Author: Rcpp Gallery

Vectors are fundamental containers in R. This makes them equally important in Rcpp. Vectors can be useful for storing multiple elements of a common class (e.g., integer, numeric, character). In...continue reading.

Vectors are fundamental containers in R. This makes them equally important in Rcpp. Vectors can be useful for storing multiple elements of a common class (e.g., integer, numeric, character). In...continue reading.

Recent research by Marcos Lopez de Prado aims to improve Markowitz’s Critical Line Algorithm (CLA). The (currently patent-pending) methodology proposes the Hierarchical Risk Parity (HRP) approach which aims to tackle...continue reading.

Summary Recently new research has appeared on using a co-movement measure to construct the covariance matrix as part of the Modern Portfolio Theory (MPT) style portfolio construction. Below is the...continue reading.

Introduction The Numerical Template Toolbox (NT2) collection of header-only C++ libraries that make it possible to explicitly request the use of SIMD instructions when possible, while falling back to regular...continue reading.

Modern CPU processors are built with new, extended instruction sets that optimize for certain operations. A class of these allow for vectorized operations, called Single Instruction / Multiple Data (SIMD)...continue reading.

Introduction The Numerical Template Toolbox (NT2) collection of header-only C++ libraries that make it possible to explicitly request the use of SIMD instructions when possible, while falling back to regular...continue reading.

Introduction The Numerical Template Toolbox (NT2) collection of header-only C++ libraries that make it possible to explicitly request the use of SIMD instructions when possible, while falling back to regular...continue reading.