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ACTUARIAL-SCIENCE.md

§1. ECONOMETRICS

  • MarketTechnicals.jl :: Technical analysis of financial time series in Julia.
  • DSGE.jl :: FRBNY DSGE model in Julia.
  • copula.jl :: Julia Copula package implements the gaussian AR1 copula.
  • Dolo.jl :: A tool to describe and solve economic models.
  • 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.
  • Expectations.jl :: Expectation operators for Distributions.jl objects.
  • FredData.jl :: Pull data from FRED directly into Julia.
  • fund.jl :: An implementation of FUND in Julia.
  • GARCH.jl :: Generalized Autoregressive Conditional Heteroskedastic (GARCH) models for 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.
  • Jconometrics.jl :: MATLAB to Julia port of Spatial Econometrics.
  • Loss.jl :: General functions for estimating loss functions inspired by Kaggle's release of code for many common metrics.
  • QuantEcon.jl :: This package collects code for quantitative economic modeling. It is currently comprised of two main parts: 1. A toolbox of routines useful when doing economics and 2. Implementations of types and solution methods for common economic models.
    • Quantitative economic modelling lecture series in Julia language, designed and written by Thomas J. Sargent and John Stachurski, that is freely available as a PDF file too.
  • RuinProbability.jl :: For calculating the ruin probability with real data under different claims models.

§2. FINANCE

  • AlphaVantage.jl :: A Julia wrapper for the Alpha Vantage API.
  • AssetMgmt.jl :: Asset Management.
  • BigFinance.jl :: Analysis of high frequency quantitative data.
  • Bloomberg.jl :: Providing access to Bloomberg financial data in Julia.
  • 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.
  • CTechCommon.jl :: Some functionality to be shared among packages. {Usable: 4, Robust: 4, Active: 1}
  • 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.
  • FinancialBlotter.jl :: Financial Instruments and Accounting in Julia.
  • FinMarkets.jl :: Describe and model financial markets objects using Julia.
  • FinancialMarkets.jl :: Describe and model financial markets objects using Julia.
  • FinanceStats.jl :: An experimental sandbox of functions that implement common statistical methods in finance.
  • FRED.jl :: Package to read from the St. Louis Federal Reserve Bank API.
  • Grist.jl :: Financial blotter.
  • 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.
  • 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.
  • MarketStates.jl :: Library of market states that aggregate market indicators to produce a market signal.
  • MCInsurance.jl :: This Julia package provides multi-period Monte Carlo simulations for life insurance.
  • OpenFiscaCore.jl :: A port of OpenFisca-Core to Julia. This is the core module of OpenFisca, without GUI or country-specific code & data.
  • OpenFiscaFrance.jl :: A port of OpenFisca-France to Julia, containing the formulas and parameters of the french tax-benefit system.
  • 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.
  • 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.