Showing posts with label Open API. Show all posts
Showing posts with label Open API. Show all posts

R code snippet : Read and Concatenate Prices of Constituents of a Stock Index

This post shows how to read all prices of constituents of a stock index given all symbols as a string. It is a prerequisite of the pairs trading backtest.

Tentative Topics (Keeping Track to Avoid Forgetting)

Segmented Nelson-Siegel model
Shifting Endpoints Nelson-Siegel model
Nadaraya-Watson estimator
Locally weighted scatterplot smoothing (LOWESS)
Time-Varying Parameter Vector Autoregressions (TVP-VAR)
Time-varying or Dynamic Copula
Bayesian VAR
Adrian-Crump-Moench (ACM) term premium model
GARCH-EVT-Copula approach