From f4ad0eaab27e195b8edcd72f967350441f29bfb1 Mon Sep 17 00:00:00 2001 From: wilsonfreitas Date: Wed, 22 Jun 2016 08:15:08 -0300 Subject: [PATCH] First version with many links and descriptions --- README.md | 152 ++++++++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 152 insertions(+) diff --git a/README.md b/README.md index 36e5e52..7fcdf5f 100644 --- a/README.md +++ b/README.md @@ -1,2 +1,154 @@ # awesome-quant A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance) + +## Languages + +- [Python](#python) +- [R](#r) +- [Julia](#julia) +- [Java](#java) +- [Haskell](#haskell) +- [Scala](#scala) +- [Frameworks](#frameworks) - frameworks that support different languages +- [Reproducing Works](#reproducing-works) - repositories that reproduce books and papers results or implement examples + +##Python + +### Numerical Libraries & Data Structures + +- [numpy](http://www.numpy.org) - NumPy is the fundamental package for scientific computing with Python. +- [scipy](https://www.scipy.org) - SciPy (pronounced “Sigh Pie”) is a Python-based ecosystem of open-source software for mathematics, science, and engineering. +- [pandas](http://pandas.pydata.org) - pandas is an open source, BSD-licensed library providing high-performance, easy-to-use data structures and data analysis tools for the Python programming language. + +### Financial Instruments + +- [PyQL](https://github.com/enthought/pyql) - QuantLib's Python port +- [pyfin](https://github.com/opendoor-labs/pyfin) - Basic options pricing in Python +- [vollib](https://github.com/vollib/vollib) - vollib is a python library for calculating option prices, implied volatility and greeks. +- [QuantPy](https://github.com/jsmidt/QuantPy) - A framework for quantitative finance In python. + +### Trading + +- [TA-Lib](http://ta-lib.org) - perform technical analysis of financial market data +- [trade](https://github.com/rochars/trade) - trade is a Python framework for the development of financial applications. +- [zipline](http://www.zipline.io) - Pythonic algorithmic trading library +- [QuantSoftware Toolkit](http://wiki.quantsoftware.org/index.php?title=QuantSoftware_ToolKit) - Python-based open source software framework designed to support portfolio construction and management. +- [quantitative](https://github.com/jeffrey-liang/quantitative) - Quantitative finance, and backtesting library + +### Risk Analysis + +- Python + - [pyfolio](https://github.com/quantopian/pyfolio) - Portfolio and risk analytics in Python + - [qrisk](https://github.com/quantopian/qrisk) - Common financial risk and performance metrics. + +### Time Series + +- [ARCH](https://github.com/bashtage/arch) - ARCH models in Python +- [statsmodels](http://statsmodels.sourceforge.net) - Python module that allows users to explore data, estimate statistical models, and perform statistical tests. + +### Calendars + +- [tradingcalendar](https://github.com/quantopian/tradingcalendar) - Stock Exchange Trading Calendar +- [bizdays](https://github.com/wilsonfreitas/python-bizdays) - Business days calculations and utilities + +## R + +### 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. + +### Financial Instruments + +- [RQuantLib](http://dirk.eddelbuettel.com/code/rquantlib.html) - RQuantLib connects GNU R with QuantLib. +- [quantmod](https://cran.r-project.org/web/packages/quantmod/index.html) - Quantitative Financial Modelling Framework +- [Rmetrics](https://www.rmetrics.org) - The premier open source software solution for teaching and training quantitative finance + - [fAsianOptions](https://cran.r-project.org/web/packages/fAsianOptions/index.html) - EBM and Asian Option Valuation + - [fAssets](https://cran.r-project.org/web/packages/fAssets/index.html) - Analysing and Modelling Financial Assets + - [fBasics](https://cran.r-project.org/web/packages/fBasics/index.html) - Markets and Basic Statistics + - [fBonds](https://cran.r-project.org/web/packages/fBonds/index.html) - Bonds and Interest Rate Models + - [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 +- [stockPortfolio](https://cran.r-project.org/web/packages/stockPortfolio/index.html) - Build stock models and analyze stock portfolios +- [financial](https://cran.r-project.org/web/packages/financial/index.html) - Time value of money, cash flows