Quantitative Financial Programming with R Glossary

A

• Accrual Ratio (Balance Sheet) in Quantitative Financial Programming with R
• Accrual Ratio (CF) in Quantitative Financial Programming with R
• Adjusted Slope 125/250d in Quantitative Financial Programming with R
• Adjusted Slope 90d in Quantitative Financial Programming with R
• AIC in Quantitative Financial Programming with R
• Altman Z-Score in Quantitative Financial Programming with R
• ARIMA in Quantitative Financial Programming with R
• ARMA in Quantitative Financial Programming with R
• Asset Growth in Quantitative Financial Programming with R
• AUC in Quantitative Financial Programming with R
• Autocorrelation in Quantitative Financial Programming with R

B

• Backtesting in Quantitative Financial Programming with R
• Bayesian Statistics in Quantitative Financial Programming with R
• Beta in Quantitative Financial Programming with R
• Bid-Ask Spread in Quantitative Financial Programming with R
• Binomial Distribution in Quantitative Financial Programming with R
• Black-Scholes in Quantitative Financial Programming with R
• Book to Market in Quantitative Financial Programming with R
• Book to Market Mean Difference in Quantitative Financial Programming with R
• Bootstrap in Quantitative Financial Programming with R
• Box-Cox Transformation in Quantitative Financial Programming with R
• Buyback % in Quantitative Financial Programming with R

C

• C-Score (Montier) in Quantitative Financial Programming with R
• CAGR in Quantitative Financial Programming with R
• Candlestick Charts in Quantitative Financial Programming with R
• Capex to PPE in Quantitative Financial Programming with R
• CAPM in Quantitative Financial Programming with R
• CART in Quantitative Financial Programming with R
• Cash flow operating activities in Quantitative Financial Programming with R
• Cash Flow to Capex in Quantitative Financial Programming with R
• Cash Return on Invested Capital (CROIC) in Quantitative Financial Programming with R
• Close Price Date in Quantitative Financial Programming with R
• Close Price in Quantitative Financial Programming with R
• Cluster Analysis in Quantitative Financial Programming with R
• Cointegration in Quantitative Financial Programming with R
• Copula in Quantitative Financial Programming with R
• Correlation in Quantitative Financial Programming with R
• Country in Quantitative Financial Programming with R
• Cox Model in Quantitative Financial Programming with R
• Cox PH in Quantitative Financial Programming with R
• CRAN in Quantitative Financial Programming with R
• Credit Risk in Quantitative Financial Programming with R
• Cross SMA 50/200 (Golden Cross) in Quantitative Financial Programming with R
• Cross-validation in Quantitative Financial Programming with R
• Current Ratio in Quantitative Financial Programming with R

D

• Daily Trading Volume (AUD) in Quantitative Financial Programming with R
• Daily Trading Volume (EUR) in Quantitative Financial Programming with R
• Daily Trading Volume (GBP) in Quantitative Financial Programming with R
• Daily Trading Volume (JPY) in Quantitative Financial Programming with R
• Daily Trading Volume (USD) in Quantitative Financial Programming with R
• Daily Trading Volume in Quantitative Financial Programming with R
• Data Mining in Quantitative Financial Programming with R
• Debt to Equity in Quantitative Financial Programming with R
• Decision Tree in Quantitative Financial Programming with R
• Derivatives in Quantitative Financial Programming with R
• Dickey-Fuller in Quantitative Financial Programming with R
• Dividend Coverage Ratio in Quantitative Financial Programming with R
• Dividend Growth 10yr in Quantitative Financial Programming with R
• Dividend Growth 3yr in Quantitative Financial Programming with R
• Dividend Growth 5yr in Quantitative Financial Programming with R
• Dividend Growth 8yr in Quantitative Financial Programming with R
• Dividend Yield in Quantitative Financial Programming with R
• Durbin-Watson in Quantitative Financial Programming with R

E

• Earnings to Price (Yield) in Quantitative Financial Programming with R
• Earnings Yield (EBIT to EV) in Quantitative Financial Programming with R
• Earnings Yield 5yr Avg in Quantitative Financial Programming with R
• Earnings Yield Mean Difference in Quantitative Financial Programming with R
• EBIT in Quantitative Financial Programming with R
• EBITDA in Quantitative Financial Programming with R
• EBITDA Yield or EBITDA to EV in Quantitative Financial Programming with R
• Econometrics in Quantitative Financial Programming with R
• Efficient Frontier in Quantitative Financial Programming with R
• Ensemble Learning in Quantitative Financial Programming with R
• Enterprise Value in Quantitative Financial Programming with R
• EPS Growth 1yr in Quantitative Financial Programming with R
• ERP5 Rank in Quantitative Financial Programming with R
• EV to EBITDA in Quantitative Financial Programming with R
• Event Study in Quantitative Financial Programming with R
• EWMA in Quantitative Financial Programming with R
• EWMA Volatility in Quantitative Financial Programming with R
• Excess Cash in Quantitative Financial Programming with R
• Exponential Smoothing in Quantitative Financial Programming with R
• External Finance in Quantitative Financial Programming with R

