Algorithmic Lingua Franca
Readers often privately ask what tools and platforms Quantivity uses for trading, ranging from exploratory analysis to post-trade. One tool has become influential enough to warrant highlight, and will serve as the algorithmic lingua franca in subsequent Quantivity posts. In particular, the forthcoming extended series on Market Regime Trading. As a veteran hard-core coder, this is no small complement.
This tool is R. Readers likely know of R from its origin: a programming language for statistical computing and graphics, similar to S-PLUS or SAS. Over recent years, dedicated quant contributors have evolved R quietly beyond its statistical roots into a fledging platform for quantitative finance analysis. Given the historical fracture amongst commercial analytic tools, R holds the potential to become the algorithmic standard for quantitative finance.
For readers new to R or its role in quantitative finance, several links are worthy starting points as grounding for subsequent Quantivity posts:
- Introductory: R Homepage and R Wiki
- Task Views: Empirical Finance, Econometrics, Time Series, Multivariate Statistics, Robust Statistics, Optimization, Machine Learning, and Bayesian Inference