and other financial functions. +- [sde](https://cran.r-project.org/web/packages/sde/index.html) - Simulation and Inference for Stochastic Differential Equations +- [termstrc](https://cran.r-project.org/web/packages/termstrc/index.html) - Zero-coupon Yield Curve Estimation +- [YieldCurve](https://cran.r-project.org/web/packages/YieldCurve/index.html) - Modelling and estimation of the yield curve +- [SmithWilsonYieldCurve](https://cran.r-project.org/web/packages/SmithWilsonYieldCurve/index.html) - Constructs a yield curve by the Smith-Wilson method from a table of LIBOR and SWAP rates +- [ycinterextra](https://cran.r-project.org/web/packages/ycinterextra/index.html) - Yield curve or zero-coupon prices interpolation and extrapolation +- [opefimor](https://cran.r-project.org/web/packages/opefimor/index.html) - Option Pricing and Estimation of Financial Models in R +- [maRketSim](https://cran.r-project.org/web/packages/maRketSim/index.html) - Market simulator for R +- [AmericanCallOpt](https://cran.r-project.org/web/packages/AmericanCallOpt/index.html) - This package includes pricing function for selected American call options with underlying assets that generate payouts +- [VarSwapPrice](https://cran.r-project.org/web/packages/VarSwapPrice/index.html) - Pricing a variance swap on an equity index +- [RND](https://cran.r-project.org/web/packages/RND/index.html) - Risk Neutral Density Extraction Package +- [LSMonteCarlo](https://cran.r-project.org/web/packages/LSMonteCarlo/index.html) - American options pricing with Least Squares Monte Carlo method +- [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 +- [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 + +### Trading + +- [TA-Lib](http://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 + +### Risk Analysis + +- [PerformanceAnalytics](https://cran.r-project.org/web/packages/PerformanceAnalytics/index.html) - Econometric tools for performance and risk analysis + +### Time Series + +### Calendars + +- [RQuantLib](http://dirk.eddelbuettel.com/code/rquantlib.html) +- [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 + +## Julia + +- [QuantLib.jl](https://github.com/pazzo83/QuantLib.jl) - Quantlib implementation in pure Julia. +- [FinancialMarkets.jl](https://github.com/imanuelcostigan/FinancialMarkets.jl) - Describe and model financial markets objects using Julia +- [Ito.jl](https://github.com/aviks/Ito.jl) - A Julia package for quantitative finance + +## Java + +- [JQuantLib](http://www.jquantlib.org) - JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in 100% Java. +- [finmat.net](http://finmath.net) - Java library with algorithms and methodologies related to mathematical finance. +- [quantcomponents](https://github.com/lsgro/quantcomponents) - Free Java components for Quantitative Finance and Algorithmic Trading + +## Haskell + +- [quantfin](https://github.com/boundedvariation/quantfin) - quant finance in pure haskell +- [hqfl](https://github.com/cokleisli/hqfl) - Haskell Quantitative Finance Library + +## Scala + +- [QuantScale](https://github.com/choucrifahed/quantscale) - Scala Quantitative Finance Library + +## Frameworks + +- [QuantLib](http://www.quantlib.org) - The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. + - [JQuantLib](http://www.jquantlib.org) - Java port + - [RQuantLib](http://dirk.eddelbuettel.com/code/rquantlib.html) - R port + - [QuantLibAddin](http://quantlibaddin.org/) - Excel support + - [QuantLibXL](http://quantlibxl.org/) - Excel support + - [QLNet](https://github.com/amaggiulli/qlnet) - .Net port + - [PyQL](https://github.com/enthought/pyql) - Python port + - [QuantLib.jl](https://github.com/pazzo83/QuantLib.jl) - Julia port +- [TA-Lib](http://ta-lib.org) - perform technical analysis of financial market data + + +## Reproducing Works + +- [Derman Papers](https://github.com/MarcosCarreira/DermanPapers) - Notebooks that replicate original quantitative finance papers from Emanuel Derman. +- [volatility-trading](https://github.com/jasonstrimpel/volatility-trading) - A complete set of volatility estimators based on Euan Sinclair's Volatility Trading. +- [quant](https://github.com/paulperry/quant) - Quantitative Finance and Algorithmic Trading exhaust; mostly ipython notebooks based on Quantopian, Zipline, or Pandas. +