‘World’s best quant’ Peter Carr reveals his toolchain of R packages for his research

(Last Updated On: May 30, 2012)

IMPORTANT NOTE: This should make reference to Peter Carl not Carr

‘World’s best quant’ Peter Carr reveals his toolchain of R packages for his research

This looks like to be the toolchain that one of the world’s best quant uses for R;

quantmod
indexes
RTAQ
xts

Example R Packages
TTR
signalextraction

quantstrat
quantmod
lspm
PortfolioAnalytics
blotter
FinancialInstrument
PerformanceAnalytics

Do look at page 2 of this PDF. One R package he mentions a lot is blotter. Also, do note his mention of “USE AT YOUR OWN RISK”. This is quite the confidence builder on R.

PDF is here: http://www.rinfinance.com/agenda/2010/PeterCarl.pdf

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