smqf

Statistical Methods for Quantitative Finance

Provides data and functions used in the book "Statistical Methods for Quantitative Finance" by David Ardia (2026).

smqf: Statistical Methods for Quantitative Finance

smqf is an R package providing datasets and functions used in the book "Statistical Methods for Quantitative Finance" by Ardia (2026).

Please cite the package in publications!
By using smqf you agree to the following rules:

  • You must cite the package as Ardia (2026). "Statistical Methods for Quantitative Finance".
  • You assume all risk for the use of smqf.

Installation

Install the released version of smqf from CRAN:

install.packages("smqf")

Or install the development version from GitHub:

# install.packages("pak") # if needed
pak::pak("ArdiaD/smqf-package")

Usage

library(smqf)
data("FamaFrench")                               # one of 20 bundled datasets
f_clayton_copula_2d_pdf(c(0.5, 0.5), theta = 2)  # bivariate copula density
ef <- f_efficient_frontier(mu = c(0.08, 0.10, 0.12),
                           Sigma = diag(c(0.04, 0.09, 0.16)), n_ptf = 20)

See ?smqf for the full index of functions and datasets, and https://github.com/ArdiaD/smqf-package for development and issue tracking.

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.
install.packages("smqf")

1.1-8 by David Ardia, a month ago

https://github.com/ArdiaD/smqf-package

Report a bug at https://github.com/ArdiaD/smqf-package/issues

Browse source code at https://github.com/cran/smqf

Authors: David Ardia [aut, cre, cph, fnd] (ORCID: , Marius Hofert [ctb, cph] (Original author of qrmdata , from which 15 market datasets were ported under GPL-2 | GPL-3) , Kurt Hornik [ctb, cph] (Original author of qrmdata , from which 15 market datasets were ported under GPL-2 | GPL-3) , Alexander J. McNeil [ctb, cph] (Original author of qrmdata , from which 15 market datasets were ported under GPL-2 | GPL-3) , Dries Cornilly [ctb, cph] (Original author of mvskPortfolios , from which f_mvsk_portfolio() was ported under GPL-2 | GPL-3) , Kris Boudt [ctb, cph] (Original author of mvskPortfolios , from which f_mvsk_portfolio() was ported under GPL-2 | GPL-3)

Documentation:   PDF Manual  

GPL-3 license

Imports graphics, stats, nloptr, pracma

Depends on xts

Suggests zoo, testthat, PerformanceAnalytics, glmnet, quadprog, copula, Matrix, readxl, MASS, mvtnorm

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