SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by chocolatemoney
May 27th, 2013, 2:18 pm
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12191

F# / F Sharp

<t>"Monads look like a patch to allow mutability in pure FP."Monads are much more than that... If a PDE solves for the evolution of a system in time, then at some point, the PDE solver will inevitably need to deal with state (as opposed to a functional stateless implementation) Hence, one more reaso...
by chocolatemoney
May 27th, 2013, 1:18 pm
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12191

F# / F Sharp

However, maybe, could mutability be hidden within a monad?Some ideas?
by chocolatemoney
May 23rd, 2013, 11:08 pm
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12191

F# / F Sharp

<r>@Chuch:I have no experience in F# yet. I am talking from the scala perspective.IMHO, a lattice pricing model/calibration may not be the best textbook use case of FP - I could not envision a great deal of difference between my scala implementation and my C++ implementation. C++ templates and funct...
by chocolatemoney
May 23rd, 2013, 7:10 am
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12191

F# / F Sharp

<t>I have been working in scala for a few years. I am very happy with the functional approach. Actors+FP has helped me being productive when developing on server side. I do find Scala more aesthetically pleasing than F#. However, I think that being within .net would facilitate my work when developin...
by chocolatemoney
May 22nd, 2013, 2:52 pm
Forum: Programming and Software Forum
Topic: F# / F Sharp
Replies: 41
Views: 12191

F# / F Sharp

I could not find any existing thread on this topic.Any experience in F#?What do you think of F#? Is it gaining some popularity in the quant fin community?Thanks.Cheers.
by chocolatemoney
May 2nd, 2013, 9:02 am
Forum: Technical Forum
Topic: server for in-memory data storage
Replies: 8
Views: 8495

server for in-memory data storage

Yes, sure. Thanks for your input.Would you know a suitable java/c/c++ framework to manage a client-server connection for the exchange of binary structured data?Thanks again.
by chocolatemoney
April 25th, 2013, 11:59 am
Forum: Technical Forum
Topic: server for in-memory data storage
Replies: 8
Views: 8495

server for in-memory data storage

<t>I am programming in Scala.I have currently 40Gb, which is a fraction of the total database.The data needs to be consolidated but my guess is that the total will reach 1TbThe data is very heterogeneous, ranging from monthly data (some indices) to full order book.The backtest is left to the client....
by chocolatemoney
April 24th, 2013, 6:43 am
Forum: Technical Forum
Topic: server for in-memory data storage
Replies: 8
Views: 8495

server for in-memory data storage

<t>Thanks for your input. However, I am not sure I agree. The data required for the backtesting is just a tiny fraction of the total amount of data.With a dedicated machine, if I could process queries and cache tables.The skinny client (even a laptop), could just request the data needed and run the ...
by chocolatemoney
April 23rd, 2013, 12:15 pm
Forum: Technical Forum
Topic: server for in-memory data storage
Replies: 8
Views: 8495

server for in-memory data storage

<r>Hi,I have quite a big amount of TS data that I need to access for back-testing.I'd like to put together a web server where I could keep the whole mass of data loaded in the memory and serve the TS needed for the backtesting on the go.I was wondering if you attempted a similar project. I am still ...
by chocolatemoney
March 26th, 2013, 4:39 pm
Forum: Economics Forum
Topic: Physical vs Paper Gold
Replies: 6
Views: 8832

Physical vs Paper Gold

<t>Yes, thanks, this is true and well understood.This is an extreme scenario. An investor may not even be able to get access to his gold in a foreign country anyway..In the meanwhile, while waiting for an "extremely bad event", how is physical gold marked to market? Is ready at hand gold awarded a p...
by chocolatemoney
March 26th, 2013, 10:16 am
Forum: Economics Forum
Topic: Physical vs Paper Gold
Replies: 6
Views: 8832

Physical vs Paper Gold

<r>Hi,Plenty of discussions revolve around the risk/possibility that the price of physical gold may spread away from the price of paper gold (ETFs, futures, ..).<URL url="http://addisonwigginsapogeeadvisory.agorafinancial.com/files/2013/02/GoldsRecentDrop.pdfLet%27s"><LINK_TEXT text="http://addisonw...
by chocolatemoney
February 8th, 2013, 9:00 am
Forum: Trading Forum
Topic: Historical Corporate Action Database
Replies: 4
Views: 15919

Historical Corporate Action Database

Thanks Michael. Would you deem Yahoo Finance as reliable, as a check if anything?Tnx.
by chocolatemoney
February 6th, 2013, 1:21 pm
Forum: Trading Forum
Topic: Historical Corporate Action Database
Replies: 4
Views: 15919

Historical Corporate Action Database

Hi, minuteman: any luck in your search? I'd be interested in such a service.
by chocolatemoney
February 5th, 2013, 1:48 pm
Forum: Trading Forum
Topic: Tick data
Replies: 20
Views: 46323

Tick data

<t>Hi, I just requested a trial period subscription on IQFeed. My goal is to download historical time series data, x-min bars, on selected NYSE and Nasdaq tickers. How do I get the data from IQFeed? I got lost in forums and tutorials..Thanks a lot!Chochy Edit: I am on a shoe-string: I would avoid ha...
by chocolatemoney
November 1st, 2012, 8:10 am
Forum: Technical Forum
Topic: Obervable Market Data
Replies: 4
Views: 10559

Obervable Market Data

<r>I agree with rmax.In my understanding of the FAS 157, Level 1 if there is a source of quoted prices. Level 2, only in the case the price has to be bootstrapped/calculated from "similar" products.Level 3 inputs are ?unobservable firm supplied estimates,? including the reporting entity?s own analys...
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