Category Archives: Matlab

What is this R and Python doing in the world of quant development? Why not Matlab, Octave, or Scilab?

What is this R and Python doing in the world of quant development? Why not Matlab, Octave, or Scilab?
I do however keep hearing about this R. I mean, this programming language looks very very good. First, it is very open source which means it is free!! I can honestly support that. I have also seem some demos of it from the founders and developers of Java backed Active Quant. Their videos shows some quick manipulations of data sets so easily within R. I was mightily impressed.
As I dig deeper into the world of Matlab, I am finding out R is getting there but I could be still one of their large investment bank CIOs saying, ‘yeah it is free but so what? we still use Matlab.’ I personally cannot argue that as Matlab has some amazing community support and large scale third party connectivity to some pretty big players including Thompson Reuters.
Although R and even the Matlab open source clones like Octave and Scilab, I always feel compelled to use Matlab. I have no idea why but I do believe this is why the institutions will always be behind the likes of Matlab as it is proven, mature, and the support is there when needed.
Unless you are some small prop shop who cannot afford commercial and propietary technologies, I would go with open source based solutions. R is quickly becoming one of them. The videos I saw was impressive as it seems you can easily manipulate vectors and matrixes so easily. Also, from what I understand there is a very big and fast growing financial community for R. That is exciting but unfortunately, I still Matlab is the way to go for my future development. I am sure at some point, Python and R will be part of that future as well. But like I said, Matlab is it for now. I could also have the same argument for Matlab’s clones which of course includes Octave and Scilab.

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Now where do I pick up the advanced topics of Matlab after reading this ok Matlab Demystified book?

Now where do I pick up the advanced topics of Matlab after reading this ok Matlab Demystified book?

So I have finished this book on learning about Matlab. Matlab Demystified takes a lot of assumptions you know about the entire math described in the book. Ensure you know that. Also, the book feels rushed in the more advances topics as very little is explained in detail. It is clearly written for students who are currently taking Matlab for some school project or course. If you are a working professional, I probably would not recommend this book as it does not clearly go into how Matlab toolkits work. I am one of those so I now have to research further about that.
As I installed my version Matlab 2010 a, I notices some many juicy quant based toolkits that I wanted to quickly learn about what they do. This book of Matlab Demystified teaches you the importance of the command line and how the functions work to manipulate vectors / matrixes, plots, and some advanced algorithms. It is an ok book to introduce you to these concepts. As I have said, there are many important steps missing so do not think this is a complete end to end book on learning Matlab entirely.
Matlab Demystified does a pretty decent job in the earlier chapters to introduce you to the important arrays, vectors, matrixes and other basics. You will need to find more advanced books to introduce you to the paths you want to learn within Matlab. Do not expect this book to be your entire answer to everything on Matlab.
I have also read this book forgets to mention that there are some important toolkits required to accomplish some of the functions introduced. How is that possible? I still don’t even know how to install one of these Matlab toolkits. You get the idea of what is missing right?

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MATLAB Demystified the book review. Best way to learn MATLAB for quant analysis?

MATLAB Demystified the book review. Best way to learn MATLAB for quant analysis?
So here I am trying to figure out how to tackle the fairly detailed Matlab as a math and stats tool. MATLAB is very extensive as has been introduced in this book. As I went to the local Chapter/Indigo (the big bad Borders or Barnes & Noble equivalent) here in Canada, it was the only book I came upon. I am becoming very tired of eBooks.
The book gives you a quick intro to the usual basic MATLAB commands and utilities I am now in the second chapter learning about vectors and matrixes. To be honest, MATLAB does not look really that hard to pick up. It is become a great tool for all things revolving around quant analysis and research. A lot of this involves math so you obviously need a world standard math stats application like MATLAB.
Judging from this book, I can see why MATLAB is the industry standard unlike Mathematica or a MATLAB clone like Octave or SciLab. Regardless of your standpoint, this book is tooting itself as the standard and easiest way to learn MATLAB. After reading, I can see how MATLAB seems to be like Checkers where it is easy to learn but hard to master.
As I am in the early stages of learning MATLAB and using its features extensively, I am starting to understand the importance of it for quant analysis, model and strategy building. It has so many toolkits available for large institutions to take advantage of MATLAB’s capabilities. It also shows me you need to learn the basics. This book may be the ticket. If you need to learn advanced features of MATLAB, I am sure this is not the ticket for you. Again, this book is for the basics only as far as I can see.
If you look at the reviews on Amazon, they are not exactly glowing. Nonetheless, the book was cheap and thus far seems to meet my basic goals in learning Matlab. That may change as I advance farther into it.

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Ultimate Matlab Quant development platform with toolboxes including Derivatives, Fixed income, Datafeed, Financial

Ultimate Matlab Quant development platform with toolboxes including Derivatives, Fixed income, Datafeed, Financial
You should see all the goodies I got with my latest Matlab 2010 A release. It has some great content and toolkits including what are listed below. I am especially excited about the Derivatives, Fixed income, Datafeed, Financial, and other related tool boxes. I will report once I start digging. You can see how Matlab could be your one stop shop for all quant related content instead of relying on some open source project you may struggle with just to set up!!
MATLAB 7.10 – all platforms
Simulink 7.5 – all platforms
Aerospace Blockset 3.5 – all platforms
Aerospace Toolbox 2.5 – all platforms
Bioinformatics Toolbox 3.5 – all platforms
Communications Blockset 4.4 – all platforms
Communications Toolbox 4.5 – all platforms
Control System Toolbox 8.5 – all platforms
Curve Fitting Toolbox 2.2 – all platforms
DO Qualification Kit 1.2 – glnx86 glnxa64 win32 win64
Data Acquisition Toolbox 2.16 – win32
Database Toolbox 3.7 – all platforms
Datafeed Toolbox 3.5 – all platforms
EDA Simulator Link 3.1 – glnx86 glnxa64 win32
Econometrics Toolbox 1.3 – all platforms
Embedded IDE Link 4.1 – win32 glnx86
Filter Design HDL Coder 2.6 – all platforms
Filter Design Toolbox 4.7 – all platforms
Financial Derivatives Toolbox 5.5.1 – all platforms
Financial Toolbox 3.7.1 – all platforms
Fixed-Income Toolbox 1.9 – all platforms
Fixed-Point Toolbox 3.1 – all platforms
Fuzzy Logic Toolbox 2.2.11 – all platforms
Gauges Blockset 2.0.5 – win32
Global Optimization Toolbox 3.0 – all platforms
IEC Certification Kit 1.2 – all platforms
Image Acquisition Toolbox 3.5 – win32 win64
Image Processing Toolbox 7.0 – all platforms
Instrument Control Toolbox 2.10 – all platforms
MATLAB Builder EX 1.2.15 – win32
MATLAB Builder JA 2.1 – all platforms
MATLAB Builder NE 3.1 – win32 win64
MATLAB Compiler 4.13 – all platforms
MATLAB Distributed Computing Server 4.3 – all platforms
MATLAB Report Generator 3.8 – all platforms
Mapping Toolbox 3.1 – all platforms
Model Predictive Control Toolbox 3.2 – all platforms
Model-Based Calibration Toolbox 4.0 – win32
Neural Network Toolbox 6.0.4 – all platforms
OPC Toolbox 2.1.5 – win32
Optimization Toolbox 5.0 – all platforms
Parallel Computing Toolbox 4.3 – all platforms
Partial Differential Equation Toolbox 1.0.16 – all platforms
RF Blockset 2.5.1 – all platforms
RF Toolbox 2.7 – all platforms
Real-Time Windows Target 3.5 – win32
Real-Time Workshop 7.5 – all platforms
Real-Time Workshop Embedded Coder 5.5 – all platforms
Robust Control Toolbox 3.4.1 – all platforms
Signal Processing Blockset 7.0 – all platforms
Signal Processing Toolbox 6.13 – all platforms
SimBiology 3.2 – all platforms
SimDriveline 1.5.4 – all platforms
SimElectronics 1.4 – all platforms
SimEvents 3.1 – all platforms
SimHydraulics 1.7 – all platforms
SimMechanics 3.2 – all platforms
SimPowerSystems 5.2.1 – all platforms
Simscape 3.3 – all platforms
Simulink 3D Animation 5.1.1 – all platforms
Simulink Control Design 3.1 – all platforms
Simulink Design Optimization 1.1.1 – all platforms
Simulink Design Verifier 1.6 – glnx86 glnxa64 maci win32
Simulink Fixed Point 6.3 – all platforms
Simulink HDL Coder 1.7 – glnx86 glnxa64 win32
Simulink PLC Coder 1.0 – win32
Simulink Report Generator 3.8 – all platforms
Simulink Verification and Validation 2.7 – all platforms
Spline Toolbox 3.3.8 – all platforms
Spreadsheet Link EX 3.1.1 – win32 win64
Stateflow 7.5 – all platforms
Stateflow Coder 7.5 – all platforms
Statistics Toolbox 7.3 – all platforms
Symbolic Math Toolbox 5.4 – all platforms
System Identification Toolbox 7.4 – all platforms
SystemTest 2.5 – all platforms
Target Support Package 4.1 – win32 glnx86
Vehicle Network Toolbox 1.2 – win32
Video and Image Processing Blockset 3.0 – all platforms
Wavelet Toolbox 4.5 – all platforms
xPC Target 4.3 – win32
xPC Target Embedded Option 4.3 – win32

