Tag Archives: Octave

Quant analytics: Matlab is my now my focus! Lower priority for Mathematica, Octave, Scilab, even R and Python

Quant analytics: Matlab is my now my focus! Lower priority for Mathematica, Octave, Scilab, even R and Python

First off, let me say these other technologies including for Mathematica, Octave, Scilab, even R and Python are no worst. I just believe Matlab is very, very powerful for my needs. It also delivers as a standard in what large institutions use in terms of researching and prototyping. Also, Matlab’s vendor MathWorks has proven to deliver excellent documentation, software central, online videos and education, and so much more. It is expensive especially when you consider the required toolkits as well. It seems to be well worth spending. If you are about to launch a business, I see this investment no different when a store or restaurant invests thousands before they launch. It is just the cost of doing business especially my kind of business.

It seems these other tools, languages, and platforms may be fine, but I find Matlab always is mentioned in any of the above along with Matlab. As said, it is proven to be the standard. As for the open source versions of both Octave and Scilab, I have not seen the extensibility you get out of Matlab. I mean Matlab is fantastic there as well.

Also, it seems many argue that Matlab is slow. Have you ever heard of parallel computing? I mean that toolkit should deliver those needs. I also have seen metrics for both Python and R are painfully slow. Also, some say you can add Python with another framework to speed things up. Well, I get that out of the box with Matlab. Also, it seems there a fantastic supportive community out there but judging from other open source communities, I just don’t think neither will bring what Mathworks brings to the table.

I also I have not even mentioned Simulink, Matlab’s data connectivity features, compiling capabilities, or even the built in reporting documentation capabilities. Seriously, why would I use anything else?

As for Mathematica, I am sure it is fine but Matlab seems to deliver everything I need. Thanks to Matlab, I am very happy to part of what they deliver. Matlab seems to be greatest invention for us Quant wannabes.

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Matlab toolkits appear not be compatible with Scilab or Octave

sadly, there no is no compatibility with Matlab toolkits within free Octave. You also appear to need the mex file to convert into Scilab.

http://blog.steelandsilicon.com/2010/07/17/a-few-matlaboctave-notes/

http://wiki.scilab.org/mattosci/toolbox

I will stick with my Matlab thanks to to the amazing toolkits.

http://www.mathworks.com/matlabcentral/newsreader/view_thread/70316

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Be aware of incompatibilities of Scilab and Octave versus the real McCoy MATLAB

Be aware of incompatibilities of Scilab and Octave versus the real McCoy MATLAB

> True Scilab is buggy, but things are improving fast, thanks to its growin=
g diffusion in the academic world.
>
> Also, Matlab is not seamless and does have its problems on Unix/Mac OS X =
platforms (don’t know much about Windows, but I’d expect it to be more reli=
able there… for obvious commercial reasons).
>
> Dr Cleve Moler is a nice guy, but he always tells us to talk to the “busi=
ness people” whenever someone tries and talk him into making Matlab free fo=
r academic usage. (This was reported to me by someone whose algorithms hav=
e been implemented in Matlab and yet has to pay for his own version of it! =
Sorry can’t name the guy here without his approval.)
>
> Matlab is an excellent good tool for companies interested in a stable pro=
duct, but I believe that academics will benefit more from Scilab.
>
> As long as there are good (and ever improving) free alternatives to Matla=
b, like Scilab or Octave, I don’t feel I could make my students pay money f=
or something which is out there free. If they are Scilab/Octave trained th=
ey won’t have problems switching to Matlab once they go out in the “real-wo=
rld”.
>
> My conclusion is that Matlab/Scilab/Octave are complements rather than co=
mpetitors. Competition is a business term, and Scilab/Octave are not into m=
aking money, so Matlab really has no competitor, if one is able and willing=
to pay for it.
>
> Paul Fackler wrote in message <3DFFBA20.F= 0CCF...@are1.cals.ncsu.edu>…
> > I experimented with Scilab about a year and a half ago. There are
> > certainly some nice aspects to Scilab (its price for one) but I
> > concluded that it is too buggy and that it does not have the knd of
> > support and development effort associated with it that MATLAB has. The
> > other thing is that it is not compatiable enough with MATLAB to make it
> > feasible to use third party products without extensive rewriting. In th=
e
> > end I dropped my use of Scilab.
> > Paul
>
> > Rahul Pant wrote:
>
> > > Hi,
> > > After seeing the SCILAB software i feel it is very much similar to
> > > MATLAB .Could anyone tell the distinguishing features between MATLAB
> > > and SCILAB.Has anyone validated SCILAB .
> > > -regards
> > > pant
>
> > —
> > Paul L. Fackler
> > Department of Agricultural and Resource Economics
> > North Carolina State University
> > Raleigh, NC 27695-8109
> > 919-515-4535
> > paul_fack…@ncsu.edu
> > www4.ncsu.edu/~pfackler

