Publications by Quantitative Finance Collector
Multivariate dependence with copulas
Classes (S4) of commonly used copulas including elliptical (normal and t), Archimedean (Clayton, Gumbel, Frank, and Ali-Mikhail-Haq), extreme value (Husler-Reiss and Galambos), and other families (Plackett and Farlie-Gumbel-Morgenstern). Methods for density, distribution, random number generation, bivariate dependence measures, perspective and co...
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Convert Splus to R
Suppose you have got used to Splus and want to switch to R software (why bother to change? R is free while Splus is not, fair enough?), what can you do? since there are many functions in S-PLUS that are missing in R, one way is to understand the functions and write your owns, working N hours without sleep (N>?). however, you can avoid doing like ...
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Functions for portfolio analysis
Functions include:1. efficient.portfolio compute minimum variance portfolio subject to target return2. globalMin.portfolio compute global minimum variance portfolio3. tangency.portfolio compute tangency portfolio4. efficient.frontier computer Markowitz bullethttp://faculty.washington.edu/ezivot/econ483/...
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Extra moments measure
The following functions are intended to replicate calculations for taking higher moments of hedge fund returns into account in analyzing particular investments. Most of the formulae are taken from various EDHEC research papers.# All returns are assumed to be on a monthly scale!functions including:# moment.third# moment.fourth# CoSkewness# CoKu...
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Maximum likelihood estimation in R
Maximum likelihood estimation can be implemented like Quasi-maximum likelihood in Matlab, You can also write an R function which computes out the likelihood function. As always in R, this can be done in several different ways.One issue is that of restrictions upon parameters. When the search algorithm is running, it may stumble upon nonsensical v...
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Nonparametric High-Dimensional Time Series Analysis
Functional Gradient Descent (FGD) is a method of nonparametric time series analysis, useful in particular for estimating conditional mean, variances and covariances for very high-dimensional time series. FGD is a kind of hybrid of nonparametric statistical function estimation and numerical optimization. In fact, the idea of FGD comes from the fac...
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Test cointegration with R
Cointegrated pairs of securities are crucial for mean reversion trading portfolio construction, Play with cointegration has several good papers to start with. Should you want to test pairs of securities for cointegration using R, here is an excellent webpage with data, code and detailed example, cheers.http://quanttrader.info/public/testForCoint....
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RQuantlib
Quantlib is a free library for modeling, trading, and risk management in real-life providing a comprehensive software framework for quantitative finance, it is written in C++, which might be inconvenient for some users. JQuantLib aiming at Java-fans is naturally developed, correspondently, RQuantlib connects GNU R software with QuantLib.The insta...
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Missing data imputation
Probably all of us have met the issue of handling missing data, from the basic portfolio correlation matrix estimation, to advanced multiple factor analysis, how to impute missing data remains a hot topic. Missing data are unavoidable, and more encompassing than the ubiquitous association of the term, irgoring missing data will generally lead to ...
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How to Create an R Package in Windows
There are many reasons to create an R package, such as codes protection, convenient usage, etc. However, creating an R package in Unix is not hard, it IS in Windows, as R is designed in a Unix environment which includes a set of compilers, programming utilities, and text-formatting routines while Windows lacks those. I used to build an R library ...
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