on a listserv - openssh-unix-dev. I was hoping you could lend some insight to a problem we're trying to solve. We are trying to find a way for an Oracle database to connect securely to a mainframe (OS/390 running Model204 DB) through ODBC (Open Database Connection

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

Hi, I wonder if anybody could help me in converting this easy SAS program into R. (I'm still trying to do that!) PROC IMPORT OUT= WORK.CHLA_italian DATAFILE= "C:\Documents and Settings\carleal\My Documents\REBECCA\stat\sas\All&nutrients.xls" DBMS=EXCEL2000 REPLACE; GETNAMES=YES; RUN; data chla_italian; set chla_italian;

On 10/18/18 11:06 PM, Barry Brimer wrote: > > > On Thu, 18 Oct 2018, Robert Moskowitz wrote: > >> >> >> On 10/18/18 4:14 PM, Johnny Hughes wrote: >>> On 10/18/2018 12:36 PM, Walter H. wrote: >>>> On 18.10.2018 00:08, Johnny Hughes wrote: >>>>> The bottom line .. we don't make the decision whether or not to use

Dear R Users, Can someone point me to a R package which will help me optimally choose a lag for Granger Causality testing ? Many thanks in advance, Tolga Generally, this communication is for informational purposes only and it is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. In the event you are

Dear list subscribers, this is posted in appreciation of the level of skill that subscribers to this mailing list enjoy and in no way to abuse it. We are looking to hire a Research Developer with extensive R and/or python development skills. If interested (below), please contact me directly on osklyar at ahl.com: Man Group / AHL Research Developer [3040] Man is a world-leading alternative

Hello ~ I'm recruiting for a hedge fund (type) business (based in London, England, UK) that are looking for good C++ programmers with preferably some experience in statistical modeling/programming/analysis. Perhaps you are a statistician, mathematician or physicist (for example) by background but a programmer by experience (or a graduate). You should ideally also have scripting experience

Dear R-Users, I've written a number of functions in a .R/script file. I would like to call those functions from another script file. How can I execute all the code in a script file so that the functions are available for use in my other script file ? I have tried help.search("script") and various Google alternatives but couldn't come up with anything. Thanks in advance,

Greetings Everyone, A group in my office is designing/integrating what I would loosly label as an "embedded system". In that, it performs a dedicated task and is not a general purpose workstation or server. It operates in a harsh environment, particularly a questionable power environment and they are extremely concerned about inadvertent shutdown and recovery. They were totally

Dear R Users, I would like to get the pdf() command to create graphics in landscape mode, as I am plotting 8 graphs in 2 rows and 4 columns. This is being generated for an a4 printer (so I also use the paper="a4" command). Is there a way I can ask pdf() to generate the document in landscape mode ? Thanks, Tolga Generally, this communication is for informational purposes only and it

Sender: r-help-bounces at r-project.org On-Behalf-Of: kingsfordjones at gmail.com Subject: Re: [R] Calculating confidence limits for the difference between means Message-Id: <2ad0cc110810231137n66760e43i61bdd0c89622d040 at mail.gmail.com> Recipient: ngottlieb at marinercapital.com -------------------------------------------------------- This information is being sent at the

Dear R Users, A bit of an elementary question, but somehow, I haven't been able to figure it out. I'd like to changes the column names of a data frame, so I am looking for something like col.names (as in row.names). Could someone please show me how to change the column names of a data frame ? Thanks, Tolga Generally, this communication is for informational purposes only and it is

I have a few simple questions about the usage of PROTECT, more specifically how careful one needs to be. Simple yes/no answers are fine. Most of the uses I have seen do protection when memory is allocated. But what if one just want to assign a value of another function to a variable. Say eg. that foo is a function that returns a SEXP. Would the following code be fine? SEXP bar;

Dear R Users, Can anyone point me to a package for R vrsion 2.7.1 which implements some Hurst exponent estimation methods ? Thanks in advance, Tolga Generally, this communication is for informational purposes only and it is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. In the event you are