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/
Potential fat tail analysis which lead to the ones below:
http://braverock.com/brian/R/
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/
Overview and demo of PerformanceAnalytics (PA):
http://www.rinfinance.com/
How read profitable data and convert to PA package
http://quant.stackexchange.
How to back test strategies with PA:
http://blog.fosstrading.com/
A technical package:
http://cran.r-project.org/web/
TradeAnalytics packages which includes quantstrat:
http://cran.r-project.org/web/
Intro to quantstrat:
http://blog.fosstrading.com/
General list of R packages for quant trading:
http://blog.fosstrading.com/
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.