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Feb
4
comment Is R being replaced by Python at quant desks?
@DarrenCook, while I agree that this site should encourage much more exposure to deep learning in quant finance I believe the addition (Jan 2016 update) is very relevant to this question. Deep learning is perhaps the area at banks, hedge funds, and at private equity that sees the most incremental investment in terms of funding and talent hiring. I do think that it is an area that clearly favors Python over R and I would love to hear from other practitioners about their take.
Feb
2
comment Longer term average probabilities of fills at fx ECNs?
indeed you are right it heavily depends on the structure each ECN operates on and its liquidity providers and takers. I guess I was more trying to share/gather thoughts on the models, used, to assess fill frequency, quality, and subsequent dynamics specifically among fx ECNs. I found very early on that quoting and fill dynamics in fx space are entirely different than in equity space. I did not find models of equity micro market dynamics at all useful in fx space. I can by now probably fill a book with my experiences but would like to do so on the basis of sharing experiences/thoughts.
Jan
10
comment Is R being replaced by Python at quant desks?
Or perhaps that this site has completely missed out on the fact that most banks and hedge funds are by now fully entrenched in AI research (which disregards R and heavily peruses Python)? Could be thousand reasons for tag count on the quant site. In conclusion, supported by the fact that one of the hottest topics in quant and technology space in general (AI and deep learning) fully embraces Python I easily stand by my prediction.
Jan
10
comment Is R being replaced by Python at quant desks?
Your queries imho are a textbook case of selection bias. All they express is that there are more r vs python questions on the stats and quant sites. I do not buy into the claim that tag count in the past is a reliable indication of where the route takes us. Else I would not have asked the question but counted tags. Perhaps a lot of R count on the quant site represents Eddelbuettel and friends maintaining rapport with users of their R packages? Maybe its just that not a whole lot of Numpy/... developers hang out here?
Jan
9
comment Is R being replaced by Python at quant desks?
@statquant, have not seen this package before, seems pretty new (post 2013?)...in all honesty I stopped following the emergence of new R packages (though to give credit plotly seems to offer an API for Python, too) late last year because I decided to go the Python route for all future research purposes.
Jan
9
comment Is R being replaced by Python at quant desks?
...as you suggest then would this not make you think hard why that is the case (if even remotely true)? I think most everyone would agree that Python even in pure quant space currently sports a stronger momentum than R. I suggest your Py/R tag count ratio of 0.06 is picking up data from a very biased data set (Crossvalidated) rather than looking at the overall StackExchange dataset. Please correct me if I read your query wrong. I am not into language wars but numbers are numbers and facts are facts, an approach you brought up.
Jan
9
comment Is R being replaced by Python at quant desks?
@cryo111, not sure we are looking at the same data (and I have not run time series queries over StackExchange data myself but just looked at simple tag counts). Python currently stands at 517027 tags counted while R tags amount to 119847. Not sure how you can get to a quotient of Py/R ever being smaller than 1...(source: api.stackexchange.com/docs/…). Now if the most recent monthly counts strongly point in the opposite direction...
Jan
9
comment Is R being replaced by Python at quant desks?
@DanielKrizian, probably the most versatile and best .js library I have seen for visualization purposes. Thanks for pointing out this "gem". I have not tested whether it holds up to its claim to manage "millions of datapoints" but it certainly looks a lot better than anything I have seen out there in .js space. If it has a good down-sampling algorithm then it might be even more interesting. Thanks a lot.
Jan
8
comment Is R being replaced by Python at quant desks?
@cryo111, not sure I would call this stable, tags spreads have continuously increased since the starting date of your query. Also, StackExchange does not seem to be the main platform of exchange for Python power users. I have not mentioned it in my original post but a majority of research work in AI (ML and especially Deep Learning Networks) is performed with Python as wrapper, all major tools such as Theano or Torch provide Python but no R libraries. So, I hold on to my hypothesis, which I feel even strengthened today vs 7 months ago.
Sep
23
comment Why Drifts are not in the Black Scholes Formula
@HenryHenrinson, I invite you to provide your own answer if you believe it adds value above and beyond the existing answers.
Aug
21
comment How to price this option using the Black Scholes model?
fixed...........
Aug
15
comment Library of basic indicators
ta-lib.org/hdr_doc.html and/or quantcode.com/modules/smartfaq/faq.php?faqid=92
Aug
14
comment Library of basic indicators
What are you stuck with?
Aug
12
comment Calculate turnover for portfolio
@user1723765, your problem is not reproducible unless you provide which data you used, the exact data sets (you said it works on your random data but not on "real data"), ....I hope you do not expect others to write a complete code solution in exchange for 100....Anyway, from what you describe the problem might be that some weights do not sum up to 1 or the like. But as your question currently stands it makes it very hard for someone to take interest in putting in time for guess work...
Aug
8
comment Is R being replaced by Python at quant desks?
...R packages provided visualization capabilities that we demanded. Even D3 is not performant enough. We decided to stay with C# in regards to our front-ends that encapsulate visualizations. We hardly use any of the R packages for algorithms and statistical/mathematical computations hence we are entirely independent from those. In the end we wondered what R is particularly good at in comparison with other choices and we believe R is a great all-round tool that performs reasonably well but does not come out on top in any of the categories. Hope this explains our decision making process a bit.
Aug
8
comment Is R being replaced by Python at quant desks?
@statquant, I cannot comment on what we decided in the end to peruse but I can comment on why we decided not to choose R. The biggest reason was time-consuming procedures to hook up R code with our existing research and trading framework. While everything can be interconnected some way or the other connectivity often proved quirky and cumbersome. To name just two examples: To up R's performance regarding large data sets one can use packages such as data table and Rcpp among others but then the question begged why using R in the first place. Another example is visualizations: None of the...
Jul
24
comment Libor OIS basis swap equation
The paper @Olorun mentioned looks quite interesting. Keep in mind that for your stated problem you need to derive OIS rates, hence you need to build an OIS curve. A traditional libor curve is of very little help here. Most practitioners nowadays build OIS curves rather than libor curves. So for your situation you need OIS rates as input and need to build an OIS curve. Libor curves are irrelevant in this context.
Jun
21
comment Interpretation of Drift
as @emcor pointed out you need to average out many discretizations (not just one) in order to meaningfully isolate the drift. Your drift isolation via MLE should come very close to your actual drift.
Jun
16
comment Importance Sampling - where to center the sampling distribution?
usually people carry through with the distributional assumption that underlies BS. Some seem to apply exponential change of measure via a cumulant generating function (but I can't comment on it as I have never used it). Have you considered control variate methods and otherwise QMC?
Jun
15
comment Physical or Real-world Probability Measure
Thats ok then, no worries :-) I simply wanted to confirm whether you talk about probability measures when you refer to "measures" and probability spaces when you refer to "measurable spaces". But seems I overlooked you already rephrased yourself in specifying you are talking about probability measures and probability spaces. By the way I quoted from Shreve's text book, cheers.