3,606 reputation
1227
bio website dirk.eddelbuettel.com
location Chicago, IL
age
visits member for 3 years, 11 months
seen yesterday
  • See my blog for some updates on what I've been up to.
  • Sometimes I tweet using the @eddelbuettel tag.

Jan
10
comment What C++ math libraries are typically used by quants?
It helps to look at it the other way: RcppArmadillo helps you to write simple C++ linear algebra, almost Matlab style, that is C++ fast. At run-time, it will indeed refer to whichever BLAS R uses, which may well be optimised, multicore, ... such as Goto or MKL. Makes sense? So the point is when you need to code something that R doesn't yet do, or does too slowly, the RcppArmadillo integration makes it pretty easy to get the job done.
Jan
10
answered What C++ math libraries are typically used by quants?
Dec
20
awarded  Nice Answer
Dec
18
awarded  Nice Answer
Dec
13
comment Usage of NoSQL storage in Finance
Fixed, thanks for catching that.
Dec
13
revised Usage of NoSQL storage in Finance
edited body
Nov
30
comment Quantlib in JavaScript?
Swig doesn't know server or client---it creates language bindings. How you deploy is up to you. And you can hardly have QuantLib in the client as the software once compiled is huge. So you probably need a connector of some sort to talk to a computer server which may have QuantLib for you. Somewhat harder.
Nov
30
answered Quantlib in JavaScript?
Nov
23
answered What's the difference between SA and SAAR?
Nov
7
comment time series management system
Well, have you considered vendor solutions? If you have a million series from fifty vendors, something like Kdb or OneTick might be more suitable than a bunch a of binary mmap files on an NFS server...
Oct
18
comment What are your opinions on WEKA KnowledgeFlow, Rapidminer, and other rapid development environments for machine learning?
That's a valid machine learning or stats question but arguably tad off-topic here.
Sep
28
comment Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
Right, a 40 year old paper is proof that all is well with the world (and the EMH). Where have been the last two decades? Or, for that matter, in 2007/2008. Moreoever, your critique entirely misses the point that we still have operational answer to the OP's initial question: What would be the risk aversion of the representative investor be (assumed he existed) ? You also misunderstood my previous comment: I am not looking for MathEcon proofs, I am looking for operational predictions from your beloved theory which can withstand at least somewhat economtrically sound tests. There are none.
Sep
28
comment Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
@Dimitris: I am looking forward to your list of papers of relevant predicatable events based on such models. Hint: There are none, and I'd add that few economists (besides EMH diehards) are currently all that proud of the relevance of the field.
Sep
13
revised Is there an all Java options-pricing library (preferably open source) besides jquantlib?
added 174 characters in body
Sep
13
answered Is there an all Java options-pricing library (preferably open source) besides jquantlib?
Aug
26
answered using quantlib function in my c++ program
Aug
17
awarded  Nice Answer
Jul
24
answered Which approach dominates? Mathematical modeling or data mining?
Jul
2
comment Usage of NoSQL storage in Finance
Chris, thanks for expanding the answer.. Besides Vertica, one could also mentions Sybase's offering in the area. I do think SciDB is column-oriented too, though, and could become a dark horse. They talk R support right from the start.
Jul
1
answered Usage of NoSQL storage in Finance