ichimoku - Visualization and Tools for Ichimoku Kinko Hyo Strategies

Official version of rusquant package for R

This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by Raffinot (2018).

Agent based modelling of banking sector and exogenous shocks.

Using R for regression in investment (Sungkyunkwan University through Coursera)

IME-published article on Long-term Real Dynamic Investment Planning. While we enhance predictability of the real returns of S&P500 Index, we derive optimal non-myopic investment strategy, and we compare its performance with near-optimal Dynamic and Constant Merton investment strategies.

UNMAINTAINED | R-package providing access to fundamental data and valuation metrics for thousands of publicly traded companies worldwide.

An R Package for the BitCoinCharts.com API which includes functions to acquire historic trade data, weighted prices, and market data.

ETL process designed to obtain fundamentalist indicators of stocks brazilian listed on B3, in order to drive investments analysis based on value.

Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data

Data Analysis Studies on Value Investing

Scalable implementation of Lee / Mykland (2012) and Ait-Sahalia / Jacod (2012) Jump tests for noisy high frequency data

This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some of the topics explored include: machine learning, high frequency trading, NLP, technical analysis and more. Hope you enjoy it!

Collection of functions for pricing european options

Projetos

Multi-factor Risk Models of Asset or Portfolio Returns

Financial Engineering in R

FIFO valuation functions for R

Collection of code for detection and modeling of jumps (WIP)