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Statistics, OR, Finance, etc.

COOKBOOKS

ACTUARIAL SCIENCE

Econometrics

  • copula.jl :: Julia Copula package implements the gaussian AR1 copula.
  • DynamicFactorModels.jl :: Dynamic Factor Models for Julia.
  • 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 :: Econometric models in Julia.
  • GARCH.jl :: Generalized Autoregressive Conditional Heteroskedastic (GARCH) models for Julia.
  • Jconometrics.jl :: MATLAB to Julia port of Spatial Econometrics.
  • julia__timeseries :: Time-series analysis functions for Julia.
  • 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.
  • SolveDSGE :: The package contains a variety of methods for solving Dynamic Stochastic General Equilibrium (DSGE) models to first- or second-order accuracy. It will be of most interest to macro-economists, but others may find the routines for reordering the complex Schur form and the generalized complex Schur form useful.
  • TimeData.jl :: This package provides fast, robust and convenient representation of time series data.
Learning Resources

BENCHMARKS

Preprocessor

OPERATIONS RESEARCH

  • CGRASP.jl :: Continuous Greedy Randomized Adaptive Search Procedure (CGRASP), in Julia.
  • CSDP.jl :: Julia wrapper for the CSDP semidefinite programming solver.
  • CutPools.jl :: Pools of cutting planes for JuMP models.
  • jlSimplex :: Proof-of-concept implementation of the (dual) simplex algorithm for linear programming in Julia.
  • JuMP.jl :: Modelling language for Linear, Integer, and Quadratic Programming.
  • JuMPeR.jl :: Julia for Mathematical Programming (JuMP) extension for Robust optimization.
  • jobshop :: The Jobshop (Open Shop Scheduling Problem (OSSP)) problem is solved with evolutionary strategies in Julia.
  • MinFinder.jl :: The MinFinder algorithm to find all the minima for a differentiable function inside a bounded domain.
  • OptimizationServices.jl :: Julia interface to COIN-OR Optimization Services. This Julia package is intended to be an interface between MathProgBase.jl and COIN-OR Optimization Services (OS), translating between the Julia-expression-tree MathProgBase format for nonlinear objective and constraint functions and the Optimization Services instance Language (OSiL) XML-based optimization problem interchange format.
  • Predictors.jl
  • Ranking.jl :: Tools for ranking in Julia.
  • RationalSimplex.jl :: Pure Julia implementation of the simplex algorithm.
  • SemidefiniteProgramming.jl :: This package provides a Julia interface for low-level modeling of semidefinite programming problems and for solving semidefinite programs with solvers such as SDPA and CSDP.
  • SimJulia.jl :: is a combined continuous time / discrete event process oriented simulation framework written in Julia inspired by the Simula library DISCO and the Python library SimPy.
  • VRP :: Vehicle Routing Problem (VRP) is a combinatorial optimization and integer programming problem.
Learning Resources

Optimization

  • ampl.jl :: Julia interface to the AMPL Solver Library (ASL).
  • AMPLMathProgInterface.jl :: Wrapper for MathProgBase.jl {see the JuliaOpt section below}.
  • BlackBoxOptim.jl :: An experimental, work-in-progress global optimization framework for Julia, supporting both multi- and single-objective optimization problems, focused on (meta-)heuristic/stochastic algorithms (DE, PSO, CMA-ES etc).
  • BLOM.jl :: A Julia port of the Berkeley Library for Optimization Modeling (Work-In-Progress).
  • CPLEX.jl :: The CPLEX.jl package provides an interface for using IBM's CPLEX Optimizer™ from the Julia language. You cannot use CPLEX.jl without having purchased and installed a copy of CPLEX Optimizer™ from IBM. This package is available free of charge and in no way replaces or alters any functionality of IBM's CPLEX Optimizer product.
  • CUTEst.jl :: Julia interface for CUTEst.
  • DDUS.jl :: Data-driven Uncertainty Sets for the JuMPeR framework.
  • ECOS.jl :: Julia wrapper for the ECOS SOCP solver.
  • GeneticAlgorithms.jl :: is a lightweight framework that simplifies the process of creating genetic algorithms and running them in parallel.
  • IProfile :: Preferably, use IProfile in Base packages to profile your code, which contains an "instrumenting profiler" for the Julia language. And, ReadTheDocs
  • JuliaCMAES :: CMA-ES port - a mix of the original minimal MATLAB implementation (purecmaes.m) and the full one (cmaes.m).
  • Junquo.jl :: stands for "JUlia Nonconvex QUadratically constrained quadratic program Optimizer", a (mixed-integer) nonconvex quadratically constrained quadratic program (QCQP) solver.
  • LSQ.jl :: is a library that makes it easy to formulate and solve least-squares optimization problems with linear equality constraints.
  • Memoize.jl :: Easy memoization for Julia.
  • MOpt.jl :: Parallel derivative-free Moment Optimization for Julia.
  • NLTester :: Code for benchmarks comparing AMPL, Julia, and YALMIP (MATLAB) for nonlinear modeling.
  • pikaia.jl :: Genetic Algorithms (GA's).
  • Polyopt.jl :: Julia package for polynomial optimization using semidefinite programming.
  • Proximal.jl :: Translation of Parikh and Boyd code for proximal algorithms.
  • Quadprog.jl :: A wrapper around Ipopt.jl to solve quadratic programming problems. This package provides the function quadprog which calls the Ipopt.jl library for Interior Point Nonlinear Optimization.
  • QuickCheck.jl :: is listed in METADATA and based on QuickCheck specification-based randomized tester for Julia.

