Sudy/awesome-quant

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)

awesome-quant

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)

Languages

• Python
• R
• Julia
• Java
• Haskell
• Scala
• Frameworks - frameworks that support different languages
• Reproducing Works - repositories that reproduce books and papers results or implement examples

##Python

Numerical Libraries & Data Structures

• numpy - NumPy is the fundamental package for scientific computing with Python.
• scipy - SciPy (pronounced “Sigh Pie”) is a Python-based ecosystem of open-source software for mathematics, science, and engineering.
• pandas - pandas is an open source, BSD-licensed library providing high-performance, easy-to-use data structures and data analysis tools for the Python programming language.
• quantdsl - Domain specific language for quantitative analytics in finance and trading

Financial Instruments

• PyQL - QuantLib's Python port
• pyfin - Basic options pricing in Python
• vollib - vollib is a python library for calculating option prices, implied volatility and greeks.
• QuantPy - A framework for quantitative finance In python
• Finance-Python - Python tools for Finance
• ffn - A financial function library for Python
• pynance - PyNance is open-source software for retrieving, analysing and visualizing data from stock and derivatives markets.
• tia - Toolkit for integration and analysis

Trading & Backtesting

• TA-Lib - perform technical analysis of financial market data
• trade - trade is a Python framework for the development of financial applications.
• zipline - Pythonic algorithmic trading library
• QuantSoftware Toolkit - Python-based open source software framework designed to support portfolio construction and management.
• quantitative - Quantitative finance, and backtesting library
• analyzer - Python framework for real-time financial and backtesting trading strategies
• bt - Flexible Backtesting for Python
• backtrader - Python Backtesting library for trading strategies
• pythalesians - Python library to backtest trading strategies, plot charts, seamlessly download market data, analyse market patterns etc.
• pybacktest - Vectorized backtesting framework in Python / pandas, designed to make your backtesting easier.
• pyalgotrade - Python Algorithmic Trading Library
• tradingWithPython - A collection of functions and classes for Quantitative trading
• pandas_talib - A Python Pandas implementation of technical analysis indicators
• algobroker - This is an execution engine for algo trading
• pysentosa - Python API for sentosa trading system

Risk Analysis

• pyfolio - Portfolio and risk analytics in Python
• qrisk - Common financial risk and performance metrics
• finance - Financial Risk Calculations. Optimized for ease of use through class construction and operator overload.
• qfrm - Quantitative Financial Risk Management: awesome OOP tools for measuring, managing and visualizing risk of financial instruments and portfolios.
• visualize-wealth - Portfolio construction and quantitative analysis
• VisualPortfolio - This tool is used to visualize the perfomance of a portfolio

Time Series

• ARCH - ARCH models in Python
• statsmodels - Python module that allows users to explore data, estimate statistical models, and perform statistical tests.
• dynts - Python package for timeseries analysis and manipulation

Calendars

• tradingcalendar - Stock Exchange Trading Calendar
• bizdays - Business days calculations and utilities

Data Sources

• googlefinance - Python module to get real-time stock data from Google Finance API
• yahoo-finance - Python module to get stock data from Yahoo! Finance
• pandas-finance - High level API for access to and analysis of financial data
• pyhoofinance - Rapidly queries Yahoo Finance for multiple tickers and returns typed data for analysis
• yfinanceapi - Finance API for Python
• yql-finance - yql-finance is simple and fast https://developer.yahoo.com/yql/console/ python API. API returns stock closing prices for current period of time and current stock ticker (i.e. APPL, GOOGL).
• ystockquote - Retrieve stock quote data from Yahoo Finance
• wallstreet - Real time stock and option data
• stock_extractor - General Purpose Stock Extractors from Online Resources
• Stockex - Python wrapper for Yahoo! Finance API
• finsymbols - Obtains stock symbols and relating information for SP500, AMEX, NYSE, and NASDAQ
• FRB - Python Client for FRED® API
• inquisitor - Python Interface to Inquirim.com API
• yfi - Yahoo! YQL library
• chinesestockapi - Python API to get Chinese stock price
• exchange - Get current exchange rate
• ticks - Simple command line tool to get stock ticker data
• pybbg - Python interface to Bloomberg COM APIs
• ccy - Python module for currencies
• tushare - A utility for crawling historical and Real-time Quotes data of China stocks
• jsm - Get the japanese stock market data
• cn_stock_src - Utility for retrieving basic China stock data from different sources
• coinmarketcap - Python API for coinmarketcap
• after-hours - Obtain pre market and after hours stock prices for a given symbol
• bronto-python - Bronto API Integration for Python

R

Numerical Libraries & Data Structures

• xts - eXtensible Time Series: Provide for uniform handling of R's different time-based data classes by extending zoo, maximizing native format information preservation and allowing for user level customization and extension, while simplifying cross-class interoperability.
• data.table - Extension of data.frame: Fast aggregation of large data (e.g. 100GB in RAM), fast ordered joins, fast add/modify/delete of columns by group using no copies at all, list columns and a fast file reader (fread). Offers a natural and flexible syntax, for faster development.

