shabbychef / SharpeRLinks
R package for inference on the Sharpe ratio.
☆20Updated 6 months ago
Alternatives and similar repositories for SharpeR
Users that are interested in SharpeR are comparing it to the libraries listed below
Sorting:
- Easily source publicly available data on derivatives☆37Updated 3 years ago
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 11 years ago
- R package for high frequency time series data management☆62Updated last month
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆37Updated last week
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 6 years ago
- R package for fitting the partially cointegrated model☆15Updated 2 years ago
- Functions for the construction of risk-based portfolios☆52Updated 4 years ago
- R package for Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Time Series Models☆20Updated last year
- GAS models☆34Updated 4 years ago
- CRAN Task View: Empirical Finance☆57Updated last week
- An R interface to the ITCH Protocol☆18Updated 10 months ago
- ☆20Updated 11 years ago
- ☆45Updated 11 years ago
- R scripts related to finance. These scripts will be clones or adaptations of the works of the Systematic Investor and QuantStrat TradeR b…☆9Updated 10 years ago
- Functions for various methods to rank assets☆17Updated 12 years ago
- R package for high frequency trading (HFT) backtests, intraday portfolio analysis and portfolio optimization.☆16Updated 9 years ago
- Conformal Time Series Forecasting Using State of Art Machine Learning Algorithms☆25Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- Expected Shortfall Backtesting☆12Updated last year
- Methods for Temporal Disaggregation and Interpolation of Time Series☆41Updated last week
- An R Interface to the Quantopian Zipline Financial Backtester☆25Updated 7 years ago
- ☆20Updated 7 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated 6 months ago
- Full Bayesian Inference for Hidden Markov Models☆43Updated 6 years ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated 2 years ago
- An R Package for testing the Efficient Market Hypothesis☆28Updated 8 years ago
- ☆17Updated 3 years ago
- Analysis of the US stock market using Kohonen's SOM algorithm☆21Updated 5 years ago
- KFAS: R Package for Exponential Family State Space Models☆66Updated last month
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago