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Quantitative Libraries for Financial Predictive Analytics

Asymptotix' support for the language R (and S+ where I started and seems cool to mention alongside R these days, mystifyingly but probably the subject of another blog) is prima facie, just read our website. We have a particular pleasure in a good relationship with REvolution Analytics, with whom we have been beside since the start and who have driven the R standard with great success over the last couple of years. We have a strong partnership with TIBCO Spotfire and we understand S+. But what if R or S+ just doesn't fit, just is not compatible with the application architecture into which you have to develop a quantitatively analytic application. It happens sometimes, the application architecture is a context, a constrained environment in which the developer has to exist and develop. Talk to young developers these days and they will generally say why didn't the Solution Architect THINK before he handed me this prison cell of constraint, why can't I just do this in R?

iona motif asymptotixBut (in this scenario) the application architecture component of the overall Solution Design constrains the developer to use C++ or JAVA or even some feature, some extension of the mega-vendor BI products. In this scenario I am considering, it often seems that R doesn't fit, the standard languages for application development are set in stone, they are standards, there is a vendor platform for BI. The application architecture is a defined component of some overall Solution Architecture which includes the Data Architecture and the physical infrastructure.

The Quants Control The Markets and May Cause Another Crash in Stock Prices

From the Forbes: “WATCH OUT FOR THE QUANTS,” a column I wrote in February, 2008, warned that computer driven buy and sell orders were dangerously fragmenting the marketplace for stocks. Dan Mathisson, Credit Suisse head of advanced execution services, told me then; “More and more of the world’s trading is done by spraying dark orders across multiple destinations by using deliberately complicated patterns and algorithmic models that can’t be discovered or duplicated. No one knows who’s doing what to whom anymore.”

Streambase NVIDIA

NEW YORK (USA) - June 23, 2010 StreamBase Systems, the leader in high-performance Complex Event Processing (CEP) technology, announced today at the Securities Industry and Financial Markets Association (SIFMA) conference in New York, that it is collaborating with NVIDIA, inventor of the graphics processing unit (GPU), to offer the best-of-breed computing capability for capital markets. 

StreamBase Press Release


asymptotix teslaINVIDIA have not said anything specific about this on their website.

However here is the chipset which StreamBase are leveraging.

Acquisition of RiskMetrics by MSCI Barra could standardise VaR measurement: ISSUE


Acquisition of RiskMetrics by MSCI Barra could standardise VaR measurement and increase systemic risk, says EM Applications

London - 9 March 2010 Bob's Guide

2009 - A Summary of the Economy in the EU

It has become known as the “Great Recession”, the year in which the global economy suffered its deepest slump since the second world war. But an equally apt name would be the “Great Stabilisation”. For 2009 was extraordinary not just for how output fell, but for how a catastrophe was averted.

ECB: Recent advances in modelling systemic risk using network analysis

Introductory remarks by

Gertrude Tumpel-Gugerell,

Member of the Executive Board

of the ECB

ECB workshop

5 October 2009


FT: the investment black box lives on

Leading pioneer of quantitative investment Donald Putnam, managing director of Grail Partners, defends the use of the computer 'black box' by asset managers. But in this revealing interview with investment editor John Authers of the Financial times, he concedes that the credit crunch has provoked a far more nuanced approach to mass stampedes and "weather conditions" in markets.

The Formula That Killed Wall Street - The Gaussian Copula - Wired - Felix Salmon

Einstein and Munroe


The Formula That Killed Wall Street - The Gaussian Copula - Wired - Felix Salmon (Updated)

The reference of this post is an article is from Wired magazine (above), it's by Felix Salmon, who you might know from Seeking Alpha, the article is interesting in its depth (it has none!).

The article is being commented upon @ LinkedIn this morning but the commentary reflects a zero level understanding of the Gaussian Copula (the subject of the article), which then maybe reflects why "the wizards of wall street" got it so drastically wrong, its nothing to do with the technique, its just that they did not understand 1) what it is for and 2) how it does what it is for & 3) what it is NOT for!

Comment August 2012

If you follow the logic of the critique on this page (& we @ asymptotix appreciate the input [below]); what you see is that it is the 'sociology' of the models that matters, not the quantitative technique per se; if you like its the game theory of the technique deployment that matters, the Project Management.

There are a myriad of Issues in Model Risk, formally Model Risk is attempting 2 capture the gap between the Model & Reality (which is pointless really since 'Real'-Reality is arguably unkowable); we cannot know what the model of 'perfect fit' would actually look like; we can see reality when it arrives and describe it ex-post (we can derives models of the future from that)! Ex-ante all we have is models. Models cause issues where they are mis-managed & this usually involves stupidity of one sort or another! But where this stupidity is being managed for a second order objective (for gain) by intelligent model practitioners; where erroneous results are knowingly managed by securities sales functions; that is where it all goes wrong. That elephant usually resides in the data centre, if you look at the case experience of the last 4 years.

Removing that elephant is the argument for Open Source Transparency.

Rogue Wave Software Acquires Visual Numerics

Rogue WaveRogue Wave Software, Inc., a Battery Ventures portfolio company, today announced that it has acquired Visual Numerics, Inc., a privately held advanced analytics software company based in Houston, Texas.

Two real economy numbers to blow any financial risk forecast to oblivion


...... RECESSION ......

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