Hi Jordi, To satisfy your analysis needs have a look at Splus at http://www.insightful.com/default.asp It is the tool of choice for a lot of analysts. Or the open software equivalent R at http://www.r-project.org/ It will not be your storage/parser solution . Yes it should be dable to link the Bloomberg library with ROOT libraries to your application and access the Bloomberg data . However, some expertise is needed . I have no idea if somebody has a copy of previous R-Quant sources . It might be more a bother than help . Eddy --- "Molins, Jordi" <Jordi.Molins@drkw.com> wrote: > > > > -----Original Message----- > > From: owner-roottalk@pcroot.cern.ch > > [mailto:owner-roottalk@pcroot.cern.ch]On Behalf Of > Edmond Offermann > > Sent: 01 March 2004 17:30 > > To: Jordi Molins Coronado > > Cc: rootdev@pcroot.cern.ch; > roottalk@pcroot.cern.ch > > 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 > > 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 .... > > 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 (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 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 > here. > > > > > > 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 ... > > thanks > > Jordi > > > > > Eddy > > > > ps. > > Is this you at > > > http://empresas.iddeo.es/acusub1/i_p_ferriol19_07/imag_ferriol > > 19_0724.htm > > ? > === message truncated ===
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