PerformanceAnalytics

swMATH9997CRANPerformanceAnalyticsMaRDI QIDQ21974

Econometric Tools for Performance and Risk Analysis

Brian G. Peterson, Peter Carl

Last update: 6 February 2020

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 2.0.4

Source code repository: https://github.com/cran/PerformanceAnalytics

Related Items (31)

Mixed value-at-risk and its numerical investigation ⋮ Estimation and decomposition of food price inflation risk ⋮ Pairs trading with partial cointegration ⋮ Deep learning with long short-term memory networks for financial market predictions ⋮ Nearest comoment estimation with unobserved factors ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Statistical arbitrage with vine copulas ⋮ Revealing pairs-trading opportunities with long short-term memory networks ⋮ Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500 ⋮ RTL ⋮ PortfolioAnalytics ⋮ PCRA ⋮ pedquant ⋮ highOrderPortfolios ⋮ RMOPI ⋮ AssetAllocation ⋮ portfolioBacktest ⋮ Pairs trading with partial cointegration ⋮ An R Package for Value at Risk and Expected Shortfall ⋮ rmsfuns ⋮ facmodTS ⋮ Semblance ⋮ scRNAtools ⋮ tidyquant ⋮ Trading ⋮ SMNCensReg ⋮ HeckmanEM ⋮ Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500 ⋮ facmodCS ⋮ SlidingWindows ⋮ Computational Finance

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