BessieChen / R-in-FinanceLinks
This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), and other active portfolio management strategies. The course implements volatility and price forecasting models, asset pricing and factor models, and portfolio optimization. The course applies machine learning …
☆50Updated 6 years ago
Alternatives and similar repositories for R-in-Finance
Users that are interested in R-in-Finance are comparing it to the libraries listed below
Sorting:
- ☆49Updated this week
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- ☆28Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆18Updated last year
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- Example code of simple things one can do with our open-source asset pricing data☆52Updated 10 months ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Functions for the construction of risk-based portfolios☆52Updated 4 years ago
- NYU Tandon lecture slides☆31Updated 3 weeks ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- ☆37Updated last year
- Financial research data services for academics.☆95Updated 5 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- An R package for using mixed-frequency GARCH models☆71Updated 2 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 8 months ago
- A framework for financial systemic risk valuation and analysis.☆171Updated 2 years ago
- ☆45Updated 9 years ago
- Empirical Data and Some Simulation Codes☆102Updated 6 years ago
- Composite Indicators Framework for Business Cycle Analysis☆60Updated 3 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆159Updated last year
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- ☆23Updated 7 years ago
- Pricing the Term Structure with Linear Regressions☆38Updated 7 years ago
- ☆105Updated 3 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆63Updated 3 years ago