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The TTR contains functions to construct technical trading rules in R.
The sde package provides simulation and inference functionality for stochastic differential equations.
The termstrc and YieldCurve packages contain methods for the estimation of zero-coupon yield curves and spread curves based the parametric Nelson and Siegel (1987) method with the Svensson (1994) extension. The former package adds the McCulloch (1975) cubic splines approach, the latter package adds the Diebold and Li approach. TheSmithWilsonYieldCurve construct the yield curve using the Smith-Wilson approach based on LIBOR and SWAP rates.
The vrtest package contains a number of variance ratio tests for the weak-form of the efficient markets hypothesis.
The gmm package provides generalized method of moments (GMM) estimations function that are often used when estimating the parameters of the moment conditions implied by an asset pricing model.
The tawny package contains estimator based on random matrix theory as well as shrinkage methods to remove sampling noise when estimating sample covariance matrices.
The opefimor package by contains material to accompany the Iacus (2011) book entitled "Option Pricing and Estimation of Financial Models in R".
The maRketSim package provides a market simulator, initially designed around the bond market.
The BurStFin and BurStMisc package has a collection of function for Finance including the estimation of covariance matrices.
The AmericanCallOpt package contains a pricer for different American call options.
The VarSwapPrice package can price a variance swap via a portfolio of European options contracts.
The FinAsym package implements the Lee and Ready (1991) and Easley and O'Hara (1987) tests for, respectively, trade direction, and probability of informed trading.
The parma package provides support for portfolio allocation and risk management applications.
The GUIDE package provides a GUI for DE rivatives and contains numerous pricer examples as well as interactive 2d and 3d plots to study these pricing functions.
The SharpeR package contains a collection of tools for analyzing significance of trading strategies, based on the Sharpe ratio and overfit of the same.
The RND package implements various functions to extract risk-neutral densities from option prices.
LSMonteCarlo can price American Options via the Least Squares Monte Carlo method
The BenfordTests package provides seven statistical tests and support functions for determining if numerical data could conform to Benford's law.
The OptHedging package values call and put option portfolio and implements an optimal hedging strategy.
The markovchain package provides functionality to easily handle and analyse discrete Markov chains.
The ycinterextra package models yield curve interpolation and extrapolation using via the Nelson-Siegel, Svensson, or Smith-Wilson models, as well as Hermite cubic splines.
The tvm package models provides functions for time value of money such as cashflows and yield curves.
The MarkowitzR package provides functions to test the statistical signicance of Markowitz portfolios.
The egcm package implements the Engle-Granger two-stage cointegration modeling procedure with a particular focus on pairs trading.
The pbo package models the probability of backtest overfitting, performance degradation, probability of loss, and the stochastic dominance when analysing trading strategies.
The OptionPricing package implements rfficient Monte Carlo algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.
Risk management
Several packages provide functionality for Extreme Value Theory models: evd, evdbayes, evir, extRemes, ismev.
The packages CreditMetrics and crp.CSFP provide function for modelling credit risks.
The mvtnorm package provides code for multivariate Normal and t-distributions.
The Rmetrics package fExtremes also contain a number of relevant functions.
The copula and fgac packages cover multivariate dependency structures using copula methods.
The actuar package provides an actuarial perspective to risk management.
The ghyp package provides generalized hyberbolic distribution functions as well as procedures for VaR, CVaR or target-return portfolio optimizations.
The ChainLadder package provides functions for modeling insurance claim reserves; and the lifecontingencies package provides functions for financial and actuarial evaluations of life contingencies.
The frmqa package aims to collect functions for Financial Risk Management and Quantitative Analysis.
The ESG package can be used to model for asset projection, a scenario-based simulation approach.
The riskSimul package provides efficient simulation procedures to estimate tail loss probabilities and conditional excess for a stock portfolios where log-returns are assumed to follow a t-copula model with generalized hyperbolic or t marginals.
Books
The FinTS package provides an R companion to Tsay (2005), Analysis of Financial Time Series , 2nd ed. Wiley, and includes data sets, functions and script files to work some of the examples.
The NMOF package provides functions, examples and data from Numerical Methods in Finance by Manfred Gilli, Dietmar Maringer and Enrico Schumann (2011), including the different optimization heuristics such as Differential Evolution, Genetic Algorithms, Particle Swarms, and Threshold Accepting.
Data and date management
The its, zoo and timeDate (part of Rmetrics) packages provide support for irregularly-spaced time series. The xts package extends zoo specifically for financial time series. See theTimeSeries task view for more details.
timeDate also addresses calendar issues such as recurring holidays for a large number of financial centers, and provides code for high-frequency data sets.
The fame package can access Fame time series databases (but also requires a Fame backend). The tis package provides time indices and time-indexed series compatible with Fame frequencies.
The TSdbi package provides a unifying interface for several time series data base backends, and its SQL implementations provide a database table design.
The data.table package provides very efficient and fast access to in-memory data sets such as asset prices.
The TFX package provides an interface to the TrueFX (TM) service for free streaming real-time and historical tick-by-tick market data for interbank foreign exchange rates at the millisecond resolution.
The Rbitcoin package offers access to Bitcoin exchange APIs (mtgox, bitstamp, btce, kraken) via public and private API calls and integration of data structures for all markets.
The TAQMNGR package manages tick-by-tick (equity) transaction data performing 'cleaning', 'aggregation' and 'import' where cleaning and aggregation are performed according to Brownlees and Gallo (2006).
The bizdays package compute business days if provided a list of holidays.
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