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 …
☆52Aug 19, 2018Updated 7 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Aug 19, 2018Updated 7 years ago
- ☆17Jun 29, 2021Updated 4 years ago
- Getting a better understanding of Black-Litterman and how Betterment manages my ETF portfolio.☆14Jul 29, 2015Updated 10 years ago
- Defensive Programming For Social Scientists Workshop Materials☆10Jan 30, 2018Updated 8 years ago
- Affine Term-Structure Models: Theory and Implementation☆14Apr 6, 2020Updated 6 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- R package for Markov regime-switching models☆12Jan 23, 2018Updated 8 years ago
- Empirical comparison of penalized linear regression in high-dimensional settings☆12Feb 12, 2020Updated 6 years ago
- SVAR toolbox for bayesian VAR estimation and a range of identification methods☆11Feb 16, 2025Updated last year
- Reinforcement learning environment for trading☆15Jan 27, 2018Updated 8 years ago
- Real-Time US Treasury Yields and Prices; Bond analyses and options functions including all the 'Greeks' (R Package)☆12Feb 29, 2016Updated 10 years ago
- The Statistics and Machine Learning with R Workshop, published by Packt☆13Mar 2, 2026Updated 2 months ago
- A repository for portfolio allocation based on embedding data representation☆12Jan 27, 2025Updated last year
- Calculate futures contango rolldown for popular 30 day avg maturity VIX ETFs such as SVXY and XIV☆15Jun 12, 2023Updated 2 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆17Feb 1, 2020Updated 6 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- R package for adaptive correlation and covariance matrix shrinkage.☆23Jan 23, 2019Updated 7 years ago
- Julia implementation of the algorithm described in the paper "A scalable algorithm for sparse portfolio selection" by Bertsimas and Cory-…☆11Mar 22, 2021Updated 5 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆32Feb 10, 2019Updated 7 years ago
- Replication code for simulating and estimation by GMM of DSGE models with higher-order statistics☆11Apr 8, 2022Updated 4 years ago
- A 12 classes introductiry course in MAcroeconomics☆14Jan 28, 2026Updated 3 months ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆12Apr 11, 2023Updated 3 years ago
- Statistical Tools for Covariance Analysis☆14Sep 21, 2025Updated 8 months ago
- ☆28Updated this week
- ECON2125/8013 course files☆19May 27, 2015Updated 10 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Source code for 'Options and Derivatives Programming in C++' by CARLOS OLIVEIRA☆36Mar 30, 2017Updated 9 years ago
- Project repository for "Evaluating the persuasive influence of political microtargeting with large language models" by Kobi Hackenburg an…☆11Jun 19, 2024Updated last year
- This repository replicates the figures from the 3rd edition of the book "Recursive Macroeconomic Theory" by Lars Ljungqvist and Thomas J.…☆12Feb 9, 2016Updated 10 years ago
- Thesis project on forecasting german (epex spot) electricity prices☆13Jun 23, 2018Updated 7 years ago
- Compute shrinkage estimates of the covariance matrix☆15Oct 12, 2015Updated 10 years ago
- NYU Tandon lecture slides☆33Apr 29, 2026Updated 3 weeks ago
- Talk on the statistician/data scientist as project manager.☆12Nov 8, 2018Updated 7 years ago
- Course site for Methods of Statistics☆10Dec 4, 2017Updated 8 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Mar 4, 2021Updated 5 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- ☆10Jan 9, 2026Updated 4 months ago
- Macroeconomic Foundations for Asset Prices, an undergrad course at NYU☆15Dec 16, 2015Updated 10 years ago
- Course notes for the first half of ECON-GA 1025 – Macroeconomic Theory I, Fall Semester 2018☆61Oct 17, 2018Updated 7 years ago
- MOTHBALLED: See README note.☆10Jul 11, 2022Updated 3 years ago
- Multiple shooting method for solving optimal control problems☆15Jan 28, 2019Updated 7 years ago
- Covariance Matrix Estimation via Factor Models☆38Mar 25, 2019Updated 7 years ago
- PhD 403: Empirical Asset Pricing☆28Dec 3, 2018Updated 7 years ago