Last updated on 2018-05-02 by Dirk Eddelbuettel
This CRAN Task View contains a list of packages useful for empirical work in Finance, grouped by topic.
Besides these packages, a very wide variety of functions suitable for empirical work in Finance is provided by both the basic R system (and its set of recommended core packages), and a number of other packages on the Comprehensive R Archive Network (CRAN). Consequently, several of the other CRAN Task Views may contain suitable packages, in particular the Econometrics , Multivariate, Optimization, Robust, SocialSciences and TimeSeries Task Views.
The ctv
package supports these Task Views. Its functions
install.views
and update.views
allow,
respectively, installation or update of packages from a given Task View;
the option coreOnly
can restrict operations to packages labeled as
core below.
Contributions are always welcome, and encouraged. Since the start of this CRAN task view in April 2005, most contributions have arrived as email suggestions. The source file for this particular task view file now also reside in a GitHub repository (see below) so that pull requests are also possible.
Standard regression models
lm()
(from by the stats package contained in the basic R
distribution). Maximum Likelihood (ML) estimation can be undertaken
with the standard optim()
function. Many other suitable methods
are listed in the Optimization view. Non-linear least squares can
be estimated with the nls()
function, as well as with
nlme()
from the nlme package.
Time series
arima()
and KalmanLike()
commands in the
basic R distribution.
garch()
function in the
tseries package. Rmetrics (see below) contains
the fGarch package which has additional models.
The rugarch package can be used to model a
variety of univariate GARCH models with extensions such as
ARFIMA, in-mean, external regressors and various other
specifications; with methods for fit, forecast, simulation,
inference and plotting are provided too. The rmgarch
builds on it to provide the ability to estimate several multivariate
GARCH models. The
betategarch package can estimate and simulate the
Beta-t-EGARCH model by Harvey. The bayesGARCH
package can perform Bayesian estimation of a GARCH(1,1)
model with Student's t innovations. For multivariate
models, the ccgarch package can estimate
(multivariate) Conditional Correlation GARCH models whereas
the gogarch package provides functions for
generalized orthogonal GARCH models. The
gets package (which was preceded by a related package
AutoSEARCH) provides automated general-to-specific model selection of the mean and
log-volatility of a log-ARCH-X model. The GEVStableGarch
package can fit ARMA-GARCH or ARMA-APARCH models with GEV and
stable conditional distributions. The lgarch package
can estimate and fit log-Garch models.
Finance
Risk management
Books
Data and date management
bdp
, bdh
, and bds
queries as well as data retrieval both in (regular time-)bars and
ticks (albeit without subsecond resolution).
6 years ago by Paolo Zagaglia
This package includes pricing function for selected American call options with underlying assets that generate payouts.
3 years ago by Daniel Gerlanc
Exploring Portfolio-Based Conjectures About Financial Instruments
a year ago by David Ardia
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
a year ago by Haoran Zhang
Calculation of Option Prices Based on a Universal Solution
3 years ago by Dieter William Joenssen
Statistical Tests for Evaluating Conformity to Benford's Law
2 years ago by Genaro Sucarrat
Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models
a year ago by Claudio Lupi
A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests
7 months ago by Markus Gesmann
Statistical Methods and Models for Claims Reserving in General Insurance
9 years ago by Andreas Wittmann
Functions for calculating the CreditMetrics risk model
a month ago by Georgi N. Boshnakov
Compute Expected Shortfall and Value at Risk for Continuous Distributions
2 months ago by Robert McDonald
Functions and R Code to Accompany Derivatives Markets
4 years ago by Giovanni Petris
Bayesian and Likelihood Analysis of Dynamic Linear Models
2 years ago by Dinesh Acharya
Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
3 months ago by Iegor Rudnytskyi
An Implementation of Parametric and Nonparametric Event Study
a year ago by Gregor Kastner
Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
6 months ago by Tobias Setz
