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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.
May
28
comment Is R being replaced by Python at quant desks?
Hmm I guess I need to disagree with you here regarding visualizations. R packages are still lightyears behind efficient and especially dynamic visualization. Every first year IT student can chart a time series from scratch. What people want and need is visualization of millions of data points that a charting app can down sample. Fast zooming and panning and handling of annotations. I have not seen anything in R that comes even remotely close.
May
28
comment Is R being replaced by Python at quant desks?
what I meant was backward compatibility within the Python stack. Is it true that using Python 3.x unables me to use packages that target 2.x?
May
28
comment Is R being replaced by Python at quant desks?
I did not notice a fury nor downvotes. And I fully agree with your suggestion. What really currently discourages me to again more actively participate on this site is pressure to conform to strict "rules" and guidelines. Humans are not bits and bytes nor does efficient and intelligent learning involve black and white Q&A formats. As this question demonstrates the format itself is already questioned because some seem to feel incredibly uncomfortable to go out of their "rules-based" comfort zone. I also like to see more healthy debate and sharing...
May
24
comment Is R being replaced by Python at quant desks?
Thank you for sharing your experience and providing pros and cons, I appreciate the balanced thought sharing. Though regarding backward compatibility, does Python 3.x not break backward compatibility? And in terms of mathematical and statistical features of packages, R clearly still has the lead here, imho. At the same time, however, I do not see much value in 90%+ R packages because they target a very specific statistical approach and the implementation is not modularized and not extendible, so that functionality remains very limited, almost to the degree of single time usage.
May
24
comment Is R being replaced by Python at quant desks?
@rhaskett, regarding inter-connectivity, I think it is extremely important to be able to efficiently interface with other modules, hardware, software applications. I believe it to be a myth that most who seriously perform data analyses do not need inter-connectivity. In that I find Python a lot more capable and it provides more efficient means to, for example, fan out computations to other hardware instances.
May
22
comment Is R being replaced by Python at quant desks?
@vonjd, I raised this on meta, thanks for suggesting this: meta.quant.stackexchange.com/questions/1452/…
May
22
comment How to create a basket of currency pairs with the lowest correlation in R?
Can you please be more precise? What is your exact objective? " create a basket of currency pairs that have low correlation between them" is only one of them. What do you exactly try to achieve? And I do not follow your correlation tables: What does 0.07 for USDJPY exactly describe? Which correlations of which data points are you calculating? I highly recommend you are solid on what you want to get to and have a solid grasp at which statistical techniques get you there before using R.
May
21
comment Is R being replaced by Python at quant desks?
By the way, is there a way to vote or suggest allowing certain questions that may currently not fit the desired format? I find questions like "which language is recommended for xyz" or "is abc-regression better suited to tackle xyz than bcd-regression" very important and useful for those who work in this field. At least a lot more useful than many questions that are kept open of the type "where can I download free tick data" or "does yahoo finance backward adjust dividend splits"...
May
21
comment Is R being replaced by Python at quant desks?
@John, thank you for sharing, very interesting and valuable information.
May
21
comment Is R being replaced by Python at quant desks?
But I am of course entirely open to let the community vote to have the question closed if most think it is not relevant nor targeted enough (though I listed very specific use cases that I am interested in)...
May
21
comment Is R being replaced by Python at quant desks?
@vonjd, I have not made up my mind else I would not have asked. And we should be fair in acknowledging that some on this site have a very strong vested interest in leaning towards R because they derive a portion or all of their living from writing R code, hence their rather strong wording. I defend the question because the question and hopefully answers are imho very relevant to those working at quant desks or potentially to those who pour many tens if not hundreds of thousands into projects.
May
21
comment Is R being replaced by Python at quant desks?
yes, that is another trend I am seeing, for time series analysis a lot of academic courses nowadays seem to have switched from R to Python as teaching and demonstration tool. I am not generalizing but a lot of students with Master's degrees I recently interviewed seem to have a much better grasp at Python than R. But one thing that makes me not yet want to fully embrace Python is: What libraries are exactly out there that assist in time series analysis, derivatives pricing, modeling, applying machine learning techniques aside the generalized Pandas, SciPy, ... packages?
May
21
comment Is R being replaced by Python at quant desks?
@DirkEddelbuettel, most of those are version updates, plus I understand and respect you are taking the other side of that bet (though I never offered a bet but voiced an impression). You are heavily invested in R and therefore I get why you have a different impression. Would be nice if you could write up a short answer to state what you use R for and why you think it is a better tool for you than Python.
May
21
comment Is R being replaced by Python at quant desks?
I stand by my own estimate but I did not intend to flame or cause discontent. Sorry if that above number rattled some cages. I just hear a lot of new quant projects get started in Python rather than R which got me thinking and caused me asking this question. R has the strength of an existing library repository but the growth momentum seems to be on the Python side.
May
19
comment Is R being replaced by Python at quant desks?
I agree the available packages that pertain to stats, math, and financial math are quite numerous in R. Though the current rate of new packages that target the above areas seems to be a lot higher in Python than R these days. I got the impression that R might be obsolete in 3-4 years due to so much that is done or ported over to Python right now and that is what caused me to ask this question, to gauge whether others share those observations. Thanks for your input on this.
Apr
4
comment How to optimally hedge construction loans with interest rate swaps?
I always found the world of finance to be a lot smaller than ever thought ;-)
Apr
2
comment How to optimally hedge construction loans with interest rate swaps?
Is this homework or a case study assigned in school? I could bet I have come across a very similar story before.