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Matlab is it for pure quant development. Be Matlab centric instead of C++ or Java

Matlab is it for pure quant development. Be Matlab centric instead of C++ or Java centric!
So I wasted probably numerous months figuring out which open source technology to run with. Sadly, nothing really worked all that well. Marketcetera is the most promising with complete end to end trading system. Unfortunately, I am not going to spend thousands a month in subscription fee just to get updates or tech support. It is a good product regardless what you may think.
ActiveQuant is promising but lacks out of the box documentation. It is scattered everywhere with little help in getting you up and running to learn about general quant modelling etc. Humbug I say.
Next up is QuantLib. This is very promising with a fantastic code base of various quant algorithms using in any standard Paul Wilmott or John Hull text book. Even the front ended Excel QuantLibXL is older with no future development, but it is a grand way to really learn how the pro quants do it.
Now this brings me to what industry uses. It is easily Matlab. Although it is commercial or proprietary, I say who cares. It is widely used by various investment banks and hedge fund companies. It also has fantastic community support with various toolkits. It is these third party additions that make a difference.
If you really want to learn quant, I would only recommend Matlab for now. It does all the central things that are critical for quant development including market feed and database connections. Obviously, Matlab is built for modelling with your advanced knowledge in math. It seems not very difficult to learn as well as it has all the hallmarks of any advanced programming language like Java or C++. It could be as fast as C++ too. From what I see thus far, R and Python may be slower compared to Matlab but I could be wrong. Also, both languages may be in the next generation but right now, Matlab is it to learn pure quant and practice with it.
I am planning to get up and running with Matlab. I am sure you can easily know where to get a copy if you need one. Try a student version for only $100? I dunno, but start with Matlab instead of wasting time in trying to build an open source project or even setting one up. Hopefully the community of Matlab is there to help me.

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Definitely Matlab is the standard for building Quant models and strategies.

Definitely Matlab is the standard for building Quant models and strategies.
Ok. So we gave some open source projects a chance to prove themselves with this site. Is has been proven to me that commercial proprietary products like Matlab is the definite way to move forward in learning about Quant based modelling and strategies. After some quick research, I started to realize that this tool is the industry standard. No questions about it. I mean when you look at open source project like ActiveQuant or Marketcetera, they have a huge wall to climb to get any traction compared to like an industry standard of Matlab.
So what is next? After some quick research, I started to realize there are some great tools, add ons, and services brought from many high profile companies that would integrate with Matlab. It appears companies like Thompson Reuter has an add on API for their market feed service. I am sure this is very expensive with a monthly subscription but it is also quite apparent that the big investment banks and hedge funds would use this type of service. You can just see it in the job quant based job descriptions on all high profile quant job boards. So why waste your time with open source projects if it won’t lead you anywhere within the industry?
http://thomsonreuters.com/products_services/financial/financial_products/products_az/matlab
http://www.fileheap.com/dbquery/1/matlab+code+of+market+analyzer
http://thomsonreuters.com/products_services/financial/financial_products/products_az/matlab
http://www.fileheap.com/software-generator-fd-download-45205.html

