I don't have much to say in this post, just that I wish I would have found this sooner! There is a CRAN page called Empirical Finance that is an absolute goldmine of, you guessed it, R stuff related to empirical finance and econometrics. The page is managed by Dirk Eddelbuettel, who is a quant researcher and developer. Dirk has contributed many great R packages and helps maintain even more, including Rcpp and RQuantLib. If you are looking for an R package that can help you with your data analysis or time series modeling or whatever crazy thing you do on your Saturday nights, make sure to check out the R Empirical Finance page.
If you have no idea what the heck this R thing is, check out my Getting Started in R post.
I'm currently cooking up a few more detailed posts, which are essentially turning out to be Why Finance is Wrong: A Three-Part Series, so be sure to check back for those - should be interesting.
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