Crucial and many helpful R packages and research papers for finance and HFT with quant model, algo, and strategy example

Note none of these have NOT been verified or validated yet but don’t mind me, I feel like a kid in a candy factory with these!

With Interactive Brokers and R:

http://blog.fosstrading.com/2010/05/introducing-ibrokers-and-jeff-ryan.html

http://cran.r-project.org/web/packages/IBrokers/vignettes/RealTime.pdf

Implied volatility:

http://www.r-bloggers.com/the-only-thing-smiling-today-is-volatility/

For volatility forecasting using GARCH

http://www.r-bloggers.com/trading-using-garch-volatility-forecast/

Time series analysis and computational finance Cointegration test

www.stat.ucl.ac.be/ISdidactique/Rhelp/library/tseries/html/00Index.html

urca R package with Conintegration

http://cran.r-project.org/web/packages/urca/index.html

http://global-4-lvs-colossus.opera-mini.net/hs36-13/15877/1/-1/cran.r-project.org/urca.pdf

Limit Order Book R package

http://r-forge.r-project.org/R/?group_id=790 <– not in CRAN but does not seem to have a download link

Engle Granger coefficient test

http://cran.r-project.org/web/packages/tsDyn/tsDyn.pdf

CRAN – Package crawl random walk theory

http://cran.r-project.org/web/packages/crawl/index.html

Time series analysis in r (includes autocorrelation p17)

http://www.statoek.wiso.uni-goettingen.de/veranstaltungen/zeitreihen/sommer03/ts_r_intro.pdf

Ljung box test in r (includes times series)

Ljung Box part of this: http://www.statoek.wiso.uni-goettingen.de/veranstaltungen/zeitreihen/sommer03/ts_r_intro.pdf

http://cran.r-project.org/doc/contrib/Ricci-refcard-ts.pdf

Auto regressive estimation model

http://cran.r-project.org/web/packages/cts/vignettes/kf.pdf

Auto regressive is part of http://quantlabs.net/r-blog/2012/05/excellent-tutorial-on-using-urca-r-package-for-var-cointegration-statistical-tests-non-stationary-processes-benchmarks-and-estimating-models/

R time series pair trading Engle and Granger cointegartion

http://cran.r-project.org/web/packages/PairTrading/PairTrading.pdf

Volatility models

http://cran.r-project.org/web/packages/realized/realized.pdf

Brownian Motion

http://cran.r-project.org/web/packages/sde/sde.pdf

Non parametric regression estimation

http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-nonparametric-regression.pdf

Time based arbitrage opportunities

http://www.r-bloggers.com/time-based-arbitrage-opportunities-in-tick-data/

Bid Ask spread with tick data rtaq R package

http://cran.r-project.org/web/packages/RTAQ/RTAQ.pdf

Tick data bid ask spread

http://cran.r-project.org/web/packages/FinTS/FinTS.pdf

High frequency data analysis in r with taq data base

http://faculty.washington.edu/ezivot/research/hfanalysis.pdf

Probability of observing k arrivals

http://cran.r-project.org/web/packages/HMM/HMM.pdf

Note Amihud reference of cran in the following research paper:

http://poseidon01.ssrn.com/delivery.php?ID=595118123002081089030087126071081068052035058029030050009002086102005018011112069076118021122027111056019097028001082100025005051092069006116118100098122075080031073081071095115105007093083028120122&EXT=pdf

Info and market impact

http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf

Most profitable hedge fund strategy in r

http://www.r-bloggers.com/most-profitable-hedge-fund-style/

Econometric Analysis of Financial Market Data

http://www.math.uncc.edu/~zcai/FE-notes.pdf

PCA in R

http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-2/

Statistical arbitrage in r

http://www.r-bloggers.com/most-profitable-hedge-fund-style/

Dynamic modeling of mean-reverting spreads for statistical arbitrage

http://imperial.academia.edu/GiovanniMontana/Papers/1104540/Dynamic_modeling_of_mean-reverting_spreads_for_statistical_arbitrage

CAPM n r (note PerformanceAnalytics R package may be just as effective)

http://cran.r-project.org/web/packages/BLCOP/vignettes/BLCOP.pdf

Package RTAQ liquidity arbitrage

http://cran.r-project.org/web/packages/RTAQ/index.html

Crucial and many helpful R packages and research papers for finance and high frequency trading with a quant model, algo, and strategy example

Note none of these have NOT been verified or validated yet but don’t mind me, I feel like a kid in a candy factory with these!