Rmetrics - Bivariate Dependence Structures with Copulae
6 months ago by Tobias Setz
Rmetrics - Pricing and Evaluating Exotic Option
6 months ago by Tobias Setz
Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
6 years ago by Paolo Zagaglia
Classifies implicit trading activity from market quotes and computes the probability of informed trading
2 years ago by Seward Lee
Financial Data from U.S. Securities and Exchange Commission
6 months ago by Tobias Setz
Rmetrics - Analysing and Modeling Multivariate Financial Return Distributions
6 months ago by Tobias Setz
Rmetrics - Nonlinear and Chaotic Time Series Modelling
6 months ago by Tobias Setz
Rmetrics - Regression Based Decision and Prediction
6 months ago by Tobias Setz
Rmetrics - Trading and Rebalancing Financial Instruments
5 years ago by Martin Maechler
Fractionally differenced ARIMA aka ARFIMA(p,d,q) models
5 months ago by William Constantine
A Fractal Time Series Modeling and Analysis Package
a year ago by Bernhard Pfaff
Financial Risk Modelling and Portfolio Optimisation with R
6 years ago by Thanh T. Tran
The Generalized Hyperbolic Distribution, Related Distributions and Their Applications in Finance
6 months ago by Marcelo Perlin
Download and Aggregate High Frequency Trading Data from Bovespa
2 months ago by Genaro Sucarrat
General-to-Specific (GETS) Modelling and Indicator Saturation Methods
3 years ago by Thiago Sousa
ARMA-GARCH/APARCH Models with GEV and Stable Distributions
2 years ago by Marc Weibel
A Package on Generalized Hyperbolic Distribution and Its Special Cases
2 months ago by Pierre Chausse
Generalized Method of Moments and Generalized Empirical Likelihood
5 months ago by Giorgio Alfredo Spedicato
Financial and Actuarial Mathematics for Life Contingencies
5 years ago by Mikhail A. Beketov
American options pricing with Least Squares Monte Carlo method
7 years ago by Martin Maechler
Statistics for Long-Memory Processes (Jan Beran) -- Data and Functions
9 months ago by Giorgio Alfredo Spedicato
Easy Handling Discrete Time Markov Chains
2 years ago by Steven E. Pav
Statistical Significance of the Markowitz Portfolio
2 years ago by Patrick Brandt
Markov-Switching, Bayesian, Vector Autoregression Models
5 years ago by Bruno Remillard
Estimation of value and hedging strategy of call and put options.
4 years ago by Wolfgang Hormann
Option Pricing with Efficient Simulation Algorithms
3 months ago by Brian G. Peterson
Econometric Tools for Performance and Risk Analysis
5 months ago by Andreas Recktenwald
Fast and Stable Estimation of the Probability of Informed Trading (PIN)
a year ago by Andrey Kostin
High Frequency Portfolio Analytics by PortfolioEffect
5 years ago by Daniel Gerlanc
Framework for simulating equity portfolio strategies
2 years ago by Brian K. Boonstra
Pricing Equity Derivatives with Extensions of Black-Scholes
7 months ago by Dirk Eddelbuettel
R Bindings to the 'Quantuccia' Header-Only Essentials of 'QuantLib'
3 years ago by Thomas P. Fuller
Functions for Working with the 'www.estimize.com' Web Services
a year ago by Saralees Nadarajah
Computes 26 Financial Risk Measures for Any Continuous Distribution
4 years ago by Wolfgang Hormann
Risk Quantification for Stock Portfolios under the T-Copula Model
a year ago by Stephan Maier
Recognising Visual Charting Patterns in Time Series Data
3 months ago by Nicolas Baradel - PGM Solutions
Fast Simulation of Normal/Exponential Random Variables and Stochastic Differential Equations / Poisson Processes
2 years ago by Stefano Maria Iacus
Simulation and Inference for Stochastic Differential Equations
8 months ago by Gregor Kastner
Efficient Bayesian Inference for Stochastic Volatility (SV) Models
a month ago by Brian Lee Yung Rowe
Clean Covariance Matrices Using Random Matrix Theory and Shrinkage Estimators for Portfolio Optimization
4 years ago by Jae H. Kim
Variance Ratio tests and other tests for Martingale Difference Hypothesis
4 years ago by Eric Aldrich
A package of functions for computing wavelet filters, wavelet transforms and multiresolution analyses
3 years ago by Brandon Whitcher
Basic wavelet routines for one-, two- and three-dimensional signal processing
4 years ago by Thierry Moudiki
Yield curve or zero-coupon prices interpolation and extrapolation
a year ago by Roberto Bertolusso
Extraction of Business Financial Information from 'XBRL' Documents
5 months ago by Achim Zeileis
S3 Infrastructure for Regular and Irregular Time Series (Z's Ordered Observations)