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
Locked
