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

(Last Updated On: May 25, 2012)

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.


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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