R Packages Quant
Crucial and many helpful R packages and research papers for finance and HFT with quant model, algo, and strategy example
Crucial and many helpful R packages and research papers for finance and HFT with quant model, algo, and strategy example
Note none of these have NOT been verified or validated yet but don’t mind me, I feel like a kid in a candy factory with these!
With Interactive Brokers and R:
http://blog.fosstrading.com/2010/05/introducing-ibrokers-and-jeff-ryan.html
http://cran.r-project.org/web/packages/IBrokers/vignettes/RealTime.pdf
Implied volatility:
http://www.r-bloggers.com/the-only-thing-smiling-today-is-volatility/
Time series analysis and computational finance Cointegration test
www.stat.ucl.ac.be/ISdidactique/Rhelp/library/tseries/html/00Index.html
urca R package with Conintegration
http://cran.r-project.org/web/packages/urca/index.html
http://global-4-lvs-colossus.opera-mini.net/hs36-13/15877/1/-1/cran.r-project.org/urca.pdf
Limit Order Book R package
http://r-forge.r-project.org/R/?group_id=790
Engle Granger coefficient test
http://cran.r-project.org/web/packages/tsDyn/tsDyn.pdf
CRAN – Package crawl random walk theory
http://cran.r-project.org/web/packages/crawl/index.html
Time series analysis in r (includes autocorrelation p17)
http://www.statoek.wiso.uni-goettingen.de/veranstaltungen/zeitreihen/sommer03/ts_r_intro.pdf
Ljung box test in r (includes times series)
http://cran.r-project.org/doc/contrib/Ricci-refcard-ts.pdf
Auto regressive estimation model
http://cran.r-project.org/web/packages/cts/vignettes/kf.pdf
R time series pair trading Engle and Granger cointegartion
http://cran.r-project.org/web/packages/PairTrading/PairTrading.pdf
Volatility models
http://cran.r-project.org/web/packages/realized/realized.pdf
Brownian Motion
http://cran.r-project.org/web/packages/sde/sde.pdf
Non parametric regression estimation
http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-nonparametric-regression.pdf
Time based arbitrage opportunities
http://www.r-bloggers.com/time-based-arbitrage-opportunities-in-tick-data/
Bid Ask spread with tick data rtaq R package
http://cran.r-project.org/web/packages/RTAQ/RTAQ.pdf
Tick data bid ask spread
http://cran.r-project.org/web/packages/FinTS/FinTS.pdf
High frequency data analysis in r with taq data base
http://faculty.washington.edu/ezivot/research/hfanalysis.pdf
Probability of observing k arrivals
http://cran.r-project.org/web/packages/HMM/HMM.pdf
Note Amihud reference of cran in the following research paper:
Info and market impact
http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf
Most profitable hedge fund strategy in r
http://www.r-bloggers.com/most-profitable-hedge-fund-style/
Econometric Analysis of Financial Market Data
http://www.math.uncc.edu/~zcai/FE-notes.pdf
PCA in R
http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-2/
Statistical arbitrage in r
http://www.r-bloggers.com/most-profitable-hedge-fund-style/
Dynamic modeling of mean-reverting spreads for statistical arbitrage
http://imperial.academia.edu/GiovanniMontana/Papers/1104540/Dynamic_modeling_of_mean-reverting_spreads_for_statistical_arbitrage
CAPM n r (note PerformanceAnalytics R package may be just as effective)
http://cran.r-project.org/web/packages/BLCOP/vignettes/BLCOP.pdf
Package RTAQ liquidity arbitrage
http://cran.r-project.org/web/packages/RTAQ/index.html
Crucial and many helpful R packages and research papers for finance and high frequency trading with a quant model, algo, and strategy example
Note none of these have NOT been verified or validated yet but don’t mind me, I feel like a kid in a candy factory with these!
With Interactive Brokers and R:
http://blog.fosstrading.com/2010/05/introducing-ibrokers-and-jeff-ryan.html
http://cran.r-project.org/web/packages/IBrokers/vignettes/RealTime.pdf
Implied volatility:
http://www.r-bloggers.com/the-only-thing-smiling-today-is-volatility/
Time series analysis and computational finance Cointegration test
www.stat.ucl.ac.be/ISdidactique/Rhelp/library/tseries/html/00Index.html
urca R package with Conintegration
http://cran.r-project.org/web/packages/urca/index.html
http://global-4-lvs-colossus.opera-mini.net/hs36-13/15877/1/-1/cran.r-project.org/urca.pdf
Limit Order Book R package
http://r-forge.r-project.org/R/?group_id=790
Engle Granger coefficient test
http://cran.r-project.org/web/packages/tsDyn/tsDyn.pdf
CRAN – Package crawl random walk theory
http://cran.r-project.org/web/packages/crawl/index.html
Time series analysis in r (includes autocorrelation p17)
http://www.statoek.wiso.uni-goettingen.de/veranstaltungen/zeitreihen/sommer03/ts_r_intro.pdf
Ljung box test in r (includes times series)
http://cran.r-project.org/doc/contrib/Ricci-refcard-ts.pdf
Auto regressive estimation model
http://cran.r-project.org/web/packages/cts/vignettes/kf.pdf
R time series pair trading Engle and Granger cointegartion
http://cran.r-project.org/web/packages/PairTrading/PairTrading.pdf
Volatility models
http://cran.r-project.org/web/packages/realized/realized.pdf
Brownian Motion
http://cran.r-project.org/web/packages/sde/sde.pdf
Non parametric regression estimation
http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-nonparametric-regression.pdf
Time based arbitrage opportunities
http://www.r-bloggers.com/time-based-arbitrage-opportunities-in-tick-data/
Bid Ask spread with tick data rtaq R package
http://cran.r-project.org/web/packages/RTAQ/RTAQ.pdf
Tick data bid ask spread
http://cran.r-project.org/web/packages/FinTS/FinTS.pdf
High frequency data analysis in r with taq data base
http://faculty.washington.edu/ezivot/research/hfanalysis.pdf
Probability of observing k arrivals
http://cran.r-project.org/web/packages/HMM/HMM.pdf
Note Amihud reference of cran in the following research paper:
Info and market impact
http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf
Most profitable hedge fund strategy in r
http://www.r-bloggers.com/most-profitable-hedge-fund-style/
Econometric Analysis of Financial Market Data
http://www.math.uncc.edu/~zcai/FE-notes.pdf
PCA in R
http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-2/
Statistical arbitrage in r
http://www.r-bloggers.com/most-profitable-hedge-fund-style/
Dynamic modeling of mean-reverting spreads for statistical arbitrage
http://imperial.academia.edu/GiovanniMontana/Papers/1104540/Dynamic_modeling_of_mean-reverting_spreads_for_statistical_arbitrage
CAPM n r (note PerformanceAnalytics R package may be just as effective)
http://cran.r-project.org/web/packages/BLCOP/vignettes/BLCOP.pdf
Package RTAQ liquidity arbitrage