Tag Archives: Octave

Best open source course FREE Monte Carlo Methods in Finance? With code in Octave or Matlab

Best open source course FREE Monte Carlo Methods in Finance? With code in Octave or Matlab

Thanks to my NYC source for this. Quality stuff as usual for those new to this:

https://iversity.org/courses/monte-carlo-methods-in-finance

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Cannot afford expensive Matlab or Simulink? Open source solutions like Octave, Scilab, Scicos Python, or R

Cannot afford expensive Matlab or Simulink? Open source solutions like Octave, Scilab, Scicos Python, or R

 

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Here are some Matlab clones but don’t ask me on Matlab compatibility because I don’t know

 

http://ubuntuforums.org/showthread.php?t=1104917

http://www.scicos.org/downloads.html

R and Python would be better options if you don’t need a Matlab clone.

As for R, meh. It can do the job but I played with it for 6 months. Python looks better now and is even as fast as Matlab with even giving C/C++ a run for its money. I have not played with Python but I will be watching it in coming months for general scripting.

 

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Recommendations for Matlab vs open source Octave Scilab and the student edition

Recommendations for Matlab vs open source Octave Scilab and the student edition

From a commenter

i,
1. Do you recommend $99 student version or is it too crippled for any useful work?

–> Yes you are crippled as your datasets cannot be bigger than a few hundred
2. Do you recommend Octave / Scilab as a replacement?

–> For basic non toolbox Matlab stuff, it is possible but I am using lots Matlab toolboxes which Octave and Scilab are not compatible with
3. Do you know by any chance, if free trial of Matlab and all the toolboxes will do the job, though for a week or so?
–> I understand they give away 3 month trials
Thanks in advance

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For HFT: Just like Matlab or Coder toolbox,, embedding Octave M script code C++ is ugly, stick with R, RCpp, RInside

For HFT: Just like Matlab or Coder toolbox,, embedding Octave M script code  C++ is ugly, stick with R, RCpp, RInside

I tried investigating this as a hopeful extra bonus. This can be done but be aware that it is ugly as if you did it with Matlab. With the extra expense of Matlab core, the .NET or JABuilder toolboxes, it would be a real pain and expensive to do. The added costs of $6k for the Matlab Coder might not be worth it!! As GCC or G++ with R is all free! Yipeee! But too bad about Octave as it just does not have athe advancement of a community like R. It would have been nice to spend time on this but not worth it at this point.

http://octave.sourceforge.net/doxygen/html/

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For HFT: Most advanced source examples with Python, C++, Java, Octave/Matlab, QuantLib, and R with this RCpp package

This site is easily the most advanced source examples I have seen for HFT with Python, C++, Java, and R with this RCpp package

http://dirk.eddelbuettel.com/code/rcpp.html

I need to say as a community of people thanking Dirk for maitaining this amazing set of code. It is quite amazing as this site also includes R integration into. I am still stunned at the HUGE of amount of examples here.

This does not include the Quantian Linux distribution or Linux packages Dirk uses. Pretty heavy stuff!

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The battle between open source tools for quant development: R, Matlab clone Octave, and Python

The battle between open source tools for quant development: R, Matlab clone Octave, and Python

This  is quite surprising as R appears to be difficult to learn compared to the others. I kind of don’t agree with that but I will admit the language syntax is wonky. It is claimed that R was created by non programmers. Nice. I see no reason for Octave as I got Matlab. Here is the link anyhow:

http://slashdot.org/topic/bi/r-octave-python-suits-your-analysis-needs/

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Octave can be nice FREE alernative tool to Matlab or R for quant algo model or strategy research Youtube video demo

Octave can be nice FREE alernative tool to Matlab or R for quant algo model or strategy research Youtube video demo

 

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A reason why Matlab is a smart choice over open source like Octave, R, Scilab, or Numpy/Scipy ?

