enricoschumann / NMOF
Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2019, ISBN:978-0128150658). This repository mirrors https://gitlab.com/NMOF/NMOF .
☆33Updated last week
Related projects: ⓘ
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.☆60Updated this week
- R Finance packages not listed in the Empirical Finance Task View☆11Updated last week
- Easily source publicly available data on derivatives☆36Updated 2 years ago
- R package for high frequency time series data management☆61Updated 2 months ago
- ☆76Updated 3 weeks ago
- ☆67Updated 6 months ago
- Fixed income tools for R☆51Updated 8 months ago
- Riex☆9Updated 3 years ago
- GAS models☆35Updated 3 years ago
- R package for commodities and finance analytics. Sister python package details below.☆28Updated 3 weeks ago
- An R interface to the ITCH Protocol☆18Updated 3 weeks ago
- R package for inference on the Sharpe ratio.☆17Updated 10 months ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆18Updated last year
- R package AssetAllocation☆33Updated 9 months ago
- R package for Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Time Series Models☆17Updated 6 months ago
- R package to download Prof. Kenneth French data sets☆12Updated 5 months ago
- CRAN Task View: Empirical Finance☆56Updated 6 months ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆30Updated 5 years ago
- The Tidymodels Extension for GARCH models☆33Updated 2 years ago
- Univariate GARCH models in R☆23Updated last month
- R package for option pricing☆35Updated 2 years ago
- ☆16Updated 2 years ago
- A shiny application to explore the basics of option evaluation☆15Updated 7 years ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆29Updated 7 years ago
- MSGARCH R Package☆80Updated last year
- An R implementation of Interactive Brokers API☆36Updated this week
- Set of functions to perform (financial) peer performance calculations☆12Updated last year
- ☆45Updated 10 years ago