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Jun
9
comment How to short an option?
@emcor, what do you exactly mean with "issued by large financial institutions". Options are either exchange traded in which case there is no financial institution that "issues" options contracts or you are referring to otc options. Can you please clarify?
Jun
9
answered How to short an option?
Jun
8
comment Is R being replaced by Python at quant desks?
...performance that matches or exceeds what can be done purely in Python. For example, any statistical or numerical techniques that cannot be vectorized require me to essentially maintain a C++ code base to beat code operations in Python. Similar applies to visualizations: Most dynamic visualizations or visuals that allow me to pan/zoom or otherwise manipulate rendering during run-time requires knowledge of .js and/or D3.js. Python on the other hand allows me to more easily interface with existing visualization libraries I already peruse. But as said, I have not yet come to a final conclusion
Jun
8
comment Is R being replaced by Python at quant desks?
@vonjd, no I have not yet made a decision. But I am much better informed thanks to some of the answers and my spending more time with packages such as data.table and rcpp. It does not change my impression of bits and pieces being "glued together" in R in order to run more performant computations (Rcpp is in effect a bridge to run compiled C++ code and data.tables is a highly indexed data structure which should not be compared with solutions that make no use of indexing). My main concern at this point is that I will end up with code bases in multiple languages to achieve ...
Jun
3
accepted Is R being replaced by Python at quant desks?
May
30
comment Is R being replaced by Python at quant desks?
I am spending some time with Rcpp this weekend. Thanks for the pointer.
May
30
comment Is R being replaced by Python at quant desks?
And hence we look for ways in either R or Python to migrate part of our design and pricing framework to. I tremendously benefitted from this discussion already and you make lots of very good and above all informed points. Thanks a lot for adding so much value.
May
30
comment Is R being replaced by Python at quant desks?
Agree fully that each requires different approaches and poses different requirements in general. However in the end of the day I and my team still needs to get our work done in our framework of choice. For visualization, for example, we peruse a C# Frontend that we equipped with massive parallelization capabilities, customizability, and the ability to make use of hardware based technologies. For parallel and async computing we also interface with different technologies which is precisely why we look for a framework that boasts strong capabilities in interfacing with other components.
May
29
comment Is R being replaced by Python at quant desks?
what I need to better understand is the computational efficiency of the actual statistical and numerical procedures. Your data tables can be as fast as they want but if the actual visualization of time series in R gets on its knees when you throw a million or so data points at it then you have your bottle neck right there. Same goes for MC pricing. Is that clearer?
May
29
comment Is R being replaced by Python at quant desks?
as well as pricing derivatives via Monte Carlo, PCA, or more mathematically involved PDE solvers on the other end of the spectrum. I get the point that indexed data tables allow for fast access to chunks of data but this only serves the starting point of any analytical or numerical exercise...
May
29
comment Is R being replaced by Python at quant desks?
I thought I was very specific about my requirements in the question I originally asked. Just because some of the requirements require large data quantities and others do not should not be confused with me not knowing what I want. I look for a development and analytical testing architectural change that needs to cover both, the analysis and visualization of vast amounts of time series based data and options order book data on any end of the spectrum
May
29
revised Is R being replaced by Python at quant desks?
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May
29
comment Is R being replaced by Python at quant desks?
@statquant, I played a bit with the data.table and while it seems indeed significantly improve data table grouping and table transformations my original concern is not addressed. For computational efficiency the organization of input data is only one part of the equation. The main resource consumption will be taken up by the respective statistical and mathematical computations and that is where I am not (yet) sold that R comes close to Python's stats and math libraries in terms of computational efficiency.
May
29
revised Is R being replaced by Python at quant desks?
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May
28
comment Is R being replaced by Python at quant desks?
Statquant, I appreciate your offer and will contact you. I only mentioned kdb as you brought it up. I am definitely interested in gaining more insight into the data.table package you mentioned because performance in R was a deal breaker for me so far.
May
28
comment Is R being replaced by Python at quant desks?
That grouping and transforming on 20 million rows takes less than 1 second as well as you stating that the speed reaches kdb performance benchmarks...
May
28
comment Is R being replaced by Python at quant desks?
@statquant, that is a pretty bold claim you make. I am happy to whip up a few test batteries when I find time in the next couple days but being a kdb user myself I find that pretty hard to believe. I will report back with some numbers. Thanks for your answer and for sharing your insight. My intent to move away from kdb by the way is the precise reason that caused my asking this question.
May
28
comment Is R being replaced by Python at quant desks?
Thanks for following up on this.
May
28
comment Is R being replaced by Python at quant desks?
And when you talk about something crashing then the problem lies with improperly providing the required input format. The same can happen in OOP languages, Python and R.
May
28
comment Is R being replaced by Python at quant desks?
Secondly datatables in R are very very slow. Throw a few million time series data points at it and data frames go to their knees. The only thing I have seen that was fast was an implementation that perused memory mapping. But one could argue this is just an interface R peruse ...as soon as you actually grab the data and run R functions over it becomes very slow. Caveat here: I have not looked at any new developments over the past 8 months in R space. If there is anything new I would be happy to be pointed to it.