Is this one free?
http://www.advancedmcode.org/stock-market-forecasting-based-on-neural-networks-and-wavelet-decomposition.html

Also:
http://blog.taragana.com/pr/diary-date-matlab-for-computational-finance-13387/
And
http://www.hpcwire.com/offthewire/RTS-Integrates-The-MathWorks-MATLAB-into-RTD-Tango-40787882.html
As you can judge from some of these links, some have free add ins or plugins (don’t know the Matlab lingo yet) but there is also a connection to Tango. I see this one in job descriptions a lot.
One trend I am noticing is that there is few Java integrations options as compared to C or C++. As a result, this is another option why should pursue Matlab.
As for getting a copy of Matlab, there are many places you can go so I don’t need to mention that. There is also the recent Matlab 2010a with Simulink as well. I will be check all these out but for now, I am hoping to start with Matlab 7.7 2008. Let’s see where I go with Matlab huh?

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Why I know longer support ActiveQuant as a Java based Quant open source project? Unexplained errors

Why I no longer support ActiveQuant as a Java based Quant open source project? Unexplained errors

Below is the reason why I no longer use ActiveQuant P2 or ActiveQuant. With these constant errors using Maven, there is very little explanation on how to fix this. I have used both their scan online documentation from their sites as well their as videos. If someone can explain this, that would be great.
This was the result of first running mvn clean, mvn eclipse:eclipse, mvn package and then running their run.sh shell script:

[INFO] Scanning for projects…
[INFO] Searching repository for plugin with prefix: ‘exec’.
[INFO] ————————————————————————
[INFO] Building P2
[INFO] task-segment: [exec:java]
[INFO] ————————————————————————
[INFO] Preparing exec:java
[INFO] No goals needed for project – skipping
Downloading: http://activequant.org/m2/external/flanagan/flanagan/1.1.0/flanagan-1.1.0.pom
[INFO] Unable to find resource ‘flanagan:flanagan:pom:1.1.0’ in repository activequant-external-repository (http://activequant.org/m2/external)
Downloading: http://activequant.org/m2/repo/flanagan/flanagan/1.1.0/flanagan-1.1.0.pom
[INFO] Unable to find resource ‘flanagan:flanagan:pom:1.1.0’ in repository activequant-repository (http://activequant.org/m2/repo)
Downloading: http://download.java.net/maven/2//flanagan/flanagan/1.1.0/flanagan-1.1.0.pom
[INFO] Unable to find resource ‘flanagan:flanagan:pom:1.1.0’ in repository maven2-repository.dev.java.net (http://download.java.net/maven/2/)
Downloading: http://repo1.maven.org/maven2/flanagan/flanagan/1.1.0/flanagan-1.1.0.pom
[INFO] Unable to find resource ‘flanagan:flanagan:pom:1.1.0’ in repository central (http://repo1.maven.org/maven2)
Downloading: http://activequant.org/m2/external/org/ta-lib/ta-lib/0.3.0/ta-lib-0.3.0.pom
[INFO] Unable to find resource ‘org.ta-lib:ta-lib:pom:0.3.0’ in repository activequant-external-repository (http://activequant.org/m2/external)
Downloading: http://activequant.org/m2/repo/org/ta-lib/ta-lib/0.3.0/ta-lib-0.3.0.pom
[INFO] Unable to find resource ‘org.ta-lib:ta-lib:pom:0.3.0’ in repository activequant-repository (http://activequant.org/m2/repo)
Downloading: http://download.java.net/maven/2//org/ta-lib/ta-lib/0.3.0/ta-lib-0.3.0.pom
[INFO] Unable to find resource ‘org.ta-lib:ta-lib:pom:0.3.0’ in repository maven2-repository.dev.java.net (http://download.java.net/maven/2/)
Downloading: http://repo1.maven.org/maven2/org/ta-lib/ta-lib/0.3.0/ta-lib-0.3.0.pom
[INFO] Unable to find resource ‘org.ta-lib:ta-lib:pom:0.3.0’ in repository central (http://repo1.maven.org/maven2)
[WARNING] While downloading jexcelapi:jxl:2.6
This artifact has been relocated to net.sourceforge.jexcelapi:jxl:2.6.

