Code
R packages
Quantitative Finance
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The SharpeR package supports statistical inference on the Sharpe ratio: computing confidence intervals on the Sharpe, as well as the 'maximal Sharpe' of the Markowitz portfolio, estimating power, and so on.
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The MarkowitzR package supports statistical inference on the elements of the Markowitz portfolio, including the linear conditional expectation case.
Probability Distributions
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The PDQutils package allows one to approximately compute the distribution, density, and quantile functions (the so-called 'p, d and q' functions in R) of probability distributions when only the moments or cumulants are known.
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The sadists package is a showcase for the
PDQutils
package. It provides density, distribution, quantile, and random generation for several classes of probability distributions.
Other
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The madness package accumulates derivatives of multivariate-valued functions of multivariate input by forward differentiation. The primary use case for this is in the delta method: one can write code in R to transform simple means into more elaborate estimates, while
madness
computes the derivatives automatically. -
The fromo package provides fast numerically robust computation of moments and cumulants. Both summarization and rolling computations are supported. Mostly this package was an exercise in learning Rcpp.
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The BWStest package provides the unpaired two-sample test of the hypothesis of equal probability distributions, as described by Baumgartner Weiss and Schindler. The test is reasonably powerful in comparison to the classical tests (Kolmogorov-Smirnov, Wilcoxon, and Cramer-Von Mises). Another fun exercise in Rcpp.
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The SPYvsSPY package is a data package of the results of all 248 canonical installments of the SPY vs SPY strip in Mad Magazine.
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The mazealls package supports the recursive generation of mazes in R via Turtle Graphics.
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The cocktailApp package provides a
shiny
app for discovering cocktails. -
The HappyCampR package is a
shiny
app for finding campgrounds in the U.S. and Canada. -
The ggallin package is a bunch of utilities for working with
ggplot2
. -
The zipper package provides a simple utility to zip together sorted arrays.
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The aqfb.data package is a data-only package to support the book that I will never finish writing.