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Here are some Libraries I find useful/have used over the years

C++

Haskell

HQuantLib *

Note

The * symbol means I am a contributor

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20 Favorites

added views newest activity votes

120

93

votes

19

answers

24

kviews

What data sources are available online?

data finance economics

apr 24 at 9:44 haki 101

28

48

votes

15

answers

3

kviews

What concepts are the most dangerous ones in quantitative finance work?

theory academia

mar 1 at 14:37 kurast 166

3

18

votes

0

answers

460

views

How to show that this weak scheme is a cubature scheme?

option-pricing stochastic-volatility

oct 10 at 13:40 chrisaycock♦ 5,290

29

17

votes

7

answers

2

kviews

Excellent information source on advanced machine learning / data mining based trading?

automated-trading machine-learning

apr 12 '12 at 18:33 rtybase 66

8

17

votes

2

answers

706

views

Tools in R for estimating time-varying copulas?

r estimation covariance distribution joint-probability

feb 3 at 14:22 vonjd 6,289

3

11

votes

1

answer

210

views

State-space representation of Ornstein–Uhlenbeck and CIR processes

stochastic-processes kalman

may 12 at 15:46 Lisa Ann 141

9

10

votes

2

answers

586

views

How to forecast expected volatility from high-frequency equity panel data?

volatility time-series equities research forecasting

oct 17 '11 at 15:54 Tal Fishman 6,740

11

10

votes

2

answers

551

views

Why is the ratio of Hi-Low range to Open-Close range close to 2?

data analysis

jun 16 '12 at 13:21 Louis Marascio 1,682

2

10

votes

0

answers

138

views

A non parametric study of VaR with kernel density

r statistics finance risk-management

jan 24 at 15:36

4

9

votes

2

answers

1

kviews

Drawbacks & Caveats of using (N)Esper for ESP/CEP in trading systems?

programming cep

apr 28 '12 at 5:03 Kim 21

3

9

votes

0

answers

81

views

rugarch: Joint estimation leads to different results

r garch estimation auto-correlation arma

may 13 at 8:16 Community♦ 1

8

8

votes

1

answer

485

views

Kalman Filter Vs Hough Transform

untagged

mar 9 '12 at 0:46 rtybase 66

7

7

votes

3

answers

516

views

Hidden Markov Model & Its Application

statistics r hidden-markov-model

dec 28 at 13:37 Rainer 33

1

7

votes

1

answer

524

views

Expected return from a multiple linear regression?

regression expected-return

aug 25 '11 at 13:47 Tal Fishman 6,740

2

7

votes

1

answer

181

views

Forecasting using rugarch package

r garch

may 12 at 19:53 Community♦ 1

2

6

votes

5

answers

4

kviews

How to calculate historical intraday volatility?

volatility high-frequency tick-data

nov 24 at 14:56 Louis Marascio 1,682

4

6

votes

4

answers

701

views

Using rolling returns in a multivariate linear regression?

returns regression multivariate

nov 14 at 23:01 Community♦ 1

1

4

votes

0

answers

62

views

Estimation of ranks of log-returns via copula

estimation copula log-returns

jan 27 at 14:07 Romain 121

2

4

votes

1

answer

138

views

Are there any well known methods of testing through-the-cycle rating systems?

risk risk-management default

jan 30 at 5:25 bVs 86

2

3

votes

1

answer

629

views

What latency should I use for backtesting a high-frequency strategy?

backtesting hft latency

jun 10 '12 at 17:43 SRKX♦ 4,699

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