Tag Archives: mother load

The mother load of R packages for financial trading, quant, and potential high frequency trading (HFT) needs

The mother load of R packages for financial trading, quant, and potential high frequency trading (HFT) needs

So there seems to be this endless supply of what look to be a decent list of R finance packages. Some of these include quant based ones. This is my first day researching so I cannot vouch for any of these yet. I do know some R packages can be duds but I am not sure if these ones will be either but are part of CRAN which says positive things. Here we go:

Extreme value analysis:


Refer to p 39 for parameter use in Gvt:




Potential fat tail analysis which lead to the ones below:


PerformanceAnalytics package is quite amazing and easy to use for the amount of analysis it has: i.e. VaR


Overview and demo of PerformanceAnalytics (PA):



How read profitable data and convert to PA package


How to back test strategies with PA:


A technical package:


TradeAnalytics packages which includes quantstrat:




Intro to quantstrat:


General list of R packages for quant trading:


The motherload of all financial trading packages in CRAN:


I feel like a kid a candy factory with all this. Makes me wonder how Matlab is going to keep up. Wow! Thanks to all contributors above for all these. Now I have to start digging and play with everything. I will also keep reporting through this blog for those interested.