PerformanceAnalytics

PerformanceAnalytics: Econometric tools for performance and risk analysis: Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.


References in zbMATH (referenced in 13 articles )

Showing results 1 to 13 of 13.
Sorted by year (citations)

  1. Boudt, Kris; Luu, Hong Anh: Estimation and decomposition of food price inflation risk (2022)
  2. Flori, Andrea; Regoli, Daniele: Revealing pairs-trading opportunities with long short-term memory networks (2021)
  3. Boudt, Kris; Cornilly, Dries; Verdonck, Tim: Nearest comoment estimation with unobserved factors (2020)
  4. Goel, Anubha; Sharma, Amita: Mixed value-at-risk and its numerical investigation (2020)
  5. Knoll, Julian; Stübinger, Johannes; Grottke, Michael: Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S&P 500 (2019)
  6. Clegg, Matthew; Krauss, Christopher: Pairs trading with partial cointegration (2018)
  7. Fischer, Thomas; Krauss, Christopher: Deep learning with long short-term memory networks for financial market predictions (2018)
  8. Stübinger, Johannes; Endres, Sylvia: Pairs trading with a mean-reverting jump-diffusion model on high-frequency data (2018)
  9. Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher: Statistical arbitrage with vine copulas (2018)
  10. Clegg, Matthew; Krauss, Christopher: Pairs trading with partial cointegration (2017)
  11. Krauss, Christopher; Do, Xuan Anh; Huck, Nicolas: Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S&P 500 (2017)
  12. Chan, Stephen; Nadarajah, Saralees; Afuecheta, Emmanuel: An \textttRpackage for value at risk and expected shortfall (2016)
  13. Arratia, Argimiro: Computational finance. An introductory course with R (2014)