Hello everyone,? Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated!? Cheers,? Ben van den Anker
Finance & R
12 messages · Ben van den Anker, Joshua Ulrich, Sarah Goslee +6 more
Hi Ben, It's not very polite to call people's work "outdated", especially when given to you for free. Those packages have been around and stable for the better part of a decade, will remain stable, are actively maintained, and all work well together to form a comprehensive suite of tools for financial analysis. Best, Josh On Wed, Dec 23, 2020 at 11:58 AM Ben van den Anker via R-help
<r-help at r-project.org> wrote:
Hello everyone,
Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated!
Cheers,
Ben van den Anker
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com
CRAN Task Views, available thru your favorite mirror, are very useful for this sort of question. There's a Finance task view, and others of possible interest. R being Open Source, you can also implement the LatestGreatest yourself, or hire a programmer, if the available tools aren't to your taste. Sarah On Wed, Dec 23, 2020 at 12:58 PM Ben van den Anker via R-help
<r-help at r-project.org> wrote:
Hello everyone,
Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated!
Cheers,
Ben van den Anker
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Sarah Goslee (she/her) http://www.numberwright.com
Joshua, there may be some cultural differences in play, some people are direct, some don't like the American passive aggressiveness, and then English may not be the first language of a poster. A package may be a bit outdated, or not. If so, it in itself means nothing other than that it is a bit outdated. Even if it is free of bugs, and do what it is supposed to do, fast. I think it is legitimate to ask here for alternatives. el
On 2020-12-23 20:06 , Joshua Ulrich wrote:
Hi Ben, It's not very polite to call people's work "outdated", especially when given to you for free. Those packages have been around and stable for the better part of a decade, will remain stable, are actively maintained, and all work well together to form a comprehensive suite of tools for financial analysis. Best, Josh On Wed, Dec 23, 2020 at 11:58 AM Ben van den Anker via R-help <r-help at r-project.org> wrote:
Hello everyone, Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated! Cheers, Ben van den Anker
[...]
Dr. Eberhard W. Lisse \ / Obstetrician & Gynaecologist el at lisse.NA / * | Telephone: +264 81 124 6733 (cell) PO Box 8421 Bachbrecht \ / If this email is signed with GPG/PGP 10007, Namibia ;____/ Sect 20 of Act No. 4 of 2019 may apply
On 23/12/2020 1:52 p.m., Dr Eberhard W Lisse wrote:
Joshua, there may be some cultural differences in play, some people are direct, some don't like the American passive aggressiveness, and then English may not be the first language of a poster. A package may be a bit outdated, or not. If so, it in itself means nothing other than that it is a bit outdated. Even if it is free of bugs, and do what it is supposed to do, fast. I think it is legitimate to ask here for alternatives.
Yes, but asking in a way that doesn't antagonize the experts in the field is probably a good strategy. For example, "I want to do X, and haven't been able to find a way to do it in packages A, B or C. Did I miss something, or is there another package that might be able to do that?" Duncan Murdoch
el On 2020-12-23 20:06 , Joshua Ulrich wrote:
Hi Ben, It's not very polite to call people's work "outdated", especially when given to you for free. Those packages have been around and stable for the better part of a decade, will remain stable, are actively maintained, and all work well together to form a comprehensive suite of tools for financial analysis. Best, Josh On Wed, Dec 23, 2020 at 11:58 AM Ben van den Anker via R-help <r-help at r-project.org> wrote:
Hello everyone, Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated! Cheers, Ben van den Anker
[...]
Hi Ben,
A few comments:
1. you might want to also post this question to the more focused group
r-sig-finance
<r-sig-finance at r-project.org>
2. as Duncan writes, it would be helpful if you included some topics that
are not covered in the packages you mentioned
3. in my experience, the authors/maintainers of the packages you mentioned
are very responsive, which is a huge plus
4. related to (2), if you know what you are looking for, search CRAN for
it. e.g. a search for packages that might be useful for developing High
Frequency trading strategies - "CRAN high frequency trading" turned up a
few packages, including "highfrequency". One of the co-authors of that
package is Kris Boudt, a co-author also of PerformanceAnalytics (as is
Joshua Ulrich). The search also turned up the package 'PortfolioEffectHFT'
which looks quite interesting. The search also mentioned the package
GetHFData, which deals with the Brazilian Bovespa market. One of its'
co-authors is M Perlin, whose work appears regularly in R-Bloggers. He
writes often about using R in various finance applications.
HTH,
Eric
On Wed, Dec 23, 2020 at 10:00 PM Duncan Murdoch <murdoch.duncan at gmail.com>
wrote:
On 23/12/2020 1:52 p.m., Dr Eberhard W Lisse wrote:
Joshua, there may be some cultural differences in play, some people are direct, some don't like the American passive aggressiveness, and then English may not be the first language of a poster. A package may be a bit outdated, or not. If so, it in itself means nothing other than that it is a bit outdated. Even if it is free of bugs, and do what it is supposed to do, fast. I think it is legitimate to ask here for alternatives.