F

• F-Score Missing Values in Quantitative Financial Programming with R
• Factor Analysis in Quantitative Financial Programming with R
• Factor Models in Quantitative Financial Programming with R
• FCF Score in Quantitative Financial Programming with R
• FCF to Debt in Quantitative Financial Programming with R
• FCF Yield (FCF to EV) in Quantitative Financial Programming with R
• FCF Yield 5yr Avg in Quantitative Financial Programming with R
• Financial Econometrics in Quantitative Financial Programming with R
• Financial Statement Date in Quantitative Financial Programming with R
• Financial Time Series in Quantitative Financial Programming with R
• Forward Testing in Quantitative Financial Programming with R
• Free Cash Flow (FCF) in Quantitative Financial Programming with R
• Fundamental Analysis in Quantitative Financial Programming with R
• Funds from Operations in Quantitative Financial Programming with R

G

• GARCH in Quantitative Financial Programming with R
• Generalized Linear Model (GLM) in Quantitative Financial Programming with R
• Granger Causality in Quantitative Financial Programming with R
• Gross Margin (Marx) in Quantitative Financial Programming with R
• Gross Margin in Quantitative Financial Programming with R
• Gross Margin Score in Quantitative Financial Programming with R

H

• HAC in Quantitative Financial Programming with R
• Heteroscedasticity in Quantitative Financial Programming with R
• Hierarchical Clustering in Quantitative Financial Programming with R
• High-Frequency Trading (HFT) in Quantitative Financial Programming with R
• Historical screener – back test with point in time data in Quantitative Financial Programming with R
• HMM in Quantitative Financial Programming with R
• Hurst Exponent in Quantitative Financial Programming with R

I

• Implied Volatility in Quantitative Financial Programming with R
• In-sample/Out-of-sample testing in Quantitative Financial Programming with R
• Interest Rate Models in Quantitative Financial Programming with R
• ISIN in Quantitative Financial Programming with R

J

• Jensen’s Alpha in Quantitative Financial Programming with R

K

• K-means in Quantitative Financial Programming with R
• Kalman Filter in Quantitative Financial Programming with R
• Kernel Density in Quantitative Financial Programming with R
• KNN in Quantitative Financial Programming with R
• Kriging in Quantitative Financial Programming with R

L

• Lasso in Quantitative Financial Programming with R
• Leverage Effect in Quantitative Financial Programming with R
• Leverage Ratio in Quantitative Financial Programming with R
• LIBOR in Quantitative Financial Programming with R
• Linear Regression in Quantitative Financial Programming with R
• Liquidity (Qi) in Quantitative Financial Programming with R
• Long-Term Capital Management (LTCM) in Quantitative Financial Programming with R
• Long-Term Debt in Quantitative Financial Programming with R
• LSTM in Quantitative Financial Programming with R

M

• M-Score (Beneish) in Quantitative Financial Programming with R
• Machine Learning in Quantitative Financial Programming with R
• Machine Learning Interpretability in Quantitative Financial Programming with R
• Market Leaders in Quantitative Financial Programming with R
• Market Microstructure in Quantitative Financial Programming with R
• Market Value (AUD) in Quantitative Financial Programming with R
• Market Value (EUR) in Quantitative Financial Programming with R
• Market Value (GBP) in Quantitative Financial Programming with R
• Market Value (JPY) in Quantitative Financial Programming with R
• Market Value (USD) in Quantitative Financial Programming with R
• Market Value in Quantitative Financial Programming with R
• Markowitz in Quantitative Financial Programming with R
• Maximum Likelihood Estimation (MLE) in Quantitative Financial Programming with R
• Mean Reversion in Quantitative Financial Programming with R
• MF Rank in Quantitative Financial Programming with R
• MLE in Quantitative Financial Programming with R
• Monte Carlo Simulation in Quantitative Financial Programming with R
• Multivariate Analysis in Quantitative Financial Programming with R
• Multivariate Regression in Quantitative Financial Programming with R
• MV Size in Quantitative Financial Programming with R

N

• Name in Quantitative Financial Programming with R
• Net Current Asset Value (NCAV) in Quantitative Financial Programming with R
• Net Debt in Quantitative Financial Programming with R
• Net Debt to EBIT in Quantitative Financial Programming with R
• Net Debt to MV in Quantitative Financial Programming with R
• Net Fixed Assets in Quantitative Financial Programming with R
• Net Profit in Quantitative Financial Programming with R
• Net Working Capital in Quantitative Financial Programming with R
• Neural Network in Quantitative Financial Programming with R
• Normal Distribution in Quantitative Financial Programming with R

O

• OLS in Quantitative Financial Programming with R
• Operating Accruals in Quantitative Financial Programming with R
• Operating Profit in Quantitative Financial Programming with R
• Option Pricing Models in Quantitative Financial Programming with R
• Outlier Detection in Quantitative Financial Programming with R

