R

Discussion in 'Julia / MATLAB / SAS' started by mg_mg, Dec 22, 2009.

  1. 我想有必要介绍一下R. R是一种主要用来多数据进行统计处理的脚本语言, 它不是商业产品, 而是基于开源的, 现在R包括了很多libraries可供选用. 具体可见其网站 http://www.r-project.org/ . 现在在金融上R的应用势头很强劲, 常见的定量金融算法R均有相应的libraries, 比如RMetrics就完成了一系列的算法, "Time Series Econometrics, Hypothesis Testing, GARCH Modelling and Volatility Forecasting, Extreme Value Theory and Copulae, Pricing of Derivatives, Portfolio Analysis, Design and Optimization and much more" (http://www.rmetrics.org/). R还有和IB API的借口(http://cran.r-project.org/web/packages/IBrokers/vignettes/IBrokers.pdf ).
     
  2. 我原来以为是mathswork公司的呢
     
  3. 我比较喜欢开源的东西。

    很钦佩mg兄的专业水平。
    定量只是我业余涉猎的爱好而已,以后上这个论坛会越来越少。如果有缘,email联系吧。
     
  4. RMetrics好象比较受推崇,quantmod package似乎也不错:
    http://www.quantmod.com/

    What quantmod IS
    A rapid prototyping environment, where quant traders can quickly and cleanly explore and build trading models.

    What quantmod is NOT
    A replacement for anything statistical. It has no 'new' modelling routines or analysis tool to speak of. It does now offer charting not currently available elsewhere in R, but most everything else is more of a wrapper to what you already know and love about the language and packages you currently use.

    对于数学和工科毕业的来说,可能更愿意选择金钱豹+MATLAB。
     
  5. zwz大侠和windspeedo大侠干嘛去了,好久没见他们了。有他们的blog或个人主页么?