Org-JuliaOpt

An umbrella group for Julia-based optimization-related projects, with its own mailing list at Google groups.

  • Cbc.jl :: Julia interface to the mixed-integer linear programming solver Cbc via the CoinMP C library.
  • Convex.jl :: a Julia library for mathematical programming that makes it easy to formulate and fast to solve nonlinear convex optimization problems. It can use (nearly) any solver that complies with the MathProgBase interface, including Mosek, Gurobi, ECOS, SCS, and GLPK.
  • GLPKMathProgInterface.jl :: Interface between the GLPK.jl wrapper and MathProgBase.jl.
  • Gurobi.jl :: is a Julia interface for the Gurobi Optimizer, a commercial optimization solver for a variety of mathematical programming problems, including linear programming (LP), quadratic programming (QP), quadratically constrained programming (QCP), mixed integer linear programming (MILP), mixed-integer quadratic programming (MIQP), and mixed-integer quadratically constrained programming (MIQCP).
  • Ipopt.jl :: is a Julia interface to the Ipopt nonlinear solver.
  • KNITRO.jl :: This package provides an interface for using the KNITRO solver from the Julia language, which can only be used after having purchased and installed a copy of KNITRO from Ziena Optimization.
  • LsqFit.jl :: Simple curve fitting functionality from Optim.jl has been moved into its own package.
  • MathProgBase.jl :: Solver-independent functions (incl. linprog and mixintprog) and low-level interface for Mathematical Programming.
  • Mosek.jl :: Interface to the Mosek solver in Julia.
  • NLopt.jl :: Package to call the NLopt nonlinear-optimization library from the Julia language.
  • Optim.jl :: A basic optimization algorithms implementation.
Learning Resources

