Tag Archives: forecasting models

What kind of profitable financial forecasting models and algorithms do R professional users focus on?

What kind of profitable financial forecasting models and algorithms do R professional users  focus on?

I am on the hunt for various modeling types which I have comes across. I can list a bunch but I am sure there a pile I would be missing as well.

The ones I have under my radar right now include:





Markov chain or mcmc


Autoregressive (AR)


Event arbitrage

Market inefficiency


Mean reversion

Moving average

​Answer this survey here.

It seems I am having no problems finding R source example tutorials with the exception of PCA and Markov. Maybe these are not used as much within the world of quant financial modeling? Or at least within R vs Matlab. Who knows but surveys like this help me understand what R users are actually focusing on.

if you have an opinion I what could be missing, please comment because I would be highly interested in what others have to say on what could be missing. As you can tell from the above list, these types of models are most likely popular or just more academic. I do realize what is used with industries like banking, hedge funds, these models could be significantly altered or tweaked to make them highly proprietary and obviously profitable. We would usually never know that secret.

Also from the R tutorials I am seeing also blend other languages which help speed up the execution of single threaded R. Certain examples that come to mind is C++ with the help of fantastic R packages like Rcpp or Rinside. With some heavy computing (also known as expensive) makes uses of parallelization or NOsql database solutions to help speed up simulations and calculations. I never even investigated other uses likes GPU, FPGA, or Cuda. Does it ever stop?

​As said, my primary goal is to find what kind of models R users and developers are using for their own research. It seems these same polls not only help me, but help others as well as they have access to the poll results.

​​The one thing I find very overwhelming is what actually is profitable and which could be duds in terms of models. Obviously these are very important things to consider when spending vast amounts of time in certain model development using a tool like R,

These answers help me figure out what to present for my new R Matlab User group.