Forecasting quantiles of cryptocurrency returns using MCMC algorithms

Carlos A. Chaparro S. - 2022-04-30 09:34:05 HDT(-0900)

Welcome

This is the website for my M.Sc. thesis , where I’ve used R (R Core Team 2020) and C++ (Stroustrup 2013) to gather, visualize and analyze financial data. The code for the accompanying Armadillo (Sanderson and Curtin 2016) implementation of the Robust Adaptive Metropolis algorithm (Vihola 2012) and the accompanying shiny (Chang et al. 2021) web application are available here and here.

License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Learn more

The following resources helped me in understanding the concepts and technologies used throughout this document:

• “Introducing Monte Carlo Methods with R” which introduces MCMC methods from a practical perspective with R.

• “Seamless R and C++ Integration with Rcpp” which teaches how to speed up our R code using C++.

• “Mastering Shiny” which provides advice on the implementation of a shiny web application.

• “Advanced R” which guides you through fundamental R concepts.