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

(Last Updated On: May 28, 2012)

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

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About Bryan D

I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties:C++, Java, C#, quant, models, strategies, technical analysis, linux, windows