Downloading: http://activequant.org/m2/external/com/ib/client/9.20/client-9.20.pom
[INFO] Unable to find resource ‘com.ib:client:pom:9.20’ in repository activequant-external-repository (http://activequant.org/m2/external)
Downloading: http://activequant.org/m2/repo/com/ib/client/9.20/client-9.20.pom
[INFO] Unable to find resource ‘com.ib:client:pom:9.20’ in repository activequant-repository (http://activequant.org/m2/repo)
Downloading: http://download.java.net/maven/2//com/ib/client/9.20/client-9.20.pom
[INFO] Unable to find resource ‘com.ib:client:pom:9.20’ in repository maven2-repository.dev.java.net (http://download.java.net/maven/2/)
Downloading: http://repo1.maven.org/maven2/com/ib/client/9.20/client-9.20.pom
[INFO] Unable to find resource ‘com.ib:client:pom:9.20’ in repository central (http://repo1.maven.org/maven2)
[INFO] [exec:java {execution: default-cli}]
[INFO] ————————————————————————
[ERROR] BUILD ERROR
[INFO] ————————————————————————
[INFO] An exception occured while executing the Java class. org.activequant.applications.BatchRunner

[INFO] ————————————————————————
[INFO] For more information, run Maven with the -e switch
[INFO] ————————————————————————
[INFO] Total time: 7 seconds
[INFO] Finished at: Wed Jun 30 08:32:09 PDT 2010
[INFO] Final Memory: 21M/51M
[INFO] ————————————————————————

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Should I dump ActiveQuant? Should I goto Matlab/Octave or R for my backtests

Should I dump ActiveQuant? Should I goto Matlab/Octave or R for my backtests?
After researching and playing with Active Quant, it has become apparent that I have become frustrated with this open source project. There is scant documentation and even if there anything, it spread across two websites. You also need to dig for info either on their sites of ActiveQuant.org, ActiveStocks.eu, or their Nabble list and forum. After a week, I have come to the conclusion the features are there and looks really good in terms of coding. Again, the support is not there from the contributors or any other users within their community. Active Quant still has VERY long road to travel if they are going to gain any traction in the quant world from a professional standpoint.
After digging, I did come across some online videos posted by Active Quant’s main contributor Ulrich but i still cannot get things working as demoed on their video. It can be seen at:
http://activequant.org/blogs/show/8
As you can imagine, this is not heavily promoted. There are three videos but the main one shows how to download the Active Quant P2 environment and build with Maven. I tried to replicate it but still got all kinds of errors. As a result, Active Quant’s efforts become a huge waste of my time. Not only that, but it makes me either feel useless at what I can do within Java or there is a major disconnect.
Now this brings me to the conclusion of where Active Quant measures in the world of Quant. After do searches for it on the top Quant based forums of Wilmott and QuantNet.com, there are only 2 search results. Wilmott got an extra search result due to Active Quant’s main contributor Ulrich did his own plug. What does that tell me, many people are not talking about this project at all?
There are a few mentions of Marketcetera on these forums but you will find open QuantLib is talked about a lot on both forums. This pretty well tells me the QuantLib is becoming one of the open source standards for Quants. It also appears to be respected by top Quant recruiters like Dominic Connor.
In a nutshell, if the maintainers of ActiveQuant want serious traction in the world of quant, they will need to majorly upgrade both their site and code to get people up and running quickly. Marketcetera is successful with their YouTube channel. QuantLib is successful with a pretty decent and especially their newsletter list. Maybe ActiveQuant should keep their site up to date with their sites? Maybe add better videos and a complete step by step guide to get me started? I don’t have further time to waste on this project. As said, ActiveQuant has not reached any level of respect or appreciation on the top forums. As a result, I may check it out again in a few months. Hopefully, they will add the resources by then so I give it another attempt.

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