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"))