erolbicero
I work in quantitative finance in Toronto, Canada. I have a Master of Finance with an Engineering background. Details can be found on my LinkedIn profile.
Pinned Repositories
PerformanceAnalytics
blis
BLAS-like Library Instantiation Software Framework
Meucci
PerformanceAnalytics
propfolio
Tools for Portfolio Management and Proprietary/Algorithmic Trading
rDecentEspresso
Package to work with data generated from Decent Espresso machines.
rOptionsTools
Implementation of Model Free Implied Metrics from Bakshi, Gurdip S. and Bakshi, Gurdip S. and Kapadia, Nikunj and Madan, Dilip B., Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (July 2, 2001). Available at SSRN: https://ssrn.com/abstract=282451 or http://dx.doi.org/10.2139/ssrn.282451
tsconv
Time-series convenience (tsconv) functions, using XTS, PerformanceAnalytics, Quantmod, and other packages to simplify common tasks
ExpectedReturns
positron
Positron, a next-generation data science IDE
erolbicero's Repositories
erolbicero/propfolio
Tools for Portfolio Management and Proprietary/Algorithmic Trading
erolbicero/rOptionsTools
Implementation of Model Free Implied Metrics from Bakshi, Gurdip S. and Bakshi, Gurdip S. and Kapadia, Nikunj and Madan, Dilip B., Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (July 2, 2001). Available at SSRN: https://ssrn.com/abstract=282451 or http://dx.doi.org/10.2139/ssrn.282451
erolbicero/tsconv
Time-series convenience (tsconv) functions, using XTS, PerformanceAnalytics, Quantmod, and other packages to simplify common tasks
erolbicero/blis
BLAS-like Library Instantiation Software Framework
erolbicero/Meucci
erolbicero/PerformanceAnalytics
erolbicero/rDecentEspresso
Package to work with data generated from Decent Espresso machines.