PerformanceAnalytics
From MaRDI portal
Software:21974
swMATH9997CRANPerformanceAnalyticsMaRDI QIDQ21974FDOQ21974
Econometric Tools for Performance and Risk Analysis
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
Cited In (31)
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- Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
- Revealing pairs-trading opportunities with long short-term memory networks
- Deep learning with long short-term memory networks for financial market predictions
- Estimation and decomposition of food price inflation risk
- Trading
- An R Package for Value at Risk and Expected Shortfall
- tidyquant
- SMNCensReg
- HeckmanEM
- RTL
- PCRA
- PortfolioAnalytics
- pedquant
- highOrderPortfolios
- RMOPI
- AssetAllocation
- portfolioBacktest
- Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
- Nearest comoment estimation with unobserved factors
- rmsfuns
- Semblance
- scRNAtools
- Mixed value-at-risk and its numerical investigation
- Computational finance. An introductory course with R
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