6 Packages for Using R in Finance

Articles From: Interactive Brokers
Website: Interactive Brokers

R is a powerful and open-source language for econometrics, statistics and data science. Be sure to check the below articles and read about 6 popular packages!

  • echoice2 – this new R package executes economic models of choice, which comprises discrete choice & volumetric choice models with & without screening rules. Dr. Nino Hardt, the package creator, shares details here.
  • bidask is used to estimate bid-ask spreads in financial markets, and it is based on the academic paper: “Efficient estimation of bid-ask spreads from open, high, low, and close prices” by David Ardia (HEC Montreal), Emanuele Guidotti and Tim Kroencke (University of Neuchâtel). Find information here.
  • hofa – Professor Kris Boudt demonstrates a framework that can do a PCA-like analysis on coskewness and cokurtosis matrices. The article “Gaining from Non-normality in Factor Analysis” explains how to test this methodology with the open-source hofa from the Sentometrics company.
  • IBrokers – this package provides connectivity used for API trading. Watch this tutorial on how to use it to place orders.
  • rsims can be utilized for fast backtesting. Check out this article from Kris Longmore, Robot Wealth, for sample code.
  • portfolio.optimization – Ronald Hochreiter looks at several modeling and optimization approaches using R and shares insights on a portfolio optimization modeling language built on top of a generalized algebraic model. Learn more here.

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Disclosure: API Examples Discussed

Throughout the lesson, please keep in mind that the examples discussed are purely for technical demonstration purposes, and do not constitute trading advice. Also, it is important to remember that placing trades in a paper account is recommended before any live trading.

Disclosure: Order Types / TWS

The order types available through Interactive Brokers LLC’s Trader Workstation are designed to help you limit your loss and/or lock in a profit. Market conditions and other factors may affect execution. In general, orders guarantee a fill or guarantee a price, but not both. In extreme market conditions, an order may either be executed at a different price than anticipated or may not be filled in the marketplace.

Disclosure: R API Disclosure

This software is in no way affiliated, endorsed, or approved by Interactive Brokers or any of its affiliates. It comes with absolutely no warranty and should not be used in actual trading unless the user can read and understand the source. IBrokers is a pure R implementation of the TWS API.