PerformanceAnalytics

Econometrics library

A package of econometric functions for analyzing financial performance and risk

GitHub

211 stars
30 watching
105 forks
Language: R
last commit: 5 days ago
Linked from 1 awesome list


Backlinks from these awesome lists:

Related projects:

Repository Description Stars
braverock/portfolioanalytics A PostScript-based software suite for analyzing and optimizing investment portfolios using various optimization techniques and robust covariance matrix estimators. 80
braverock/quantstrat A package that provides an infrastructure to model and backtest signal-based quantitative strategies using R 289
epickrram/grav Tools for visualizing and analyzing application performance 293
braverock/blotter A package providing infrastructure for building trading systems and simulations by defining transactions, portfolios, and accounts across multiple assets and currencies. 114
braveg1rl/performance-now A simple testing repository for exploring and demonstrating software development concepts 0
greyblake/ta-rs A Rust library providing technical analysis indicators for financial data 706
benjaminmgross/visualize-wealth A Python library for constructing, analyzing, and evaluating portfolios and their benchmarks. 140
heerozh/spectre A high-performance, GPU-accelerated library for building quantitative trading strategies using factor analysis and backtesting 655
nnamdi-sys/finalytics An Rust-based library for financial data analysis and portfolio optimization 22
statisticianinstilettos/recmetrics A library providing evaluation metrics and diagnostic tools for recommender systems. 571
adeverse/ade4 An R package for analyzing ecological data using exploratory and Euclidean methods 38
bpsmith/tia A toolkit providing data access and analysis tools for financial markets 409
stefan-jansen/empyrical-reloaded A Python package providing common financial risk and performance metrics used in portfolio optimization 55
revolutionanalytics/rhadoop A collection of reusable components and libraries for big data processing and analysis 763
stefan-jansen/pyfolio-reloaded Provides comprehensive performance and risk analysis tools for financial portfolios using Python and the Zipline backtesting library. 392