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= Quantitative Finance = | = QuantFin and Sage = There are many reasons 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 * 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 = Other Thoughts = {{{ "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 }}} |
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* Bank of International Settlements (BIS) http://www.bis.org/ | |
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http://wiki.quantlib.org/ | * http://wiki.quantlib.org/ [[AttachInfo]] [[AttachList]] * A relevant R package: http://cran.r-project.org/web/packages/fSeries/index.html |
QuantFin and Sage
There are many reasons 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
- 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
Other Thoughts
"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
Economics Sites
shadow government statistics: http://www.shadowstats.com/
Milken Institute Review: http://www.milkeninstitute.org/index.taf
High Frequency Economics: http://www.hifreqecon.com/
Ned Davis Research: http://www.ndr.com
a list of lists: http://www.currencytrading.net/2007/the-top-100-economics-blogs
Dismal Scientist: http://www.economy.com/dismal/
- Friday, May 16, 6:20 PM
Journal of Economic Dynamics and Control http://www.elsevier.com/wps/find/journaldescription.cws_home/505547/description?navopenmenu=-2
http://www.moneyscience.com/ mostly analytics
Bank of International Settlements (BIS) http://www.bis.org/
Market Data
- tradethenews.com
investor RT: http://www.linnsoft.com./pricing/index.htm
prophet: http://www.prophet.net/default.jsp
opentick http://www.opentick.com/
market data express - expensive full featured blah blah http://www.marketdataexpre ss.com/servicePriceList.aspx
nasdaq is selling data direct: https://data.nasdaq.com
radez: http://www.essexradez.com/ - says they support KMD which is open-source tic ker software??? hmmm
CQG: http://www.cqg.com/ - alternative to Bloomberg / Thomson?
http://www.quantnotes.com/ - quantstudio.
Commodities Systems Inc - http://www.csidata.com
Rimes - http://www.rimes.com/ - basically a data aggregator. got to them from BuysideTechnology
pyq - python yahoo quote fetching utility http://rimonbarr.com/repository/pyq/
LIM - http://www.lim.com/products/api.php big thing is "market information machine" = MIM
got here from: http://dirk.eddelbuettel.com/papers/r_lim_bloomberg.pdf
markethistory.com - http://www.markethistory.com/about/ supported by MIM
- Olsen
tickdata - http://www.tickdata.com/ has a complete futures and index database for $10k
MarketDataInsight http://www.a-teamgroup.com/site/market-data-insight/mdi-trading-room-platforms/
Analytics libraries
A relevant R package: http://cran.r-project.org/web/packages/fSeries/index.html
List of pages in this category: