Hi, 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 algorithms 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 available 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 ROOT . 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 . Eddy ps. Is this you at http://empresas.iddeo.es/acusub1/i_p_ferriol19_07/imag_ferriol19_0724.htm ? Funny dress code at Dresdner bank :) --- Jordi Molins Coronado <firstname.lastname@example.org> wrote: --------------------------------- Hello, 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 --------------------------------- Encuentra a tu media naranja entre los perfiles que más te gusten. Toda la magia del romance en MSN Amor & Amistad.
This archive was generated by hypermail 2b29 : Sun Jan 02 2005 - 05:50:06 MET