3,581 reputation
1227
bio website dirk.eddelbuettel.com
location Chicago, IL
age
visits member for 3 years, 10 months
seen Dec 8 at 12:07
  • See my blog for some updates on what I've been up to.
  • Sometimes I tweet using the @eddelbuettel tag.

Sep
21
awarded  Custodian
May
22
comment What is a commonly accepted econometric model for volume?
As an aside, GARCH models volatility (i.e. second moment), not price (first moment).
May
4
awarded  Enlightened
Apr
24
answered How to get greeks using Monte-Carlo for arbitrary option?
Apr
7
revised Ways of treating time in the BS formula
added 114 characters in body
Apr
7
answered Ways of treating time in the BS formula
Mar
29
awarded  Nice Answer
Feb
2
comment R: How feasible is it to store — and work with — tick data in a database connected to R?
The beancounter package has been available since the late 1990s to download price data, automatically store it in SQL backends with support for PostgreSQL, MySQL, SQLite and ODBC, and also run P/L and risk (VaR) reports. Runs just fine as a cron job, and its easy to then chain R jobs onto it once the data is in SQL. Beancounter itself is a small Perl package and runs on any OS just fine.
Feb
2
comment R: How feasible is it to store — and work with — tick data in a database connected to R?
ODBC will always be slower than direct binary connections, so it is really just the fallback choice. I once built a direct R bridge to OneTick using their C++ API -- that was pretty fast for large data too.
Feb
2
revised What are the advantages of switching platforms/languages between strategy development and implementation?
added 6 characters in body
Feb
2
answered What are the advantages of switching platforms/languages between strategy development and implementation?
Feb
2
comment What are the advantages of switching platforms/languages between strategy development and implementation?
That's where Rcpp came from in the R and C++ hybrid. I used to write .oct files too but generally prefer R over Octave/Matlab now.
Jan
31
awarded  Yearling
Jan
27
awarded  Nice Answer
Jan
16
awarded  Nice Answer
Jan
11
comment What C++ math libraries are typically used by quants?
So you mean what other libraries you think you can use without putting up extra barriers to use and adoption?
Jan
11
comment What C++ math libraries are typically used by quants?
While technically true, you should keep in mind that Octave is written to support its interpreter, not provide an API. Hence little use of Octave as a library in the sense of the original question.
Jan
11
comment What C++ math libraries are typically used by quants?
I have worked with C++ for twenty years and your statement still makes no sense to me. Why don't you focus on release early, release often and feedback on actual code?
Jan
11
comment What C++ math libraries are typically used by quants?
Just produce a clean and useful API, bindings to other systems will then come easily---using e.g. Rcpp. And yes, if you do anything data releated (eg analysis, modeling, visualization, ...) then R is rather popular.
Jan
11
comment What C++ math libraries are typically used by quants?
Nope, I advocate using C++ and R. A happy marriage. ;-)