diff --git a/README.md b/README.md index 9914115..f5c134d 100644 --- a/README.md +++ b/README.md @@ -235,7 +235,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants ### Numerical Libraries & Data Structures - [xts](https://cran.r-project.org/web/packages/xts/index.html) - eXtensible Time Series: Provide for uniform handling of R's different time-based data classes by extending zoo, maximizing native format information preservation and allowing for user level customization and extension, while simplifying cross-class interoperability. -- [data.table](https://cran.r-project.org/web/packages/data.table/index.html) - Extension of data.frame: Fast aggregation of large data (e.g. 100GB in RAM), fast ordered joins, fast add/modify/delete of columns by group using no copies at all, list columns and a fast file reader (fread). Offers a natural and flexible syntax, for faster development. +- [data.table](https://github.com/Rdatatable/data) - Extension of data.frame: Fast aggregation of large data (e.g. 100GB in RAM), fast ordered joins, fast add/modify/delete of columns by group using no copies at all, list columns and a fast file reader (fread). Offers a natural and flexible syntax, for faster development. - [sparseEigen](https://github.com/dppalomar/sparseEigen) - Sparse pricipal component analysis. - [TSdbi](http://tsdbi.r-forge.r-project.org/) - Provides a common interface to time series databases. - [tseries](https://cran.r-project.org/web/packages/tseries/index.html) - Time Series Analysis and Computational Finance. @@ -247,13 +247,13 @@ A curated list of insanely awesome libraries, packages and resources for Quants ### Data Sources - [IBrokers](https://cran.r-project.org/web/packages/IBrokers/index.html) - Provides native R access to Interactive Brokers Trader Workstation API. -- [Rblpapi](https://cran.r-project.org/web/packages/Rblpapi/index.html) - An R Interface to 'Bloomberg' is provided via the 'Blp API'. +- [Rblpapi](https://github.com/Rblp/Rblpapi) - An R Interface to 'Bloomberg' is provided via the 'Blp API'. - [Quandl](https://www.quandl.com/tools/r) - Get Financial Data Directly Into R. -- [Rbitcoin](https://cran.r-project.org/web/packages/Rbitcoin/index.html) - Unified markets API interface (bitstamp, kraken, btce, bitmarket). -- [GetTDData](https://cran.r-project.org/web/packages/GetTDData/index.html) - Downloads and aggregates data for Brazilian government issued bonds directly from the website of Tesouro Direto. -- [GetHFData](https://cran.r-project.org/web/packages/GetHFData/index.html) - Downloads and aggregates high frequency trading data for Brazilian instruments directly from Bovespa ftp site. +- [Rbitcoin](https://github.com/jangorecki/Rbitcoin) - Unified markets API interface (bitstamp, kraken, btce, bitmarket). +- [GetTDData](https://github.com/msperlin/GetTDData) - Downloads and aggregates data for Brazilian government issued bonds directly from the website of Tesouro Direto. +- [GetHFData](https://github.com/msperlin/GetHFData) - Downloads and aggregates high frequency trading data for Brazilian instruments directly from Bovespa ftp site. - [Reddit WallstreetBets API](https://dashboard.nbshare.io/apps/reddit/api/) - Provides daily top 50 stocks from reddit (subreddit) Wallstreetbets and their sentiments via the API -- [td](https://cran.r-project.org/package=td) - Interfaces the 'twelvedata' API for stocks and (digital and standard) currencies +- [td](https://github.com/eddelbuettel/td) - Interfaces the 'twelvedata' API for stocks and (digital and standard) currencies ### Financial Instruments and Pricing @@ -267,8 +267,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [fExoticOptions](https://cran.r-project.org/web/packages/fExoticOptions/index.html) - Exotic Option Valuation. - [fOptions](https://cran.r-project.org/web/packages/fOptions/index.html) - Pricing and Evaluating Basic Options. - [fPortfolio](https://cran.r-project.org/web/packages/fPortfolio/index.html) - Portfolio Selection and Optimization. -- [portfolio](https://cran.r-project.org/web/packages/portfolio/index.html) - Analysing equity portfolios. -- [portfolioSim](https://cran.r-project.org/web/packages/portfolioSim/index.html) - Framework for simulating equity portfolio strategies. +- [portfolio](https://github.com/dgerlanc/portfolio) - Analysing equity portfolios. - [sparseIndexTracking](https://github.com/dppalomar/sparseIndexTracking) - Portfolio design to track an index. - [covFactorModel](https://github.com/dppalomar/covFactorModel) - Covariance matrix estimation via factor models. - [riskParityPortfolio](https://github.com/dppalomar/riskParityPortfolio) - Blazingly fast design of risk parity portfolios. @@ -283,22 +282,19 