RE: [ROOT] Re: A question on root and finance

From: Molins, Jordi (
Date: Mon Mar 01 2004 - 18:33:48 MET

> -----Original Message-----
> From:
> []On Behalf Of Edmond Offermann
> Sent: 01 March 2004 17:30
> To: Jordi Molins Coronado
> Cc:;
> Subject: [ROOT] Re: A question on root and finance
> Hi,

Hi Eddy,

thanks for your reply.

> 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....

I can believe that. ROOT seems a really good tool.

> 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
> . In the menu pricing he states
> that you can
> get a windoze executabe for $750 and source code IS
> available
> for the right price ....

Even though QuantStudio is now a commercial product, it seems that at some
point of time there was "something" free source (for example, there was
something called R-quant, and I have found a powerpoint presentation on the
web, by Anton Fokin, where he explicitly says that R-quant is free source).

It would be something extremely good for me to find something about it. Do
you know who could I ask? is there somebody involved in the past with
R-Quant that you know?

> 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 (
> 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 am a prop trader. Up to now, I have not used many quantitative tools in my
trading, but I am tired of that, and I have decided to develop my own
trading strategies. I want to have fun in my life ;->

I want to use the time series analysis developed both in the mathematical
and physical sciences to forecast asset prices: GARCH models, neural
networks, wavelets, kernel smoothing, ...

In Dresdner there is almost nobody doing quantitative analysis. Everything
is fundamentally (i.e., big picture ideas without numerical analysis)
oriented. So, I am a little bit alone.

I know there are other banks with a more quantitative approach, but not

> 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 .

I am not an expert programmer. I can program in c++, but just as a
practitioner. Unfortunately, I do not know how to program interfaces between
applications. This is one of the issues not clear to me:

there are some data vendors (like Bloomberg) that have an API to give live
data prices. Would it be easy to link Bloomberg applications to ROOT so that
every time there is a new price, an algorithm is run, and then a new window
automatically appears telling the trader to buy (or sell) if the price is
cheap (or expensive) according to the algorithm?

I guess in physics you are not so interested in live data. You always can
save all data and analyze it later. But maybe somebody already thought about
it ...

> 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.

Even though R-Quant were not a perfect tool, I would like to have it, and
improve upon it. It is better than not having anything ... do you know where
to find it?

> 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 .

I will take a look at it! I think that ROOT will be my development framework
in the future ...



> Eddy
> ps.
> Is this you at 
> 19_0724.htm
> ?
> Funny dress code at Dresdner bank :)
> --- Jordi Molins Coronado <>
> 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. 

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