[R] Finance & R

Eric Berger er|cjberger @end|ng |rom gm@||@com
Thu Dec 24 06:42:00 CET 2020

Hi Ben,
A few comments:
1. you might want to also post this question to the more focused group
<r-sig-finance using 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.


On Wed, Dec 23, 2020 at 10:00 PM Duncan Murdoch <murdoch.duncan using gmail.com>

> 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 A package may be a bit outdated, or not.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 nothing other than that it is a bit outdated.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 It's not very polite to call people's work "outdated", especially when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 using 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
> > [...]
> >
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