Financial Instruments

• RQuantLib - RQuantLib connects GNU R with QuantLib.
• quantmod - Quantitative Financial Modelling Framework
• Rmetrics - The premier open source software solution for teaching and training quantitative finance
  • fAsianOptions - EBM and Asian Option Valuation
  • fAssets - Analysing and Modelling Financial Assets
  • fBasics - Markets and Basic Statistics
  • fBonds - Bonds and Interest Rate Models
  • fExoticOptions - Exotic Option Valuation
  • fOptions - Pricing and Evaluating Basic Options
  • fPortfolio - Portfolio Selection and Optimization
• portfolio - Analysing equity portfolios
• portfolioSim - Framework for simulating equity portfolio strategies
• stockPortfolio - Build stock models and analyze stock portfolios
• financial - Time value of money, cash flows and other financial functions.
• sde - Simulation and Inference for Stochastic Differential Equations
• termstrc - Zero-coupon Yield Curve Estimation
• YieldCurve - Modelling and estimation of the yield curve
• SmithWilsonYieldCurve - Constructs a yield curve by the Smith-Wilson method from a table of LIBOR and SWAP rates
• ycinterextra - Yield curve or zero-coupon prices interpolation and extrapolation
• opefimor - Option Pricing and Estimation of Financial Models in R
• maRketSim - Market simulator for R
• AmericanCallOpt - This package includes pricing function for selected American call options with underlying assets that generate payouts
• VarSwapPrice - Pricing a variance swap on an equity index
• RND - Risk Neutral Density Extraction Package
• LSMonteCarlo - American options pricing with Least Squares Monte Carlo method
• OptHedging - Estimation of value and hedging strategy of call and put options
• tvm - Time Value of Money Functions
• OptionPricing - Option Pricing with Efficient Simulation Algorithms
• credule - Credit Default Swap Functions
• derivmkts - Functions and R Code to Accompany Derivatives Markets
• FinCal - Package for time value of money calculation, time series analysis and computational finance
• r-quant - R code for quantitative analysis in finance

Trading

• TA-Lib - perform technical analysis of financial market data
• backtest - Exploring Portfolio-Based Conjectures About Financial Instruments
• pa - Performance Attribution for Equity Portfolios
• TTR - Technical Trading Rules

Risk Analysis

• PerformanceAnalytics - Econometric tools for performance and risk analysis

Time Series

Calendars

• RQuantLib
• timeDate - Chronological and Calendar Objects
• bizdays - Business days calculations and utilities

Julia

• QuantLib.jl - Quantlib implementation in pure Julia.
• FinancialMarkets.jl - Describe and model financial markets objects using Julia
• Ito.jl - A Julia package for quantitative finance

Java

• JQuantLib - JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in 100% Java.
• finmat.net - Java library with algorithms and methodologies related to mathematical finance.
• quantcomponents - Free Java components for Quantitative Finance and Algorithmic Trading

Haskell

• quantfin - quant finance in pure haskell
• hqfl - Haskell Quantitative Finance Library

Scala

• QuantScale - Scala Quantitative Finance Library

Frameworks

• QuantLib - The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance.
  • JQuantLib - Java port
  • RQuantLib - R port
  • QuantLibAddin - Excel support
  • QuantLibXL - Excel support
  • QLNet - .Net port
  • PyQL - Python port
  • QuantLib.jl - Julia port
• TA-Lib - perform technical analysis of financial market data

Reproducing Works

• Derman Papers - Notebooks that replicate original quantitative finance papers from Emanuel Derman.
• volatility-trading - A complete set of volatility estimators based on Euan Sinclair's Volatility Trading.
• quant - Quantitative Finance and Algorithmic Trading exhaust; mostly ipython notebooks based on Quantopian, Zipline, or Pandas.