Contents

🔖 Actuarial Science in Julia

📖 Actuarial science = money science.1

See also

  • 🏚️ means the package may not support current versions of Julia.
  • 🏗️ means the package may be a WIP.

Econometrics

📖 Econometrics

  • Dolo.jl :: A tool to describe and solve economic models.
  • DSGE.jl :: Solve and estimate Dynamic Stochastic General Equilibrium models (including the New York Fed DSGE).
  • Expectations.jl :: Expectation operators for Distributions.jl objects.
  • FredData.jl :: Pull data from FRED directly into Julia.
  • GARCH.jl :: Generalized Autoregressive Conditional Heteroskedastic (GARCH) models for Julia.
  • MarketTechnicals.jl :: Technical analysis of financial time series in Julia by @JuliaQuant.
  • QuantEcon.jl ::Julia implementation of QuantEcon routines.
  • SchumakerSpline.jl :: An equivalent Julia package to R’s schumaker to create a shape preserving spline that quickly and smoothly converges to a fixed point in economic dynamics problems including value function iteration.
WIP or may not work
  • 🏚️ copula.jl :: Julia Copula package implements the gaussian AR1 copula.
  • 🏚️ Dynare.jl :: This package aims at bringing to Julia some of the algorithms incorporated in Dynare, a platform for solving dynamic economic models.
  • 🏚️ Econometrics.jl :: The Econometrics.jl package contains functionalities for (financial) econometric research.
  • 🏚️ fund.jl :: An implementation of FUND in Julia.
  • 🏚️ Gensys.jl :: A Julia version of Gensys (Sims 2000).
  • 🏚️ GrowthModels :: This is a repository that contains solutions to many growth models that are of the same class.
  • 🏚️ Loss.jl :: General functions for estimating loss functions inspired by Kaggle’s release of code for many common metrics.
  • 🏚️ RuinProbability.jl :: For calculating the ruin probability with real data under different claims models.

Finance

  • BusinessDays.jl :: A highly optimized Business Days calculator written in Julia language. Also known as Working Days calculator.
  • Currencies.jl :: Simple checked fixed-point currencies for Julia.
  • InterestRates.jl :: Tools for Term Structure of Interest Rates calculation, aimed at the valuation of financial contracts, specially Fixed Income instruments, indexing and Term Structures.
  • MarketData.jl :: Time series market data
WIP or may not work
  • 🏚️ AssetMgmt.jl :: Asset Management.
  • 🏚️ BigFinance.jl :: Analysis of high frequency quantitative data. flashcrash-ui is the UI for BigFinance.jl.
  • 🏚️ Bloomberg.jl :: Providing access to Bloomberg financial data in Julia.
  • 🏚️ CTechCommon.jl :: Some functionality to be shared among packages.
  • 🏚️ DynAssMgmt.jl :: This package implements a framework to set up and test dynamic asset management strategies.
  • 🏚️ EconDatasets.jl :: Accessing econometric datasets in Julia.
  • 🏚️ EodData.jl :: Julia package for connecting to the EodData.com XML Web Service.
  • 🏚️ FinanceStats.jl :: An experimental sandbox of functions that implement common statistical methods in finance.
  • 🏚️ FinancialBlotter.jl :: Financial Instruments and Accounting in Julia.
  • 🏚️ FinMarkets.jl :: Describe and model financial markets objects using Julia.
  • 🏚️ FRED.jl :: Package to read from the St. Louis Federal Reserve Bank API.
  • 🏚️ Grist.jl :: Financial blotter.
  • 🏚️ Ito.jl :: An open source toolkit for financial computing in Julia.
  • 🏚️ LibTrading.jl :: A wrapper for the libtrading library, an open source API for high-performance, low-latency trading applications.
  • 🏚️ OpenFiscaFrance.jl :: A port of OpenFisca-France to Julia, containing the formulas and parameters of the french tax-benefit system. And the Code module.
  • 🏚️ Quandl.jl :: Julia api to Quandl open source financial, economic and social datasets.
  • 🏚️ RobHood.jl :: Open platform to investigate markets.
  • 🏚️ SDE.jl :: Simulation and inference for Ito processes and diffusions. Use DifferentialEquations.jl instead.
  • 🏚️ stockMonitor.jl :: A module which constantly collects and performs analyses the stock market.
  • 🏚️ Timestamps.jl :: Immutable timestamped values.
  • 🏚️ TradeModels.jl :: Modeling the allocation of resources to markets based on the restraints of objective functions.
  • 🏚️ TradingLogic.jl :: An attempt at a unified framework in Julia language for both event-driven backtesting and live trading. This package utilizes reactive programming elements implemented in Reactive.jl.
  • 🏚️ TradingSystem.jl :: Quantitative trading framework in Julia.
  • 🏚️ WorldBankDataTd.jl :: Accessing World Bank Data.
  • 🏚️ YStockData.jl :: Fetch Data from Yahoo Finance.
  • 🏚️ ZVSimulator.jl :: The ZVSimulator package provides a framework for assessing the zero variance (ZV) principle for Monte Carlo or random sampling via simulation.

  1. Julia.jl is under COPYRIGHT © 2012-Now SVAKSHA, dual-licensed for the data (ODbL-v1.0+) and the software (AGPLv3+), respectively. ↩︎