• basta

  • Referenced in 13 articles [sw29265]
  • auto-regressive conditional heteroscedastic model for financial returns with piecewise constant parameter values. Our method ... analysis of the Financial Times Stock Exchange FTSE 100 index reveals an interesting correspondence between...
  • fCopulae

  • Referenced in 5 articles [sw22144]
  • investigate and to analyze bivariate financial returns by Copulae. Included are the families of Archemedean...
  • fMultivar

  • Referenced in 1 article [sw22145]
  • fMultivar: Rmetrics - Analysing and Modeling Multivariate Financial Return Distributions. Provides a collection of functions ... bivariate and multivariate data sets of financial returns...
  • ARCHModels.jl

  • Referenced in 1 article [sw36552]
  • designed to capture a feature of financial returns data known as volatility clustering ... absolute value) returns tend to cluster together, such as during periods of financial turmoil, which...
  • VG_codes

  • Referenced in 2 articles [sw23808]
  • flexible model for log-returns of financial assets, so far it has found rather limited...
  • StFinMetrics

  • Referenced in 35 articles [sw29976]
  • statistical analysis and modelling of financial time series. But the book can also be used ... state space models; factor models for asset returns; rolling analysis and change-point detection; modelling...
  • fBasics

  • Referenced in 15 articles [sw04508]
  • Markets and Basic Statistics , Environment for teaching ”Financial Engineering and Computational Finance” NOTE: SEVERAL PARTS ... WELL AS DEFAULTS FOR ARGUMENTS AND RETURN VALUES. Please donate, www.rmetrics.org, to support future activities...
  • CVXPortfolio

  • Referenced in 6 articles [sw26998]
  • Pandas for data handling (e.g., prices, returns, volumes). Our simple examples show how Quandl ... used to import open source financial data, but any other source can be used instead...
  • PAMR

  • Referenced in 10 articles [sw15437]
  • relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learning ... that it nicely trades off between portfolio return and volatility risk and reflects the mean...
  • OLPS

  • Referenced in 4 articles [sw15435]
  • line portfolio selection is a practical financial engineering problem, which aims to sequentially allocate capital ... assets in order to maximize long-term return. In recent years, a variety of machine...
  • 2-Phase NSGA II

  • Referenced in 3 articles [sw28524]
  • Portfolio optimization is a serious challenge for financial engineering and has pulled down special attention ... reward that is calculated by expected return and to minimize the risk. Variance has been...
  • tidyquant

  • Referenced in 0 articles [sw18457]
  • tidyquant. Tidy Quantitative Financial Analysis. Bringing quantitative financial analysis to the ’tidyverse’. The ’tidyquant’ package ... quantmod’ and ’TTR’ package functions and returns the objects in the tidy ’tibble’ format...
  • Chisel

  • Referenced in 1 article [sw22893]
  • hardware platforms provide approximate operations that, in return for reduced energy consumption and/or increased performance ... from the image processing, scientific computing, and financial analysis domains. The experimental results show that...
  • DEA

  • Referenced in 245 articles [sw00194]
  • Data Envelopment Analysis (DEA) is becoming an increasingly...
  • GAUSS

  • Referenced in 119 articles [sw00322]
  • The GAUSS Mathematical and Statistical System is a...
  • Mathematica

  • Referenced in 6235 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 13100 articles [sw00558]
  • MATLAB® is a high-level language and interactive...
  • mclust

  • Referenced in 281 articles [sw00563]
  • R package mclust: Normal Mixture Modeling for Model...
  • ODESSA

  • Referenced in 28 articles [sw00647]
  • Algorithm 658_ ODESSA - An ordinary differential equation solver...
  • R

  • Referenced in 9188 articles [sw00771]
  • R is a language and environment for statistical...