3,258 reputation
1124
bio website dirk.eddelbuettel.com
location Chicago, IL
age
visits member for 3 years, 2 months
seen Apr 18 at 1:21
  • See my blog for some updates on what I've been up to.
  • Sometimes I tweet using the @eddelbuettel tag.

Aug
23
comment Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
Oh, and I'm familiar with the library will qualify as the quant.stackexchange.com understatement of the year ;-)
Aug
23
comment Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
The fixed-income code in RQuantLib needs an overhaul pretty badly... I have been asked this before, including by Lisa Ann, and I generally respond that a pure C++ solution is a good first step after which one can address the R connection issues...
Feb
27
comment Why C is still in use especially in area of numerical optimization (instead of C++)?
Feel free to close it. There is no value-added; same question has been asked a bazillion times already...
Feb
27
comment Why C is still in use especially in area of numerical optimization (instead of C++)?
I think I disagree with this assertion. C++ projects like Boost, Eigen, Armadillo, half a dozen ML libraries, ... all do very well with C++ interfaces. And if you must, you can always use a C interface for glue (as eg offered by R and used by Rcpp).
Dec
1
comment Is there a piratebay for data(bases)? (here, talking about historical financial data)
+1 for mentioning both billion dollar business and some free (but generally delayed access) accessor functions. I have been standing the corresponding Perl / CPAN package Finance::YahooQuote for longer than I care to admit too :)
Oct
14
comment Analyzing tick data
+1, but typo in Tim Bollerslev's name.
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).
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
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
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. ;-)
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.
Dec
13
comment Usage of NoSQL storage in Finance
Fixed, thanks for catching that.
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
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.