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [OptHedging](https://cran.r-project.org/web/packages/OptHedging/index.html) - Estimation of value and hedging strategy of call and put options. - [tvm](https://cran.r-project.org/web/packages/tvm/index.html) - Time Value of Money Functions. - [OptionPricing](https://cran.r-project.org/web/packages/OptionPricing/index.html) - Option Pricing with Efficient Simulation Algorithms. -- [credule](https://cran.r-project.org/web/packages/credule/index.html) - Credit Default Swap Functions. +- [credule](https://github.com/blenezet/credule) - Credit Default Swap Functions. - [derivmkts](https://cran.r-project.org/web/packages/derivmkts/index.html) - Functions and R Code to Accompany Derivatives Markets. - [FinCal](https://github.com/felixfan/FinCal) - Package for time value of money calculation, time series analysis and computational finance. - [r-quant](https://github.com/artyyouth/r-quant) - R code for quantitative analysis in finance. - [options.studies](https://github.com/taylorizing/options.studies) - options trading studies functions for use with options.data package and shiny. - -### Portfolio Optimization - -- [PortfolioAnalytics](https://cran.r-project.org/web/packages/PortfolioAnalytics/PortfolioAnalytics.pdf) - Portfolio Analysis, Including Numerical Methods for Optimizationof Portfolios +- [PortfolioAnalytics](https://github.com/braverock/PortfolioAnalytics) - Portfolio Analysis, Including Numerical Methods for Optimizationof Portfolios ### Trading - [TA-Lib](https://ta-lib.org) - perform technical analysis of financial market data. - [backtest](https://cran.r-project.org/web/packages/backtest/index.html) - Exploring Portfolio-Based Conjectures About Financial Instruments. - [pa](https://cran.r-project.org/web/packages/pa/index.html) - Performance Attribution for Equity Portfolios. -- [TTR](https://cran.r-project.org/web/packages/TTR/index.html) - Technical Trading Rules. +- [TTR](https://github.com/joshuaulrich/TTR) - Technical Trading Rules. - [QuantTools](https://quanttools.bitbucket.io/_site/index.html) - Enhanced Quantitative Trading Modelling. - [blotter](https://github.com/braverock/blotter) - Transaction infrastructure for defining instruments, transactions, portfolios and accounts for trading systems and simulation. Provides portfolio support for multi-asset class and multi-currency portfolios. Actively maintained and developed. @@ -308,7 +304,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants ### Risk Analysis -- [PerformanceAnalytics](https://cran.r-project.org/web/packages/PerformanceAnalytics/index.html) - Econometric tools for performance and risk analysis. +- [PerformanceAnalytics](https://github.com/braverock/PerformanceAnalytics) - Econometric tools for performance and risk analysis. ### Factor Analysis @@ -319,11 +315,11 @@ A curated list of insanely awesome libraries, packages and resources for Quants - [tseries](https://cran.r-project.org/web/packages/tseries/index.html) - Time Series Analysis and Computational Finance. - [zoo](https://cran.r-project.org/web/packages/zoo/index.html) - S3 Infrastructure for Regular and Irregular Time Series (Z's Ordered Observations). -- [xts](https://cran.r-project.org/web/packages/xts/index.html) - eXtensible Time Series. +- [xts](https://github.com/joshuaulrich/xts) - eXtensible Time Series. - [fGarch](https://cran.r-project.org/web/packages/fGarch/index.html) - Rmetrics - Autoregressive Conditional Heteroskedastic Modelling. - [timeSeries](https://cran.r-project.org/web/packages/timeSeries/index.html) - Rmetrics - Financial Time Series Objects. -- [rugarch](https://cran.r-project.org/web/packages/rugarch/index.html) - Univariate GARCH Models. -- [rmgarch](https://cran.r-project.org/web/packages/rmgarch/index.html) - Multivariate GARCH Models. +- [rugarch](https://github.com/alexiosg/rugarch) - Univariate GARCH Models. +- [rmgarch](https://github.com/alexiosg/rmgarch) - Multivariate GARCH Models. - [tidypredict](https://github.com/edgararuiz/tidypredict) - Run predictions inside the database . - [tidyquant](https://github.com/business-science/tidyquant) - Bringing financial analysis to the tidyverse. - [timetk](https://github.com/business-science/timetk) - A toolkit for working with time series in R. @@ -334,7 +330,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants ### Calendars - [timeDate](https://cran.r-project.org/web/packages/timeDate/index.html) - Chronological and Calendar Objects -- [bizdays](https://cran.r-project.org/web/packages/bizdays/index.html) - Business days calculations and utilities +- [bizdays](https://github.com/wilsonfreitas/R-bizdays) - Business days calculations and utilities ## Matlab