My favorite tool for data analysis is the R programming language because it has a great community, it is free, and it works on Windows, Mac, and Linux. I also highly recommend RStudio if you’re not into using ESS with Emacs. RStudio is great for academics because it also serves as a LaTeX editor so you can use one tool for your entire research project soup to nuts. Microsoft offers a paid support option for commercial use but there is a free and open source version. I do most of my coding in VS Code, but it is not the best tool for beginners.

I learned R on my own but I could not have done it without the help of sites like Stack Overflow and the outstanding R community. Before posting any questions on the web, please attempt to work the problem yourself so that people don’t waste their time answering questions that have already been explained. More succinct: RTFM

Students: Download the pdf booklet PDQ Finance and follow the directions to install R and RStudio.

Non-Students: For minimal time investment, I suggest following some examples in the Getting Started in R (tinyverse edition) guide by Saghir Bashir and Dirk Eddelbuettel. I also suggest creating a free account at RStudio Cloud to get started without needing to install anything.

Installation and Introduction


Data Manipulation & Presentation

More Advanced Stuff

  • Style Analysis in R
  • Fama-French Factor Model in R
  • Pastor and Stambaugh Liquidity
  • Working in Volume Time / Event Time
  • VPIN in R Volume Synchronized Probability of Informed Trading (VPIN)
  • Probability and Performance Measurement