Friday, September 21, 2007

Recent Links for 09/21/2007

Newbie - converting csv files to arrays in NumPy
Great message thread on how to convert csv files to numpy arrays.
Cookbook/InputOutput - Numpy and Scipy
File processing examples using numpy, scipy, and matplotlib. How to read/write a numpy array from/to ascii/binary files.
Numpy Example List
Examples of Numpy functions such as fromfile(), hsplit(), recarray(), shuffle(), sort(), split(), sqrt(), std(), tofile(), unique(), var(), vsplit(), where(), zeros(), empty(), and many more.
Introducing Plists: An Erlang module for doing list operations in parallel
Could you spawn a trading system process for each stock of a given day's trading (a list)? What if you had 20,000 stocks for a given day? Can plists/erlang handle 20,000 processes without hitting memory constraints?

Wednesday, September 19, 2007

Recent Links for 09/19/2007

130/30 Strategy Backtested
Disagree with comparison of 130/30 to non-leveraged benchmark/strategy. Also, the additional longs didn't improve the long portion of the 130/30 returns compared to the long-only strategy returns. Am I missing something?

Monday, September 17, 2007

Recent Links for 09/17/2007

Sunday, September 16, 2007

Recent Links 09/17/2007

Goldblog - Investment Advice

    • Excellent investment advice.  Keep it simple...

      • There are 2 simple questions you must first answer:

        1. What is the time-frame in which you need access to your money? (next week? next year? 10 years? retirement?)

        2. How much risk and volatility are you comfortable with?

      • The Answer:
        Asset Allocation... not fundamental analysis, not technical analysis, not market
        trending, not tips from brokers and analysts ... but straight up asset

     - post by taylortree

Recent Links for 09/15/2007

Links for 2007-09-15 []

Posted: 16 Sep 2007 12:00 AM CDT

Thursday, September 06, 2007

Recent Links 09/06/2007

Quantmod - Quantitative Financial Modelling Framework for R

    • Offers R language modules to...
      • calculate periodic returns
      • retrieve historic quotes from Yahoo, Google, FRED
      • there's even a tradeModel that looks interesting
      • and well documented.

    - post by taylortree

Wednesday, September 05, 2007

Recent Links 09/05/2007

Speed up R, Python, and MATLAB - Going Parallel

Tuesday, September 04, 2007

Recent Links 09/04/2007

World Beta - Engineering Targeted Returns and Risk: More On The Endowment Style Of Investing  Annotated

    • World Beta shares some links covering the endowment investing side of things...
      • A link to
        Frontier Capital Management
        - check out their knowledge section for more great papers similar to the ones Faber links to.
      • Faber mentions a great upcoming book covering the twelve top endowment CIO's .
      • from Alpha Magazine...Highbridge Capital Managment shares its office organization - putting traders and developers together.  I've always thought this would be a great idea in any shop.  By putting users and developers together - manual taks can be seen and automation can happen.

     - post by taylortree tkdiff

  • Great little file compare utility.  Graphic front end to the diff program.
    note:  tested this today against a large file/program (well, not that large in my line of work...but I guess to Google's)...couldn't handle it.  But, works great on small files.
     - post by taylortree

Google Mondrian: web-based code review and storage

  • Online code review that works like a blog/wiki.  I it possible to create a code review system similar to Mondrian within a source management toolset such as subversion?  Seems like most of the backend is there already...would only need to add some front end tools to display the changes being committed and allow comments on those changes.
     - post by taylortree

Monday, September 03, 2007

Recent Links 09/03/2007 -- Numerical Python Basics

Programming in R

Finding Duplicate Elements in an Array :: Phil! Gregory  Annotated

Now, suppose that the array is of length n and only contains positive
integers less than n. We can be sure (by the pigeonhole principle)
that there is at least one duplicate.
    So, how do we find the beginning of the cycle? The easiest approach is to
    use Floyd's cycle-finding algorithm. It works roughly like this:
    Start at the beginning of the sequence. Keep track of two values (call
    them ai and aj). At
    each step of the algorithm, move ai one step
    along the sequence, but move aj two steps. Stop
    when ai = aj.