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

From: Y. Shitov (shitov@cenbg.in2p3.fr)
Date: Mon Mar 01 2004 - 21:24:18 MET


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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