[Rd] FinancePack and The Mind of the Market

From: Dominick Samperi <dsamperi_at_decisionsynergy.com>
Date: Sun 14 Jan 2007 - 01:20:39 GMT


The C++ and R code that is part of the R packages FinancePack and FractalPack may be of some interest to users of QuantLib and/or R-sig-finance. There you will find open source implementations of implied tree construction, volatility surface calibration, credit modeling, time series generation using multifractals and other methods, agent-based simulations, Mandelbrot set exploration, scale-free and random network simulations, and a few other functions.

The underlying C++ code is NOT copyleft, and can be incorporated into systems like QuantLib (for example) under the terms of an Open Source License.

Some of this software was designed to complement my paper titled "The Mind of the Market", where I develop a neuroscientific viewpoint on finance practice. It can be downloaded from http://ssrn.com/abstract=955023.

Please feel free (and obliged if you find this stuff useful) to send me any feedback on the software and/or the paper that you might have (especially the paper).

These packages were designed to serve as examples for researchers and practitioners who want to provide software illustrations of their work along with paper publications, something that seems to be fairly common in statistics, but not common enough in other disciplines like finance. The idea is to provide a complete framework including a GUI to illustrate your results and permit the user to experiment. The wide availability of the open source R system makes this more feasible. (The importance of this for computational science is discussed under the topic
"reproducible research" at

http://www-stat.stanford.edu/~wavelab, for example).

The packages and associated documentation can be downloaded from http://www.DecisionSynergy.com. The document FinancePack.pdf describes both packages and elaborates on the philosophy mentioned above. The package RcppTemplate may be helpful for building an R package around C++ code that implements your ideas.

See FinancePack.pdf for more info, and please read
"The Mind of the Market" and send me your thoughts...

Thanks,
Dominick



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