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= Quantitative Finance = = Sage Finance and Quantitative Analytics =
Quantative Finance is a great area for Sage:

 * Sage includes much of the underlying infrastructure needed to do Quantative Financial Analysis
 * Quantative Finance stresses areas not heavily used currently by the Sage Community
  * Signal Processing
  * Statistics
  * Parallel Computing
 * Finance is important

Sage provides a vehicle for the somewhat opaque world of Finance to be presented in a natural way to mathematicians, scientists and engineers. The efforts we're undertaking in this area include:
 * Educational Materials wherein notebooks usable by educators and those wishing to self educate can learn finance and economics using an approach devoid of unnecessary ambiguity typically associated with the area
 * Infrastructure to provide live and historical market data for economic, financial, and market analysis
 * Implementation of the latest published techniques using numeric and symbolic analysis which should minimize the effort necessary to make contributions
 * Dispelling commonly held myths and untruths by exposing the mathematical underpinnings of finance enabling a wider community to make useful contributions and be in a better position to manage personal finances

= Suggested Reading =
 * Fractal Volatility
  * Bacry Papers - http://www.cmap.polytechnique.fr/~bacry/ftpPapers.html
  * Calvet-Fisher 2004 - attachment:calvet-fisher-2004.pdf
  * Simulation of fractional Brownian Motion - http://www.proba.ucc.ie/~td3/fbm
 * Is the United States Bankrupt? - http://research.stlouisfed.org/publications/review/06/07/Kotlikoff.pdf

= Economic Fundamentals =
{{{
"This is going to be one of the worst economic downturns since the Great Depression."
--Nobel Laureate Joseph Stiglitz, April 25, 2008"

"We're clearly on an imprudent and unsustainable fiscal path. Our current liabilities and unfunded commitments as of the end of the last fiscal year amounted to over $43 trillion, up to $13 trillion in one year alone."
--David Walker, U.S. Comptroller General (April 11, 2005)

"...the U.S. government is, indeed, bankrupt, insofar as it will be unable to pay its creditors, who, in this context, are current and future generations to whom it has explicitly or implicitly promised future net payments of various kinds..."
--Professor L. Kotlikoff, for the U. S. Federal Reserve Bank of St. Louis. (July, 2006)

"If stupidity got us into this mess, then why can't it get us out?" -- Will Rogers

"Ignorance Is Expensive" -- Erik Epp

}}}

[[AttachInfo]]
[[AttachList]]

----
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 * Bank of International Settlements (BIS) http://www.bis.org/
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= Analytics Code =

== Open Source ==

 * Quantlib - http://wiki.quantlib.org/
 * R financial time series - http://cran.r-project.org/web/packages/fSeries/index.html

== Proprietary Commercial ==

 * FinCad - http://www.fincad.com/

= Other Links =
 * Notes on Stochastic Calculus - http://www.chiark.greenend.org.uk/~alanb/stoc-calc.pdf
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= Analytics libraries =


http://wiki.quantlib.org/
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[[FullSearch(Finance)]] [[FullSearch(CategoryFinance)]]
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CategoryQuant CategoryFinance

TableOfContents

Sage Finance and Quantitative Analytics

Quantative Finance is a great area for Sage:

  • Sage includes much of the underlying infrastructure needed to do Quantative Financial Analysis
  • Quantative Finance stresses areas not heavily used currently by the Sage Community
    • Signal Processing
    • Statistics
    • Parallel Computing
  • Finance is important

Sage provides a vehicle for the somewhat opaque world of Finance to be presented in a natural way to mathematicians, scientists and engineers. The efforts we're undertaking in this area include:

  • Educational Materials wherein notebooks usable by educators and those wishing to self educate can learn finance and economics using an approach devoid of unnecessary ambiguity typically associated with the area
  • Infrastructure to provide live and historical market data for economic, financial, and market analysis
  • Implementation of the latest published techniques using numeric and symbolic analysis which should minimize the effort necessary to make contributions
  • Dispelling commonly held myths and untruths by exposing the mathematical underpinnings of finance enabling a wider community to make useful contributions and be in a better position to manage personal finances

Suggested Reading

Economic Fundamentals

"This is going to be one of the worst economic downturns since the Great Depression."
--Nobel Laureate Joseph Stiglitz, April 25, 2008" 

"We're clearly on an imprudent and unsustainable fiscal path. Our current liabilities and unfunded commitments as of the end of the last fiscal year amounted to over $43 trillion, up to $13 trillion in one year alone."
--David Walker, U.S. Comptroller General (April 11, 2005)

"...the U.S. government is, indeed, bankrupt, insofar as it will be unable to pay its creditors, who, in this context, are current and future generations to whom it has explicitly or implicitly promised future net payments of various kinds..." 
--Professor L. Kotlikoff, for the U. S. Federal Reserve Bank of St. Louis. (July, 2006)

"If stupidity got us into this mess, then why can't it get us out?" -- Will Rogers

"Ignorance Is Expensive" -- Erik Epp

AttachInfo AttachList


Economics Sites

Market Data

Analytics Code

Open Source

Proprietary Commercial

Other Links

List of pages in this category:

FullSearch(CategoryFinance)


CategoryFinance

SageFinance/EarlyThoughts (last edited 2009-03-03 18:45:23 by GlennTarbox)