R is an excellent software for this kind of analytical work. However its problem lies in database integration. Unless you can really dig deep into the dirty you cannot build a reliable RT data link between R and your database of choice. A friend of mine's fund somehow managed to pull it off but for individual traders it's better to stay with the proven commercial software such as Matlab or SAS. Yes it's kinda expensive but you get your money's worth. SAS can link up with SQL databases pretty well and Matlab is more powerful function-wise, but you have to build your own data link (much much easier than R though).
Linear regression fit of stock prices
- Thread starter mililani
- Start date
R is an excellent software for this kind of analytical work. However its problem lies in database integration. Unless you can really dig deep into the dirty you cannot build a reliable RT data link between R and your database of choice. A friend of mine's fund somehow managed to pull it off but for individual traders it's better to stay with the proven commercial software such as Matlab or SAS. Yes it's kinda expensive but you get your money's worth. SAS can link up with SQL databases pretty well and Matlab is more powerful function-wise, but you have to build your own data link (much much easier than R though).
If you want that much data you'll have to buy it.
Are you looking for unfiltered tick level data or other data like one-minute, hourly, EOD, etc?
In that case you can use a quote download software (e.g. Historical Quotes Downloader) to download free EOD ASCII quotes directly from Yahoo. I believe there are some freeware that can do this as well. From there you can build a dynamic data link to whatever database you are using.