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23 projects in result set. Displaying 20 projects per page. Projects sorted by alphabetical order.
<1> <2>
Generalized method of moments - This package offers a complete set of tools to estimate models based on moment conditions. It includes the generalized method of moments (GMM) and the generalized empirical likelihood (GEL).
Tags: econometrics, economics, finance

Activity Percentile: 8
Activity Ranking: 36
Registered: 2009-09-03 14:03

Mixed Tempered Stable Distribution - This package provides detailed functions for univariate Mixed Tempered Stable distribution distribution with Gamma mixing density. The package contains routine for mle estimation, for the computation of density, probability, quantile and random numbers
Tags: Finance, Mixture, density estimation, finance, model selection
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2014-07-21 14:47

Multilevel frailty models - Semiparametric proportional hazard models with K random effects, estimated via the EM-PL algorithm (Horny, 2009)
Tags: biostatistics, clustering, dependence, economics, event histories, event sequence, finance, frailty models, longitudinal data, mixed effect models, mixed model, model estimation, multicenter, multivariate, heterogeneity, overdispersion, survival, semiparametric model

Activity Percentile: 0
Activity Ranking: 0
Registered: 2012-04-30 07:14

NMOF - Functions, data and examples from the book 'Numerical Methods and Optimization in Finance' by Manfred Gilli, Dietmar Maringer and Enrico Schumann.
Tags: heuristics, Genetic Algorithms, Differential Evolution, Particle Swarm Optimization, Threshold Accepting, Local Search, grid search, portfolio optimization, option pricing, finance, optimization

Activity Percentile: 0
Activity Ranking: 0
Registered: 2011-06-17 07:31

Opefimor - Companion package to the book Option Pricing and Estimation of Financial Models in R, Wiley, Chichester. ISBN: 978-0-470-74584-7.
Tags: Estimation, Finance, Time series, estimation, finance, option, option pricing, stochastic, stochastic differential equation, stochastic differential equations, stochastic modeling, stochastic processes, time series
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2015-08-21 21:50

PeerPerformance - Set of functions to perform (financial) peer performance calculations
Tags: peer, performance, finance, sharpe, modified sharpe, equal-performance ratio
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2014-01-04 13:05

Quantitative Risk Management - This package is designed to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts. The package is a modfied version of the package 'QRMlib' (see CRAN archive).
Tags: Finance, R, finance, time series
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2012-04-26 14:34

R Point and Figure Library - The R Point and Figure Library is an open source tool-set to create and analyze Point & Figure Charts for given time series or data frame objects.
Tags: finance, Finance, time series, technical chart analysis

Activity Percentile: 0
Activity Ranking: 0
Registered: 2013-03-24 20:11

RCSI - An S4 package to access the CSI Unfair Advantage API (www.csidata.com)
Tags: finance, external interface, database

Activity Percentile: 0
Activity Ranking: 0
Registered: 2008-08-05 05:47

ReturnAnalytics - Performance and risk analysis of financial time series, including packages PerformanceAnalytics and PortfolioAnalytics
Tags: finance, market data, optimization

Activity Percentile: 0
Activity Ranking: 0
Registered: 2009-10-23 21:42

Rmetrics - Computational Finance - Rmetrics is an open source solution for teaching financial market analysis and valuation of financial instruments. With hundreds of functions build on modern methods, Rmetrics combines explorative data analysis and statistical modelling.
Tags: finance, optimization, distributions, teaching

Activity Percentile: 0
Activity Ranking: 0
Registered: 2008-03-01 16:55

TEATIME - Tools for Econometric Analysis of TIMEseries. (NO LONGER MAINTAINED. USE https://bitbucket.org/alexiosg instead).
Tags: econometrics, finance

Activity Percentile: 0
Activity Ranking: 0
Registered: 2013-07-22 04:06

TFX - An R interface to the TrueFX API. TrueFX provides free real-time and historical top-of-book tick data for interbank foreign exchange rates, with fractional pip spreads, in millisecond detail.
Tags: API, market data, finance

Activity Percentile: 0
Activity Ranking: 0
Registered: 2012-04-22 18:16

Time Series Database Interface - Time Series Database Interface (TSdbi) provides a common API to retrieve data from various sources, to simplify user interaction and so programs can be portable wrt the source. SQL implementations also provide a complete database table design.
Tags: MySQL, SQLite, database, economics, finance, time series, PostgreSQL, Oracle, Fame

Activity Percentile: 0
Activity Ranking: 0
Registered: 2008-11-20 03:06

Yuima Project - The project for simulation and inference of multidimensional stochastic differential equations.
Tags: finance, stochastic processes, stochastic differential equation, estimation, time series, model selection, change point, Bayesian, Finance, MCMC, Monte Carlo, Statistics, change detection, changepoint, dynamic systems, inference, likelihood, option, option pricing, simulation, simulations, statistical inference, statistics, stochastic, stochastic differential equations

Activity Percentile: 3
Activity Ranking: 38
Registered: 2009-09-28 11:24

ccgarch2 for the CC-GARCH models - The package, "ccgarch2" is designed to provide functions for simulation and estimation of conditional correlation (CC-) GARCH models. The CC-GARCH model includes the CCC-, DCC- and cDCC-GARCH models.
Tags: econometrics, finance, multivariate, time series
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2014-02-21 01:13

datastream2r - Series of tools that will download financial timeseries and other data from the Thomson Reuters Datastream database.
Tags: finance, time series
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2012-09-27 13:27

deSolve: Differential Equation Solvers - deSolve is a collection of solvers, mostly from the 'lsode' family of solvers. deSolve provides R interfaces to solvers for stiff and non-stiff systems, and can take system descriptions in R, or as defined in dynamically loaded compiled code.
Tags: ODE, differential equations, dynamic systems, ecological models, economic, finance, solver

Activity Percentile: 0
Activity Ranking: 0
Registered: 2008-03-26 19:38

fitob - General solvers for the general Black-Scholes (Fokker Planck) partial differential equation (PDE) in a multi-dimensional setting with main application in finance (PDE-based option pricing).
Tags: finance, option, sparse grids, multi-dimensions, option pricing
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2012-11-02 22:52

highfrequency - ***** We have moved to github: https://github.com/jonathancornelissen/highfrequency/ . ***** The highfrequency package contains a toolkit for the use of highfrequency financial data in R.
Tags: finance
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2012-05-31 14:32

23 projects in result set. Displaying 20 projects per page. Projects sorted by alphabetical order.
<1> <2>
Thanks to:
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