STATISTICS

  • AD_StatTest-julia :: An implementation of the Anderson Darling statistical test for exponential or Rayleigh distributions in Julia.
  • ApproXD.jl :: B-splines and linear high-dimensional approximators in multiple dimensions for Julia.
  • ASH.jl :: David Scott's Average Shifted Histogram density estimation.
  • BasicSpace.jl :: A port of the R "basicspace" package to Julia.
  • BNMF.jl :: Gamma Process Non-negative Matrix Factorization (GaP-NMF).
  • Bootstrap.jl :: Bootstrapping is a widely applicable technique for statistical estimation, especially in the absence of closed-form solutions.
  • Causality.jl :: A Julia Package for Causal Inference.
  • CauseMap.jl :: An implementation of Convergent Cross Mapping (CCM), a method for causal inference in non-linear dynamics systems, written in Julia.
  • Civecm.jl :: Cointegration in Vector Error Correction Models in Julia.
  • Church.jl :: Perform MCMC inference in complex, and simple, probabilistic models.
  • ConditionalRandomFields.jl :: Scalable Conditional Random Fields code for Julia.
  • ConjugatePriors.jl :: Closed form expressions for conjugate priors in Julia.
  • CRBM.jl :: Conditional RBMs package.
  • CrossDecomposition.jl :: Canonical-Correlation Analysis (CCA).
  • CTDE.jl :: Continuous time, discrete event system in Julia.
  • CurveFit.jl :: Simple least squares and curve fitting functions.
  • JointMoments.jl :: Tensors and statistics for joint central moments.
  • DA.jl :: A package for linear and quadratic regularized Discriminant Analysis.
  • DiscreteFactor.jl :: Discrete factor and its operations in Probabilistic Graphical Models.
  • DiscreteInference.jl :: Viterbi algorithm.
  • DiscriminantAnalysis.jl :: Methods for discriminant analysis, in Julia.
  • Divergences.jl :: A Julia package for evaluating divergences.
  • DPMM.jl :: Dirichlet Process Mixture Models in Julia.
  • Earth.jl :: is the wrapper for the stand-alone version of R's earth package. The Earth package in R for Multivariate Adaptive Regression Splines (MARS), a form of regression analysis.
  • FactorModels.jl :: Factor models or diffusion index models.
  • FeldtLib.jl :: Comparing two set of samples (empirical distributions)Baumgartner-Weis-Schindler statistic and tests.
  • Hotspot.jl :: Hotspot modeling.
  • hmm.jl :: Julia implementation of Hidden Markov Models.
  • HyperLogLog.jl :: A simple HyperLogLog implementation in Julia.
  • HypothesisTests.jl :: T-tests, Wilcoxon rank sum (Mann-Whitney U), signed rank, and circular statistics in Julia.
  • Isotonic.jl :: This implements several algorithms for isotonic regression in Julia.
  • ITC.jl :: Code for modeling intertemporal choice in Julia.
  • JAGS.jl :: A Julia interface to JAGS, to provide a shared library as an interface between Julia and JAGS - Just another Gibbs sampler.
  • Jags.jl :: Julia package for using Just another Gibbs sampler.
  • JuMPStoch.jl :: A stochastic optimization framework for JuMP.
  • KernSmooth.jl :: A direct port of the R package KernSmooth, (v2.23-10.), carrying an unlimited license.
  • KLDivergence.jl :: KL-divergence estimation in Julia.
  • KSVM.jl :: Kernel Support Vector Machine (SVM) written in Julia.
  • Lasso.jl :: Lasso solvers for linear and generalized linear models.
  • LIBSVM.jl :: Julia bindings for LIBSVM.
  • LARS.jl :: Least angle regression.
  • ManifoldLearning.jl :: A Julia package for manifold learning and non-linear dimensionality reduction.
  • MCMC2.jl :: Alternative MCMC package design demo.
  • MCMCExampleRepository.jl :: Repository for MCMC Julia examples.
  • MCMCModels.jl :: Scratch space for hosting temporarily current model specification for MCMC inference.
  • Mamba.jl :: Markov chain Monte Carlo simulation toolkit for julia.
  • MixedModels.jl :: A Julia package for fitting (statistical) mixed-effects models.
  • MixtureModels.jl :: A Julia package for probabilistic mixture models.
  • MultivariateAnalysis.jl :: A Julia package for multivariate data analysis (e.g. dimension reduction).
  • NaiveBayes.jl :: Simple Naive Bayes implementation in Julia.
  • NURBS.jl :: A Julia package for manipulating NURBS objects (curves, surfaces, volumes, etc.).
  • KernelEstimator.jl :: The julia package for nonparametric density estimate and regression.
  • NHST.jl :: Null hypothesis significance tests.
  • ParallelSparseRegression.jl :: A Julia library for parallel sparse regression, that implements solvers for regression problems including least squares, ridge regression, lasso, non-negative least squares, and elastic net; and proposes to add fast methods to obtain regularization paths.
  • PGM0.jl :: A bottom-up approach to probabilistic graphical models.
  • ProbabilisticModeling.jl :: A BUGS-like language for describing probabilistic models in Julia.
  • ProbTopicModels.jl :: Probabilistic topic models.
  • PValueAdjust.jl :: P-value adjustment methods for multiple testing correction.
  • QuantileRegression.jl :: Quantile regression in the Julia language.
  • Queries :: Composable queries for Julia DataFrames.
  • RandomProcesses.jl :: Random processes (CRP, CRT) in Julia.
  • RBM.jl
  • Regression.jl :: Algorithms for regression analysis (e.g. linear regression and logistic regression).
  • Ridge.jl :: Ridge regression and classification.
  • Rmath.jl :: Archive of functions that emulate R's d-p-q-r functions for probability distributions.
  • RunningStats.jl :: Julia translation of John D. Cook's code for running moment statistics and univariate regressions.
  • SGD.jl by @johnmyleswhite :: Fit models using SGD in Julia.
  • SDP.jl by @trthatcher :: Statistical Data Processing.
  • SGDDemo.jl :: Stochastic Gradient Descent (SGD) predictive models for large data sets in Julia.
  • SGD2.jl :: Stochastic gradient descent, a draft of new methods for SGD calculations.
  • SpecialFunctions.jl :: Functions for AMOS, a statistical software package for structural equation modeling, produced by SPSS.
  • SimpleMCMC.jl :: Small framework for MCMC sampling and maximization on user-defined models.
  • SimpleRL.jl :: A bare-bones package for simulating RL models and estimating them from behavioral data.
  • SmoothingKernels.jl :: Smoothing kernels for use in kernel regression and kernel density estimation.
  • TopicModels.jl :: TopicModels for Julia.
  • Turing.jl :: A Turing complete probabilistic programming language embedded in Julia.
  • VCOV.jl :: Build StatusHeteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation for Julia.
Learning Resources

Org-JuliaStats

The github home page.