With Interactive Brokers and R:

http://blog.fosstrading.com/2010/05/introducing-ibrokers-and-jeff-ryan.html

http://cran.r-project.org/web/packages/IBrokers/vignettes/RealTime.pdf

Implied volatility:

http://www.r-bloggers.com/the-only-thing-smiling-today-is-volatility/

Time series analysis and computational finance Cointegration test

www.stat.ucl.ac.be/ISdidactique/Rhelp/library/tseries/html/00Index.html

urca R package with Conintegration

http://cran.r-project.org/web/packages/urca/index.html

http://global-4-lvs-colossus.opera-mini.net/hs36-13/15877/1/-1/cran.r-project.org/urca.pdf

Limit Order Book R package

http://r-forge.r-project.org/R/?group_id=790

Engle Granger coefficient test

http://cran.r-project.org/web/packages/tsDyn/tsDyn.pdf

CRAN – Package crawl random walk theory

http://cran.r-project.org/web/packages/crawl/index.html

Time series analysis in r (includes autocorrelation p17)

http://www.statoek.wiso.uni-goettingen.de/veranstaltungen/zeitreihen/sommer03/ts_r_intro.pdf

Ljung box test in r (includes times series)

http://cran.r-project.org/doc/contrib/Ricci-refcard-ts.pdf

Auto regressive estimation model

http://cran.r-project.org/web/packages/cts/vignettes/kf.pdf

R time series pair trading Engle and Granger cointegartion

http://cran.r-project.org/web/packages/PairTrading/PairTrading.pdf

Volatility models

http://cran.r-project.org/web/packages/realized/realized.pdf

Brownian Motion

http://cran.r-project.org/web/packages/sde/sde.pdf

Non parametric regression estimation

http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-nonparametric-regression.pdf

Time based arbitrage opportunities

http://www.r-bloggers.com/time-based-arbitrage-opportunities-in-tick-data/

Bid Ask spread with tick data rtaq R package

http://cran.r-project.org/web/packages/RTAQ/RTAQ.pdf

Tick data bid ask spread

http://cran.r-project.org/web/packages/FinTS/FinTS.pdf

High frequency data analysis in r with taq data base

http://faculty.washington.edu/ezivot/research/hfanalysis.pdf

Probability of observing k arrivals

http://cran.r-project.org/web/packages/HMM/HMM.pdf

Note Amihud reference of cran in the following research paper:

http://poseidon01.ssrn.com/delivery.php?ID=595118123002081089030087126071081068052035058029030050009002086102005018011112069076118021122027111056019097028001082100025005051092069006116118100098122075080031073081071095115105007093083028120122&EXT=pdf

Info and market impact

http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf

Most profitable hedge fund strategy in r

http://www.r-bloggers.com/most-profitable-hedge-fund-style/

Econometric Analysis of Financial Market Data

http://www.math.uncc.edu/~zcai/FE-notes.pdf

PCA in R

http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-2/

Statistical arbitrage in r

http://www.r-bloggers.com/most-profitable-hedge-fund-style/

Dynamic modeling of mean-reverting spreads for statistical arbitrage

http://imperial.academia.edu/GiovanniMontana/Papers/1104540/Dynamic_modeling_of_mean-reverting_spreads_for_statistical_arbitrage

CAPM n r (note PerformanceAnalytics R package may be just as effective)

http://cran.r-project.org/web/packages/BLCOP/vignettes/BLCOP.pdf

Package RTAQ liquidity arbitrage

http://cran.r-project.org/web/packages/RTAQ/index.html