Data

• option-implied autocorrelation
  Of the S&P 500 index (daily),  based on my work "Return Auto-Correlation as Implied by Option Prices"
  
  

R Packages

• multifractal

An improved and simplified package for MF-DFA analysis, including significance testing, surrogate algorithms (IAAFT, IAAWT) and simulation of multifractal series. 

• svi

Method for fitting the option implied volatility surface via the Stochastic Volatility Inspired (SVI) equation, computing the risk-neutral density distribution (RND), and risk-neutral moments (skewness, kurtosis, etc.). Details can be found in my working paper.

• irspg

Spectral Projected Gradient method with Inexact Restoration: An algorithm for large-scale nonlinear optimization problems with nonconvex constraints. We apply the algorithm here to solve the "nearest option-implied correlation matrix problem".

• option-implied autocorrelation

Python

• IAAWT

Iterated Amplitude Adjusted Wavelet Transform for Python. We're using it in this paper to transform the heavy-tailed distribution of daily returns  to a normal distribution while keeping the structure of volatility clustering.

• svi

Method for fitting the option implied volatility surface via the Stochastic Volatility Inspired (SVI) equation. Details can be found in my working paper.

• option-implied autocorrelation