Yes, but asking in a way that doesn't antagonize the experts in the field is probably a good strategy. For example, "I want to do X, and haven't been able to find a way to do it in packages A, B or C. Did I miss something, or is there another package that might be able to do that?" Duncan Murdoch
el On 2020-12-23 20:06 , Joshua Ulrich wrote:
Hi Ben, It's not very polite to call people's work "outdated", especially when given to you for free. Those packages have been around and stable for the better part of a decade, will remain stable, are actively maintained, and all work well together to form a comprehensive suite of tools for financial analysis. Best, Josh On Wed, Dec 23, 2020 at 11:58 AM Ben van den Anker via R-help <r-help at r-project.org> wrote:
Hello everyone, Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated! Cheers, Ben van den Anker
[...]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
I personally use the packages you mention and would describe them as well thought out and relatively bug free through widespread use and years of improvement and maintenance. There are literally dozens of other packages that depend on these packages so if you use them you will also be able to seamlessly use a wide range of other packages too. On Wed, Dec 23, 2020 at 12:58 PM Ben van den Anker via R-help
<r-help at r-project.org> wrote:
Hello everyone,
Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated!
Cheers,
Ben van den Anker
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Statistics & Software Consulting GKX Group, GKX Associates Inc. tel: 1-877-GKX-GROUP email: ggrothendieck at gmail.com
Dear All, One of the most significant contributors to open source finance is: Diethelm W?rtz https://comp.phys.ethz.ch/news-and-events/nc/2016/08/in-memoriam-diethelm-wuertz.html And on that note, I'd like to wish Merry Christmas to a great mathematician and programmer, and his family. A quick search, revealed the following hits: https://en.wikipedia.org/wiki/Rmetrics https://www.rmetrics.org B. On Thu, Dec 24, 2020 at 6:58 AM Ben van den Anker via R-help
<r-help at r-project.org> wrote:
Hello everyone,
Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated!
Cheers,
Ben van den Anker
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Hi Ben, Abby makes a good suggestion on Rmetrics, although it is no longer current in CRAN. The www.rmetrics.org site looks quite interesting (although not clear whether there are any recent additions.) The suggestion did bring to mind another excellent resource: quantlib - a library for computational finance. See https://www.quantlib.org The quantlib library is written in C++ and can be accessed directly via C++. It is also possible (and easy) to access quantlib from R, via the package RQuantLib (written by the incredible Dirk Eddelbuettel.) Best, Eric
On Thu, Dec 24, 2020 at 10:34 PM Abby Spurdle <spurdle.a at gmail.com> wrote:
Dear All, One of the most significant contributors to open source finance is: Diethelm W?rtz https://comp.phys.ethz.ch/news-and-events/nc/2016/08/in-memoriam-diethelm-wuertz.html And on that note, I'd like to wish Merry Christmas to a great mathematician and programmer, and his family. A quick search, revealed the following hits: https://en.wikipedia.org/wiki/Rmetrics https://www.rmetrics.org B. On Thu, Dec 24, 2020 at 6:58 AM Ben van den Anker via R-help <r-help at r-project.org> wrote:
Hello everyone, Could anyonre recommend some good resources for finance applications in
R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated!
Cheers,
Ben van den Anker
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
I'm not sure what the official status of Rmetrics is. However, as far as I can see most of the Rmetrics-based R packages are on CRAN, and are currently maintained. (e.g. fBasics, fPortfolio, fAssets, fTrading). I found a list here: https://r-forge.r-project.org/R/?group_id=156
On Fri, Dec 25, 2020 at 10:47 PM Eric Berger <ericjberger at gmail.com> wrote:
Hi Ben, Abby makes a good suggestion on Rmetrics, although it is no longer current in CRAN. The www.rmetrics.org site looks quite interesting (although not clear whether there are any recent additions.) The suggestion did bring to mind another excellent resource: quantlib - a library for computational finance. See https://www.quantlib.org The quantlib library is written in C++ and can be accessed directly via C++. It is also possible (and easy) to access quantlib from R, via the package RQuantLib (written by the incredible Dirk Eddelbuettel.) Best, Eric On Thu, Dec 24, 2020 at 10:34 PM Abby Spurdle <spurdle.a at gmail.com> wrote:
Dear All, One of the most significant contributors to open source finance is: Diethelm W?rtz https://comp.phys.ethz.ch/news-and-events/nc/2016/08/in-memoriam-diethelm-wuertz.html And on that note, I'd like to wish Merry Christmas to a great mathematician and programmer, and his family. A quick search, revealed the following hits: https://en.wikipedia.org/wiki/Rmetrics https://www.rmetrics.org B. On Thu, Dec 24, 2020 at 6:58 AM Ben van den Anker via R-help <r-help at r-project.org> wrote:
Hello everyone,
Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated!