P

• P-Value in Quantitative Financial Programming with R
• Pairs Trading in Quantitative Financial Programming with R
• Panel Data Analysis in Quantitative Financial Programming with R
• Pattern Recognition in Quantitative Financial Programming with R
• PCA in Quantitative Financial Programming with R
• PerformanceAnalytics in Quantitative Financial Programming with R
• Piotroski F-Score in Quantitative Financial Programming with R
• Pooled Regression in Quantitative Financial Programming with R
• Portfolio Optimization in Quantitative Financial Programming with R
• Price Index 10m in Quantitative Financial Programming with R
• Price Index 11m in Quantitative Financial Programming with R
• Price Index 12m in Quantitative Financial Programming with R
• Price Index 12m Minus 1m in Quantitative Financial Programming with R
• Price Index 13m in Quantitative Financial Programming with R
• Price Index 1m in Quantitative Financial Programming with R
• Price Index 24m in Quantitative Financial Programming with R
• Price Index 2m in Quantitative Financial Programming with R
• Price Index 36m in Quantitative Financial Programming with R
• Price Index 3m in Quantitative Financial Programming with R
• Price Index 48m in Quantitative Financial Programming with R
• Price Index 4m in Quantitative Financial Programming with R
• Price Index 5m in Quantitative Financial Programming with R
• Price Index 60m in Quantitative Financial Programming with R
• Price Index 6m in Quantitative Financial Programming with R
• Price Index 7m in Quantitative Financial Programming with R
• Price Index 8m in Quantitative Financial Programming with R
• Price Index 9m in Quantitative Financial Programming with R
• Price Range 52w in Quantitative Financial Programming with R
• Price to Book in Quantitative Financial Programming with R
• Price to Cash Flow in Quantitative Financial Programming with R
• Price to Earnings (PE) in Quantitative Financial Programming with R
• Price to Sales in Quantitative Financial Programming with R
• Principal Component Analysis in Quantitative Financial Programming with R
• Principal-Agent Problem in Quantitative Financial Programming with R
• PSAR or Parabolic Stop and Reverse in Quantitative Financial Programming with R
• Python in Quantitative Financial Programming with R

Q

• Qi Value in Quantitative Financial Programming with R
• Quantile Regression in Quantitative Financial Programming with R
• Quantmod in Quantitative Financial Programming with R

R

• Random Forest in Quantitative Financial Programming with R
• Rcpp in Quantitative Financial Programming with R
• Realized Volatility in Quantitative Financial Programming with R
• Regime-Switching Models in Quantitative Financial Programming with R
• Regression in Quantitative Financial Programming with R
• Return on Assets in Quantitative Financial Programming with R
• Return on Equity in Quantitative Financial Programming with R
• Return on Invested Capital (ROIC) in Quantitative Financial Programming with R
• Return on Investment (ROI) in Quantitative Financial Programming with R
• Risk Management in Quantitative Financial Programming with R
• Robust Regression in Quantitative Financial Programming with R
• ROIC 5yr Avg in Quantitative Financial Programming with R
• ROIC Quality in Quantitative Financial Programming with R

S

• Sales in Quantitative Financial Programming with R
• Sales to Assets in Quantitative Financial Programming with R
• Seasonality in Quantitative Financial Programming with R
• Sector in Quantitative Financial Programming with R
• Semi-Parametric Regression in Quantitative Financial Programming with R
• Shareholder Yield (Mebane Faber) in Quantitative Financial Programming with R
• Shareholder Yield in Quantitative Financial Programming with R
• Sharpe Ratio in Quantitative Financial Programming with R
• Sharpe-Lintner-Mossin Model in Quantitative Financial Programming with R
• Short Int % Change in Quantitative Financial Programming with R
• Short Int % in Quantitative Financial Programming with R
• Signal Processing in Quantitative Financial Programming with R
• Singular Value Decomposition (SVD) in Quantitative Financial Programming with R
• Skewness in Quantitative Financial Programming with R
• SMA (Simple Moving Average) in Quantitative Financial Programming with R
• Stochastic Calculus in Quantitative Financial Programming with R
• Stock Exchange Code in Quantitative Financial Programming with R
• Sub-Sector in Quantitative Financial Programming with R
• Support Vector Regression (SVR) in Quantitative Financial Programming with R
• SVM in Quantitative Financial Programming with R
• Systemic Risk in Quantitative Financial Programming with R

T

• T Distribution in Quantitative Financial Programming with R
• Target Weight in Quantitative Financial Programming with R
• Technical Analysis in Quantitative Financial Programming with R
• Ticker in Quantitative Financial Programming with R
• Time Series in Quantitative Financial Programming with R
• Time-Varying Correlation in Quantitative Financial Programming with R
• Total Assets in Quantitative Financial Programming with R
• Total Debt in Quantitative Financial Programming with R
• Traded Value – AUD EUR GBP JPY USD in Quantitative Financial Programming with R

V

• Value Composite One in Quantitative Financial Programming with R
• Value Composite Two in Quantitative Financial Programming with R
• VAR in Quantitative Financial Programming with R
• Volatility 12 m in Quantitative Financial Programming with R
• Volatility 3 m in Quantitative Financial Programming with R
• Volatility 36 m in Quantitative Financial Programming with R
• Volatility 6 m in Quantitative Financial Programming with R