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Using R in Finance
[Využití R v oblasti financí]

Author

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  • Jiří Sedláček

Abstract

R is open source software environment (and language) for statistical computing and graphics. Different surveys are showing R's popularity has increased substantially in recent years, especially in academic environment. Therefore, at the beginning main advantages and comparison to commercial statistical software are presented. Second, selection of the best interface for given tasks is important. In each category (GUI or editors/IDEs) several product are compared. Data structure for time series in base installation is suitable for regular time series only. Therefore, several other data structures in different packages are compared: almost all support irregular time series, but differ in other attributes (often important for financial data). In following section, analysis of some well-known packages for financial data (quantmod, RQuantLib, Rmetrics collection and others) are performed. At the beginning of the last section, different ways of downloading data from Internet are shortly presented. Then the relevant sources of financial data are more deeply investigated (in particular web Quandl and corresponding Quandl package for R). Czech projects for open data (still in initial phase) are also shortly described.

Suggested Citation

  • Jiří Sedláček, 2013. "Using R in Finance [Využití R v oblasti financí]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2013(4), pages 145-163.
    • Handle: RePEc:prg:jnlcfu:v:2013:y:2013:i:4:id:363:p:145-163
    DOI: 10.18267/j.cfuc.363
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    References listed on IDEAS

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    1. Zeileis, Achim & Grothendieck, Gabor, 2005. "zoo: S3 Infrastructure for Regular and Irregular Time Series," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 14(i06).
    2. Fox, John, 2005. "The R Commander: A Basic-Statistics Graphical User Interface to R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 14(i09).
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    More about this item

    Keywords

    Statistics; Finance; R; Program; Data structures; Packages; Data import; Statistika; Datové struktury; Balíčky; Import dat;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

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