Octave is the free clone of MATLAB so very likely to be the closest.There are only very small syntax differences.HTH

Octave is the free clone of MATLABHTH

<t>I'm trying to figure out how to estimate time varying parameters (using a Kalman Filter) in a linear regression.The Kalman Filter is available in a few packages in R but nothing is said about the way to use it to estimate time varying coefficients.Does anyone know how to do that ?Any help appreci...

RQ, Aaronthanks for the answers. It's basically what I was hoping forNo clear cut answer but some clues about what to look at

Quantie,Very interesting paper. Do you know if the same is available in R?Thanks

<t>Hi all,I would like to estimate the maximum capacity for a european equity hedge fund. Is there any standard ways of doing this?I heard that the maximum percentage of daily volume in any stock should be lower than 10% in order not to impact the market. The figure sounds reasonnable but I can't re...

I posted the web adress in another thread (same forum) about a month ago.Despite a few bugs this is a fantastic tool. I use it more and more.If you guys have any comments they're welcome

<r>Have a look at the following web site : <URL url="http://www.linux.org/dist/index.htmlThis">http://www.linux.org/dist/index.htmlThis</URL> is a list of (nearly) all distributions available. Pick the one that suits you.As a general comment I'd say that : * Red Hat is actually the big daddy but the...

A good starting point would be to look a the article by Almgren & Chris published in 2000 (don't remmember the exact title).There is a book as well called "Optimal trading strategies" by KissellHTH

You guys should read "Optimal Trading Strategies" by Kissell & GlantzThere are also papers by Almgren & Chris on the same topic where you should be able to find what you look for.HTH

thefullmoby,Would you be able to share what you've done?I'll be interested to know the way you did that in R.Thanks

<r>NeroTulipThere are some people out there who're trying to build a (free) clone of S+Finemetric.Have a look at the below web page:<URL url="http://www.itp.phys.ethz.ch/econophysics/R/archiveSeries.htmThe"><LINK_TEXT text="http://www.itp.phys.ethz.ch/econophysic ... ies.htmThe">http://www.itp.phys....

Flymuse,If you still want to install Octave on your (Windows) machine the below link will be very helpful.It took me 10 mns to insall.http://octave.sourceforge.net/Octave_Windows.htmHTH

<t>Who do you think HF sell their products to ????PB: it's hard to give you a clearcut answer because there are a wide range of activities under the name fund of funds. From seeding start up funds to simply invest in well established funds (if it's still possible...). However I think GAM, MAN and Ma...

It might not be used on desks but very popular among the hedge fund community...HTH