Finance Empirical Finance Dirk Eddelbuettel 2019-03-07

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

Time series


Risk management


Data and date management

actuar AmericanCallOpt backtest bayesGARCH BCC1997 BenfordTests betategarch bizdays BLModel BurStFin BurStMisc CADFtest car ChainLadder copula CreditMetrics credule crp.CSFP crseEventStudy cvar data.table derivmkts dlm Dowd DriftBurstHypothesis dse DtD dyn dynlm ESG estudy2 factorstochvol fame FatTailsR fgac fAssets fBasics fBonds fCopulae fExoticOptions fExtremes fGarch fImport FinancialMath FinAsym finreportr fMultivar fNonlinear fOptions fPortfolio fRegression fTrading fmdates forecast fracdiff fractal FRAPO frmqa GCPM GetHFData gets GetTDData GEVStableGarch ghyp gmm gogarch GUIDE highfrequency IBrokers InfoTrad lgarch lifecontingencies lmtest LSMonteCarlo longmemo markovchain MarkowitzR matchingMarkets MSGARCH mvtnorm NetworkRiskMeasures nlme NMOF obAnalytics OptHedging OptionPricing pa parma PeerPerformance pbo PerformanceAnalytics pinbasic portfolio PortfolioEffectHFT PortfolioOptim portfolioSim PortRisk quantmod QuantTools ragtop Rbitcoin Rblpapi Rcmdr RcppQuantuccia reinsureR restimizeapi Risk riskParityPortfolio RiskPortfolios riskSimul RM2006 rmgarch RND rpatrec RQuantLib rugarch rwt sandwich sde SharpeR sharpeRratio Sim.DiffProc SmithWilsonYieldCurve stochvol strucchange TAQMNGR timsac tseries TFX TSdbi tsDyn tseriesChaos tsfa TTR tawny tidyquant timeDate timeSeries tis tvm urca vars vrtest VarSwapPrice wavelets waveslim wavethresh ycinterextra YieldCurve XBRL xts Zelig zoo Econometrics ExtremeValue Multivariate Optimization Robust SocialSciences TimeSeries Rmetrics contains a wealth of R code for Finance Quantlib is a C++ library for quantitative finance Documentation for the Bloomberg API accessed by Rblpapi Mailing list: R Special Interest Group Finance MSCI indexes data French/Fama data Wilshire indexes data Rene Carmona Eric Zivot R Code for Ruppert's 'Statistics and Finance' Guy Yollin GitHub repository for this Task View