  • DataFrames.jl :: A Library for working with tabular data in Julia.
  • DataArrays.jl :: This package extends Julia by introducing data structures that can contain missing data.
  • DataFramesMeta.jl :: Metaprogramming tools for DataFrames.
  • DimensionalityReduction.jl :: Methods for dimensionality reduction.
  • Distance.jl :: A Julia package for evaluating distances(metrics) between vectors.
  • Distances.jl :: A Julia package for evaluating distances(metrics) between vectors.
  • Distributions.jl :: The Distributions package.
  • GLM.jl :: Linear models (LM's) and generalized linear models (GLM's) in Julia.
  • Lora.jl :: is a generic engine for implementing Bayesian statistical models using Markov Chain Monte Carlo (MCMC) methods.
  • MLBase.jl :: A set of functions to support the development of machine learning algorithms.
  • PGM.jl :: A Julia framework for probabilistic graphical models.
  • RmathDist.jl :: This package provides a julia interface to the distributions provided by the standalone Rmath library, which is part of the R project for statistical computing.
  • Sampling.jl :: Basic sampling algorithms package, that provides algorithmic support to statistics-related packages, including Distributions.jl.
  • StatsBase.jl :: The Stats meta-package for basic statistics functions for Julia.
  • StreamStats.jl :: Compute statistics over data streams.
  • SVM.jl :: Native Julia implementations of standard SVM algorithms.
  • TimeSeries.jl :: Time-series toolkit for Julia.
  • TimeModels.jl :: Modeling time series in Julia.

Probabilistic Programming

  • OpenPP.jl :: Open Source Probabilistic Programming in Julia.
  • Sigma.jl :: A probabilistic programming environment implemented in Julia that allows you to specify probabilistic models as normal programs, and perform inference.
  • Stan.jl :: Julia package for using Stan, a probabilistic programming language for Bayesian inference written in C++, and licensed under the New BSD License. The Stan language is used to specify a Bayesian statistical model, which is an imperative declaration of the log probability density function.
  • Stochy.jl :: Probabilistic Programming in Julia.

Bayesian

  • BayesModels.jl :: Tools and Building Blocks for Bayesian Modeling and Probabilistic Inference.
  • BayesNets.jl :: Bayesian Networks for Julia.
  • Bolstad2.jl :: Julia functions from W.M. Bolstad's "Understanding Computational Bayesian Statistics".
  • GeometricMCMC.jl :: Geometric MCMC algorithms and zero-variance (ZV) Monte Carlo Bayesian routines.
  • MCBN.jl :: Monte Carlo Bayesian averaging over Bayesian networks.
  • NestedSampling.jl :: Nested Sampling algorithms for Julia.
  • VarBayes.jl :: Variational Bayesian methods in Julia.

Gaussian

Regression Analysis

Statistical Tests

  • RobustStats.jl :: A collection of robust statistical tests based on the R package WRS (R-Forge repository) by Rand Wilcox.
  • StatTests.jl :: [A set of statistical tests for Julia.

Finance

  • AssetMgmt.jl :: Asset Management.
  • FinMarkets.jl :: Describe and model financial markets objects using Julia.
  • FRED.jl :: Package to read from the St. Louis Federal Reserve Bank API.
  • 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".
  • 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.
  • Pandas.jl :: A Julia front-end to Python's Pandas package.
  • Quandl.jl :: Julia api to Quandl open source financial, economic and social datasets.
  • SDE.jl :: Simulation and inference for Ito processes and diffusions.
  • TradingSystem.jl :: Quantitative trading framework in Julia.
  • WorldBankDataTd.jl :: Accessing World Bank Data.
  • ZVSimulator.jl :: The ZVSimulator package provides a framework for assessing the zero variance (ZV) principle for Monte Carlo or random sampling via simulation.

Org-JuliaQuant

  • FinancialBlotter.jl :: Financial Instruments and Accounting in Julia.
  • FinanceStats.jl :: An experimental sandbox of functions that implement common statistical methods in finance.
  • MarketTechnicals.jl :: Technical analysis of financial time series in Julia.
  • TradeModels.jl :: Modeling the allocation of resources to markets based on the restraints of objective functions.

VIDEOS