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Portfolio analytics and simulation toolkit in R. Includes: - Mean-variance optimization (efficient frontier, max Sharpe, min variance) - CVaR minimization - Risk parity (equal risk contribution) - Regime clustering (k-means) - Asset correlation and clustering (PCA, EM, k-means) - VaR/CVaR analysis - Monte Carlo price simulation - Option pricing (Monte Carlo, binomial tree, American) - Limit order book simulation and features
library(finlabR)
# load example dataset
prices <- get_example_prices()
rets <- calc_returns(prices[, -1])
# returns matrix (rows = time, cols = assets)
min_var <- mvo_min_variance(rets)
frontier <- mvo_efficient_frontier(rets, n = 30)
max_sharpe <- mvo_max_sharpe(rets, rf = 0.02)
cvar <- cvar_minimize(rets, alpha = 0.95)
rp <- risk_parity_weights(stats::cov(rets))
varcvar <- var_cvar(rets, alpha = 0.95)
# limit order book demo
book <- simulate_orderbook(n_steps = 200, p0 = 100)
lob_features <- extract_features(book)
# run source('runme.R') for Shiny AppSee REFERENCE.md in the repository for the full list of
functions and usage examples. #file <- system.file(“extdata/runme.R”,
package = “finlabR”) #source(file) ## Run the Shiny dashboard
shiny::runApp(system.file("shiny/finlabR-dashboard", package = "finlabR"))These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.