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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:

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

Refer to p 39 for parameter use in Gvt:

http://www.stat.colostate.edu/graybillconference2009/Workshop%20Files/ShortCourseGraybill.pdf

 

 

Potential fat tail analysis which lead to the ones below:

http://braverock.com/brian/R/PerformanceAnalytics/html/Return.Geltner.html

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

http://r.789695.n4.nabble.com/Value-at-risk-td3516991.html

Overview and demo of PerformanceAnalytics (PA):

http://cran.r-project.org/web/packages/PerformanceAnalytics/vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.pdf

http://www.rinfinance.com/RinFinance2009/presentations/PA%20Workshop%20Chi%20RFinance%202009-04.pdf

How read profitable data and convert to PA package

http://quant.stackexchange.com/questions/1536/use-trades-as-input-for-performanceanalytics

How to back test strategies with PA:

http://blog.fosstrading.com/2011/03/how-to-backtest-strategy-in-r.html

A technical package:

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

TradeAnalytics packages which includes quantstrat:

 

 

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

Intro to quantstrat:

http://blog.fosstrading.com/2011/08/introduction-to-quantstrat.html

General list of R packages for quant trading:

http://blog.fosstrading.com/2011/08/introduction-to-quantstrat.html

The motherload of all financial trading packages in CRAN:

http://cran.wustl.edu/web/views/Finance.html

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.