Cheers,
Ben van den Anker
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Many thanks to all who helped out! What a wonderful community is this! Cheers! Ben van den Anker?
On Friday, December 25, 2020, 10:52:38 PM GMT+1, Abby Spurdle <spurdle.a at gmail.com> wrote:
I'm not sure what the official status of Rmetrics is. However, as far as I can see most of the Rmetrics-based R packages are on CRAN, and are currently maintained. (e.g. fBasics, fPortfolio, fAssets, fTrading). I found a list here: https://r-forge.r-project.org/R/?group_id=156
On Fri, Dec 25, 2020 at 10:47 PM Eric Berger <ericjberger at gmail.com> wrote:
Hi Ben, Abby makes a good suggestion on Rmetrics, although it is no longer current in CRAN. The www.rmetrics.org site looks quite interesting (although not clear whether there are any recent additions.) The suggestion did bring to mind another excellent resource: quantlib - a library for computational finance. See https://www.quantlib.org The quantlib library is written in C++ and can be accessed directly via C++. It is also possible (and easy) to access quantlib from R, via the package RQuantLib (written by the incredible Dirk Eddelbuettel.) Best, Eric On Thu, Dec 24, 2020 at 10:34 PM Abby Spurdle <spurdle.a at gmail.com> wrote:
Dear All, One of the most significant contributors to open source finance is: Diethelm W?rtz https://comp.phys.ethz.ch/news-and-events/nc/2016/08/in-memoriam-diethelm-wuertz.html And on that note, I'd like to wish Merry Christmas to a great mathematician and programmer, and his family. A quick search, revealed the following hits: https://en.wikipedia.org/wiki/Rmetrics https://www.rmetrics.org B. On Thu, Dec 24, 2020 at 6:58 AM Ben van den Anker via R-help <r-help at r-project.org> wrote:
Hello everyone, Could anyonre recommend some good resources for finance applications in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated! Cheers, Ben van den Anker ? ? ? ? [[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Diethelm W?rtz was responsible for the development of Rmetrics until his untimely death in a car accident. You might like to read the tribute to him from ETH. May he rest in peace. https://www.phys.ethz.ch/news-and-events/d-phys-news/2016/08/barbara-and-diethelm-wuertz.html John C Frain 3 Aranleigh Park Rathfarnham Dublin 14 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:frainj at tcd.ie mailto:frainj at gmail.com On Sat, 26 Dec 2020 at 08:15, Ben van den Anker via R-help <
r-help at r-project.org> wrote:
Many thanks to all who helped out! What a wonderful community is this!
Cheers!
Ben van den Anker
On Friday, December 25, 2020, 10:52:38 PM GMT+1, Abby Spurdle <
spurdle.a at gmail.com> wrote:
I'm not sure what the official status of Rmetrics is.
However, as far as I can see most of the Rmetrics-based R packages are
on CRAN, and are currently maintained.
(e.g. fBasics, fPortfolio, fAssets, fTrading).
I found a list here:
https://r-forge.r-project.org/R/?group_id=156
On Fri, Dec 25, 2020 at 10:47 PM Eric Berger <ericjberger at gmail.com>
wrote:
Hi Ben, Abby makes a good suggestion on Rmetrics, although it is no longer
current in CRAN.
The www.rmetrics.org site looks quite interesting (although not clear
whether there are any recent additions.)
The suggestion did bring to mind another excellent resource: quantlib -
a library for computational finance.
See https://www.quantlib.org The quantlib library is written in C++ and can be accessed directly via
C++.
It is also possible (and easy) to access quantlib from R, via the
package RQuantLib (written by the incredible Dirk Eddelbuettel.)
Best, Eric On Thu, Dec 24, 2020 at 10:34 PM Abby Spurdle <spurdle.a at gmail.com>
wrote:
Dear All, One of the most significant contributors to open source finance is: Diethelm W?rtz
And on that note, I'd like to wish Merry Christmas to a great mathematician and programmer, and his family. A quick search, revealed the following hits: https://en.wikipedia.org/wiki/Rmetrics https://www.rmetrics.org B. On Thu, Dec 24, 2020 at 6:58 AM Ben van den Anker via R-help <r-help at r-project.org> wrote:
Hello everyone, Could anyonre recommend some good resources for finance applications
in R? I find the packages quantmod, TTR and PerformanceAnalytics a bit outdated. There must be something more recent on the market. Any suggestions will be much appreciated!
Cheers,
Ben van den Anker
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. [[alternative HTML version deleted]] ______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.