[R-SIG-Finance] Analysis of Financial Time Series

[Spencer Graves]

Dear Brian: 

      What do you think of "http://fints.r-forge.r-project.org" and the 
attached "FinTS Project Work Plan.xls"? 

      I think I should next do the following: 

      1.  Fix the obvious display problems with this web site. 

      2.  What do you think about posting questions to R Wiki, then 
asking package maintainers (and later R-SIG Finance) to help resolve 
questions?  That should stimulate a discussion whose resolution should 
be reasonably well documented and accessible to others.  I plan to try 
that with an ARCH question from Tsay's chapter 3. 

      3.  Upload a new version of FinTS to CRAN. 

      4.  When that's available, issue a progress report to 
R-SIG-Finance, inviting responses via R Wiki. 

      Best Wishes,
      Spencer Graves     

Brian G. Peterson wrote:
> Spencer Graves wrote:
>>       I'm currently developing an R companion to Ruey Tsay (2005) 
>> Analysis of Financial Time Series, 2nd ed. (Wiley), and I'd be 
>> pleased to have help. 
>
> Spencer, I am very pleased to hear that you are making progress in 
> this, as it is important work that many students, professionals, and 
> researchers will benefit from.
>
> I'm wondering if you've made a table of the examples or chapters and 
> the specific topics or techniques employed in each.  I think that 
> there are many people on this list who have expertise in specific 
> techniques, as you suggest below.  I think that categorizing the 
> examples by goal or technique could help enlist aid from this group, 
> as individuals could choose a small number of examples that use a 
> technique that they are are either already expert in in R, or a 
> technique which they wish to learn in greater detail.
>
> I'm traveling right now, and my copy of Tsay is at home, but I would 
> be happy to help construct such a cross-reference table if it doesn't 
> already exist.
>
> Regards,
>
>    - Brian
>
>>       A preliminary version "FinTS 0.1-17" is now available on CRAN.  
>> A slightly newer version can be installed from R-Forge via 
>> 'install.packages("FinTS",repos="http://r-forge.r-project.org")'.  
>> The source code is available via "svn checkout 
>> svn://svn.r-forge.r-project.org/svnroot/fints".
>>       The current versions contain all the data sets used in the text 
>> as documented R objects plus script files to generate nearly all the 
>> analyses in chapters 1 and 2.  It is therefore a great help, I 
>> believe, for anyone reading this book.
>>       I could use volunteers to help me complete the package.  So 
>> far, I've found R functions to reproduce nearly all the examples, 
>> figures and tables in the book.  However, I don't use them routinely, 
>> and it is taking me considerable time to find what is available, to 
>> decide which of the available functions seem most appropriate for 
>> each application, and figure out how to use it so I get results 
>> reasonably close to those in the book.  For example, chapter 3 
>> discusses "Conditional Heteroscedastic Models", including ARCH, 
>> GARCH, EGARCH, CHARMA, random coefficient autoregressive models, and 
>> stochastic volatility models.  Other chapters discuss nonlinear time 
>> series, high frequency and continuous time models, extreme values, 
>> multivariate time series, Kalman filtering, and MCMC.  I can follow 
>> the math, but I have not used many of these models myself.
>>       If you are interested in helping with this project, please let 
>> me know. 
>
>
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