fratelino/financer

Financial analysis with R

FinanceR

Quantitative Finance with R

This repository contains various examples of code for financial analysis, from single security valuation to portfolio analytics, quantitative risk management, and portfolio optimization. There some examples of time series modelding using ARIMA / ETS and linear regression forecasting. The code covering credit risk modeling utilizes logistic regression and decision tree modeling methods to predict default rates. The REIT code is a sector analysis which downloads and cleans equity price data, looks at correlation, and investigates outperformers and underperformers. It then separates the data into a training set and a test set, on which simple portfolio optimization is conducted. The PFE valuation conducts an complete intrinsic, and relative, valuation of Pfizer Inc. stock, using dividned discount model, price to earnings ratio, and two price to book ratios, which can be updated in real time. The tidyquant model is a quick and simple trading strategy data exploration.