A reason why Matlab is a smart choice over open source like Octave, R, Scilab, or Numpy/Scipy ?
One problem you may run into is getting the data you want if you need a specific type of data to be streamed in or data the be streamed in a specific way.

http://www.elitetrader.com/vb/showthread.php?threadid=163473

This is one reason why my argument open source is not the way to go if you learning about or quant or trading. It makes you counter-productive. If you are planning to get into an enterprise environment that pays, you need to use commercial products like Matlab. Use the real McCoy not a clone. From my Octave and R experience, I would never even consider those open source projects unless you can afford staffing to hack either to your needs for a production environment. Most real enterprise environment use commercial solutions like Microsoft or Matlab. There is no need to argue this as it a hard reality that open source people just don’t get. Upper management in paying environments need the professional support that only commercial products offer. Sorry, again that is the reality.

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Over 60 quant profitable models at my disposal for Matlab, Octave, and Excel VBA

Over 60 quant profitable models at my disposal for Matlab, Octave, and Excel VBA

Seriously. This is a lot of models but which ones perform? I will be figuring that out in the coming weeks.

It appears this is the most serious development I have been involved over the last number of years. I will be also automating a lot of these models as well. I hope you will be part of my future Premium Membership Advisory for these detailed reports on equities and bonds.

 

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Huh? BlackRock uses Octave not Matlab in this job description?

Huh? BlackRock uses Octave not Matlab in this job description?

 

BlackRock Solutions provides clients with access to the intellectual capital, risk analytics and investment platform used to support BlackRock’s asset management business. By combining sophisticated risk analytics and investment systems with capital markets and business process expertise, BlackRock Solutions helps clients address a variety of risk management and investment process challenges. BlackRock Solutions (BRS) provides services to both BlackRock’s internal asset management team and a wide variety of best-in-class external clients.

Responsibilities

• Model Development:
o Gather requirements and propose solutions to financial problems across various market segments including interest rates, credit, FX, equity derivatives etc.
o Implementation of solutions using C++, Perl, Octave and other software development tools as needed.
o Testing models to ensure quality.
o Deploying models into production ensuring that they are efficient and robust.
o Supporting production models and processes.
o Documentation and validation of models.
• Trouble-Shooting: Develop expertise in using our analytical tools. Aid in trouble-shooting to resolve issues under time constraints.
• Client Communication: Interface with both internal and external clients as needed.
• Maintenance: Help to maintain and support our existing models and processes.

Qualifications:

• Strong analytical skills: We seek candidates with a degree in Math, Computer Science, Physics, Engineering or Finance; advanced degree is preferred.
• Aptitude for programming: Enthusiasm for programming and the ability to produce production quality C++ code are essential. Familiarity with OOP concepts is crucial.
• Knowledge of Finance: We seek candidates with 1-5 years of experience. It is expected that the candidate possesses solid knowledge of both theoretical and practical aspects of finance although candidates with no financial background with strong problems solving, math and software skills may be considered.
• Good communication skills: A fluent command of the English language is required.
• Other qualifications: The BlackRock culture is one of excellence, teamwork, integrity, and delivering results to our clients. Success in Financial Modeling requires creativity, team focus, ability to multitask and meticulous attention to detail.

 

BlackRock is proud to be an E-Verify & Equal Opportunity/Affirmative Action Employer—M/F/D/V.

BlackRock is one of the world’s preeminent asset management firms and a premier provider of global investment management, risk management and advisory services to institutional, intermediary and individual investors around the world. BlackRock offers a range of solutions — from rigorous fundamental and quantitative active management approaches aimed at maximizing outperformance to highly efficient indexing strategies designed to gain broad exposure to the world’s capital markets. Our clients can access our investment solutions through a variety of product structures, including individual and institutional separate accounts, mutual funds and other pooled investment vehicles, and the industry-leading iShares® ETFs.

QUALIFIED CANDIDATES SHOULD APPLY AT:https://blackrock.taleo.net/careersection/br_prof_cs/jobdetail.ftl?job=30951

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