Find the Hidden Signal in Market Data Noise

Transcription

1 Find the Hidden Signal in Market Data Noise Revolution Analytics Webinar, 13 March 2013 Andrie de Vries Business Services Director

2 Agenda Find the Hidden Signal in Market Data Noise Louis Lovas Onetick Revolution Analytics, the R project and Financial applications Andrie de Vries Revolution Analytics

3 THE R PROJECT AND FINANCIAL APPLICATIONS

4 Open source R - Started by Robert Gentleman & Ross Ihaka, Version 1.0 in Million Global Users Packages - R in Universities = New Talent - Open Source = Access To Innovation - Programming Agility - Huge range of predictive analytics Image source:

5 Poll Question What are you connecting to in order to access your data? (please check all that apply) A) RDBMS B) Spreadsheet C) Time Series / Tick DB D) non-relational / no-sql database

6 Revolution Analytics is a visionary Gartner magic quadrant Advanced Analytics, 2014 Challengers Leaders Other players Visionaries Source:

7 Enhancing R for Enterprise deployment Big Data In-memory bound Hybrid memory & disk scalability Operates on bigger volumes & factors Speed of Analysis Enterprise Readiness Single threaded Parallel threading Shrinks analysis time Community support Commercial support Delivers full service production support Analytic Breadth & Depth innovative analytic packages Leverage open source packages plus Big Data ready packages Supercharges R Commercial Viability Risk of deployment of open source Commercial license Eliminate risk with open source

8 Poll Question What is your usual hardware set up? A) Workstation B) Server C) Grid / Cluster D) GPU (graphical processing unit) E) Hadoop

9 R + CRAN RevoR Revolution R Enterprise Revolution R Enterprise DevelopR Deploy R Development & Deployment Tooling Language Interpreter and Standard R Algorithm Suites ScaleR DistributedR Big Data Distributed Execution Platform ConnectR Big Data Big Analytics Ready Enterprise readiness High performance analytics Multi-platform architecture Data source integration Development tools, Deployment tools

10 ScaleR: high performance analytics Import Pre-process Analyse Model Score Deploy Text formats SAS SPSS Teradata Netezza Greenplum Hadoop ODBC DataStep Clean Transform Refactor Sort De-duplicate Split Merge / Join Cube Summarise Significance test Histogram Parallelise (rxexec) Regression Logistic Regression GLM s Clustering Decision trees / Forests Classification trees Predict Residual analysis ROC (cum gain curve) Simulation Online Web API BI tools Export to database Score indatabase Distil / combine structured and unstructured Build models that where legacy apps can t Iterate and innovate at speed Operate on bigger data work inside Hadoop with no M/R programming More effective models = Better business decisions

11 R and empirical finance The CRAN Taskview (Empirical Finance) a rich source of recommendations for tools and packages in the field of finance Topics include: Regression models Time series Finance Risk management Data and date management Other relevant task views: Econometrics Optimization Time Series Social sciences Robust statistical methods Image source:

12 Poll Question What is your preferred statistical programming platform? A) MATLAB B) STATA C) SAS D) R / RRE E) NAG (Numerical Algorithm Group) F) C++, JAVA, PYTHON

13 FIND THE HIDDEN SIGNAL IN MARKET DATA NOISE

14 Louis Lovas Director of Solutions at OneMarketData Find the Hidden signal in market data noise

15 ONE TICK Accelerating Quant Research and Trading About OneMarketData, LLC Founded in 2005, Profitable in 2008 Self-Funded & Self-Directed. No venture capital / Cash-flow positive Our Pedigree President and Founder, Leonid Frants Technology Built by Wall Street experts Bloomberg Leader in Financial Data Management Technology OneTick Comprehensive solution financial big data management 90+ Clients Worldwide Hedge Funds/Prop Traders, Banks & Brokers, Market Makers, Marketplaces & Exchanges Broad range of financial use cases Trading model back-testing & Quant Research, Pricing Models, Pre/Post Trade TCA, OneMarketData LLC

16 ONE TICK Accelerating Quant Research and Trading About ONETICK Tick Server Analytics X Clients Real-Time Feeds Consolidated (Reuters, Bloomberg, etc). Exchange feeds. Historical Data ASCII/Binary/SQL sources 3 rd party(nyse TAQ, CME, ) CEP & Database Engine Historical Historical Reference Data Data Data In-memory Database filter enrich aggregate transform correlate 100+ Built-In High Performance/High Precision Analytical Operators + Direct support for Corporate Actions, Corrections, Cancels, Symbol Maps, Price & Volume Analytics, Historical Volatility, Pricing modeling, Spread Trading signaling, Portfolio Analytics, Analytics R language Visual Dashboards Panopticon Business Intelligence Spotfire / Tableau Reporting ODBC/SQL Programming APIs C++ C# Java Trading Systems, Web Portals, Messaging Biz Intelligence, Programming OneMarketData LLC

17 ONE TICK Accelerating Quant Research and Trading Effective Market Analytics and Quantitative Research Delivering on timely business insights from market analysis True price discovery, volume and trading patterns Revealing unique observations and patterns Deriving precise analytics Market Data Quality is Key to outcomes... result in improved trade & pricing models 3 Markets Historical Historical Reference Data Data Data 2014 OneMarketData LLC Analytics Predictive Models Market Analysis from Streaming data Equity Underliers analytical models Option pricing and risk models ONETICK Time Series Database and CEP Market Data + Analytics ( Equities, Options ) Pricing/Trading models x

18 ONE TICK Accelerating Quant Research and Trading Industry Advantages Where Your Success Counts ONETICK Product Demonstration Introduction to OneTick Analytical Query Design Integration with R analytics Using OneTick and R for Options OneMarketData LLC

19 QUESTION SESSION