Thats true, Scilab, is a freeware software, and of course it will face
a lot of problem, whereas Matlab is not. As soon as you need Scilab
for solving equations or making programms, which are not need any e,g,
Matlab toolbox, then i think it is worthied deling with it.

after all it is free and it is really easy to skip to matlab later

johny

AlssO
cilab is very much a mini MATLAB clone but it lacks a wealth of
toolboxes that are shipped with MATLAB. Syntactically though they are
similar. Another MATLAB clone that you may be interested in is Octave
whose GNU/Linux and Unix versions are popular. They aim at MATLAB
compatibility
yours,
Badri
> Hi,
> After seeing the SCILAB software i feel it is very much similar to
> MATLAB .Could anyone tell the distinguishing features between MATLAB
> and SCILAB.Has anyone validated SCILAB .
> -regards
> pant

I experimented with Scilab about a year and a half ago. There are
certainly some nice aspects to Scilab (its price for one) but I
concluded that it is too buggy and that it does not have the knd of
support and development effort associated with it that MATLAB has. The
other thing is that it is not compatiable enough with MATLAB to make it
feasible to use third party products without extensive rewriting. In the
end I dropped my use of Scilab.
Paul

This was posted at http://www.mathworks.com/matlabcentral/newsreader/view_thread/43418

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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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Question: What is best for backtesting? R language or Matlab/Scilab/Octave?

Question: What is best for backtesting? R language or Matlab/Scilab/Octave?

As for backtesting, it seems Matlab and its open source equivelants of SciLab and Octave are definitely the standards. I also know the tools of Scilab and Octave are very compatible to Matlab. We also know that Matlab is the industry standard for researching and building backtests for Quant models and strategies. I shall start looking into this for sure. I also need to figure out how to capture market data and build strategies with it.
I was planning to use something like Active Quant which was Java based but it proved to be frustrating to get started with. So I have now decided to go with something else. This becomes Matlab or R. I would love to use Matlab but who can afford the thousands they charge to get started. Also, can capture Market feeds like Bloomberg or Reuters. Or better yet interface with Interactive Brokers. This is where ActiveQuant would have been good. I also need to research this farther on this. Comment below if you know.
The R language seems to building steam very quickly as a research tool. It is very open source but I need to also do further research on its capabilities. Both Matlab and R are becoming standard for researching, modelling, and strategies in the world of Quant. I am hoping to accomplish this too.

I have so much more to learn. I would love to go to some well known university for both an advanced degree like a Masters of Finance or PHD. I would need to bone up in both technologies if I am going scale my knowledge in this world of Quant.
If you have any advice on how to proceed, let me know. I will still gladly use QuantLib for my C++ and QuantLibXL or other Excel integrated libarary to proceed. I do think Java is also standard in the world of Quant but sadly, ActiveQuant is not one of them YET!

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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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Matlab alternatives: The reviews of Octave vs Scilab

Matlab alter naives: The reviews of Octave vs Scilab
Ok. I am not a student nor can if really afford a $1000 license for Matlab. As I am reading Ernest Chan’s killer book, “Quantative Trading: How to Build Your Algorithmic Trading Business|”, I started to realize the importance of some software tool like Matlab for back testing. I have always known about the Matlab alternatives like Scilab and Octave.

Here is what I have dug up so far.
1. Both are free. Yeah for that so they seem to be pretty good alternatives and are GNU based especially Octave.
2. This brings me to the debate which is better or better, when do you use one over the other?

From my Google online research, it seems Octave is more of a command line based tool. It seems to have no Graphic User Interface so it becomes command line only. It also seems that Octave is much closer to Matlab in terms of compatibility. Students are reporting that when they do their projects Octave, they are reported to be pretty compatible with Matlab. Even Matlab programs (.m) file are running in Octave and vice versa. This leads me to think this is the way to run something like Ernest Chan’s Matlab program files.
I get a little confused on if Scilab could be more compatible with Matlab. This one has an integrated developer environment meaning it is possible more complex than Octave. It also has been reported that there is more of a learning curve with Scilab versus Octave.

As you know, the only way to determine which is better is by giving them a run trough. Although, both Scilab and Octave seem more than productive, I shall give my own personal view point to see which one runs better. So be on the lookout for a future review of both and if there is any compatibility issues with Ernest Chan’s Matlab program files.

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