Český finanční a účetní časopis 2013(4):145-163 | DOI: 10.18267/j.cfuc.363

Using R in Finance

Jiří Sedláček
Ing. Jiří Sedláček, PhD. - odborný asistent; Katedra mezinárodního obchodu, Fakulta mezinárodních vztahů, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3; <sedlacek@vse.cz>.

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.

Keywords: Statistics; Finance; R; Program; Data structures; Packages; Data import.
JEL classification: C10, G10

Published: December 1, 2013  Show citation

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Sedláček, J. (2013). Using R in Finance. Czech Financial and Accounting Journal, 2013(4), 145-163. doi: 10.18267/j.cfuc.363
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