Brian G Peterson

Brian G Peterson

4 packages on CRAN

1 packages on GitHub

97th

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Collection of econometric functions for performance and risk analysis. In addition to standard risk and performance metrics, this package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.

89th

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Portfolio optimization and analysis routines and graphics.

quantstrat

github
15th

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Specify, build, and back-test quantitative financial trading and portfolio strategies.

MSGARCH

cran
85th

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Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2017) <https://ssrn.com/abstract=2845809>.

85th

Percentile

Infrastructure for defining meta-data and relationships for financial instruments.