Hi Yuri, I already know quantlib, and it is useful for some purposes, like risk control and securities pricing, but it is not specificly designed (as far as I know) for time series forecasting. Thanks for your help Jordi > -----Original Message----- > From: owner-roottalk@pcroot.cern.ch > [mailto:owner-roottalk@pcroot.cern.ch]On Behalf Of Y. Shitov > Sent: 01 March 2004 21:24 > Cc: 'roottalk@pcroot.cern.ch' > Subject: RE: [ROOT] Re: A question on root and finance > > > 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 === > > > > > -------------------------------------------------------------------------------- The information contained herein is confidential and is intended solely for the addressee. 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