[ROOT] Re: A question on root and finance

From: Edmond Offermann (edmondoffermann@yahoo.com)
Date: Mon Mar 01 2004 - 17:29:53 MET


I believe that there is a group of mostly physicists
out there
that is using  ROOT as their development platform in
finance .
The secrecy involved in developing the propriety
causes them to keep quiet....

A few years ago, Anton Fokin started to develop a
class library
R-Quant to implement financial tools . That seems to
have developed
into a trading tool called "QuantStudio" and can be
bought at
www.smartquant.com . In the menu pricing he states
that you can
get a windoze executabe for $750 and source code IS
for the right price ....

That side has also a forum (similar like RootTalk
Forum) that
sheds light on the kind of users he is/wants
attracting/ to attract .
It seems mostly "day traders" that were using a
product like
TradeStation (www.tradestation.com)

It is not clear to me how much of ROOT he has/is
taken/taking with him
and is now trying to sell ....

coming back to ROOT :

Some of the information you supply is incomplete and
or confusing :

- "I am a physicist working as a trader in finance"
- "I am trying to develop a trading system"

Are you a trader or a quant  ? or maybe both ?
Trading floors for banks like Dresdner are usually
employing groups of
which part is responsible for the trading, part for
the data and the rest for research .

I wonder whether you want to write your own parsers
for the data feeds,
for sure somebody else at Dresdner bank did that
already . All you have to
do is read that data into ROOT .
ROOT excels in storing/graphing/fitting data and runs
on about any platform .

Missing in ROOT are tools that are specifically
tailored to finance analysis like
time series operations . It should not be a big deal
to get a time series
code from somebody else at Dresdner and load it into
RQuant/QuantStudio has a time series class but from
what I recall was inedaqaute
for serious high-frequency analysis and more tailored
to analysis of daily data.

We just upgraded the linear algebra of ROOT to do some
serious linear analysis.
In the pipeline is a linear/quadratic programming set
of classes with which one
could tackle larger Markowitz betting schemes .


Is this you at 
Funny dress code at Dresdner bank :)
--- Jordi Molins Coronado <jordi_molins@hotmail.com>

I am a physicist working as a trader in finance. At
the same time, I am working on a PhD on the field of
econophysics (the mixture of finance and physics).
For this reason, I am considering in developing my own
trading system, in order to back test strategies.
However, I would not like to develop the system from
scratch. Also, I would like to get some piece of
robust software, if possible written by physicists.
My first thinking was Root. Developed - I think - for
capturing and analyzing lots of data coming from
particle accelerators, it could be adapted to
capturing financial time series data.
I have seen in Internet that Anton Fokin developed
R-quant using Root. I also see in a presentation
written by himself that he said it was open source,
and he gave a web page for further checking. However,
this webpage is not available anymore.
I know that Anton Fokin has now a company called
SmartQuant, and I guess that their product is very
much based on R-quant. They sell their product, but
without the source code. For this reason, I am not
interested in this product, since I am an adherent to
the philosophy of open source (I like playing around
with the code and not believing somebody else with my
eyes closed).
I would like to ask you if it is still available
R-quant in Root, since R-quant was available open
source in the past (not anymore, at least from Anton
Fokin). Even an old version would be welcome.
I am highly interested in knowing if it is still
available. It would avoid me lots of sleepless nights
during months and years, developing my own code on
root. And being physicists, you know that this is
really a pain.
Any piece of information will be extremely welcome
thanks a lot in advance for your help
Jordi Molins

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