There is also some quantlib project http://quantlib.org Yuri On Mon, 1 Mar 2004, Edmond Offermann wrote: > 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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