Python and R for Quantitative Finance .pdf

Python and R for Quantitative Finance An Introduction Luca Sbardella luca.sbardella@ @lsbardel LondonR - Nov 09 Overview 1) Putting things into context 2) Python and R 3) Examples 1 ­ Context How can quantitative finance pratictioners best leverage their expertise without reinventing the wheel and spending lots of their precious time writing low level code? opensource technologies Current Approach ✔ Extensive use of large propriety C, C++ or Java libraries. ✔ Server­side applications written in ✔ .Net/C# ­ Windows servers ✔ Java – Windows  Linux/Unix ✔ VBA/Excel on the client side :( ✔ Some web/based clients :) ✔ Limited if inexistent use of powerful opensource technologies/libraries. Problems ✔ Full development cycle in low­level languages is expensive C++ : Python = 7 : 1 ✔ Writing code already developed many times before ✔ Difficult to adjust to new technologies as they become available ✔ Often libraries are deployed on the client machine ✔ Some technologies (.Net) force a decision on the platform to be used (Windows) A different approach ✔ Limit low­level development to critical number­crunching components ✔ Use available high­standard opensource technologies ✔ Flexible, multiplatform server­side configuration ✔ Multi­language support ✔ Abstraction when possible ✔ Remote procedure calls (RPC) A proposed solution ✔ Use of Python as main server side driver ✔ Legacy C, C++ as Python modules (Boost­Python) ✔ Interaction with other technologies ✔ R ­ for statistics ✔ Erlang/Haskell – functional programming