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- 1. Find the Hidden Signal in Market Data Noise Revolution Analytics webinar, 2014-03-18 Andrie de Vries Business Services Director (Europe) @RevoAndrie andrie@revolutionanalytics.com Revolution Analytics Webinar, 13 March 2013
- 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 Revolution Analytics webinar, 2014-03-18
- 4. - Started by Robert Gentleman & Ross Ihaka, 1993 - Version 1.0 in 2000 - 2.5 Million Global Users - 5000+ “Packages” - R in Universities = New Talent - Open Source = Access To Innovation - Programming Agility - Huge range of predictive analytics Open source R Revolution Analytics webinar, 2014-03-18 Image source: http://www.quantmod.com/gallery/
- 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 Revolution Analytics webinar, 2014-03-18
- 6. Revolution Analytics is a visionary Revolution Analytics webinar, 2014-03-18 Gartner magic quadrant Advanced Analytics, 2014 LeadersChallengers VisionariesOther players Source: http://inside-bigdata.com/2014/02/25/gartner-reveals-magic-quadrant-advance-analytics/
- 7. Big Data In-memory bound Hybrid memory & disk scalability Operates on bigger volumes & factors Speed of Analysis Single threaded Parallel threading Shrinks analysis time Enterprise Readiness Community support Commercial support Delivers full service production support Analytic Breadth & Depth 5000+ 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 Enhancing R for Enterprise deployment Revolution Analytics webinar, 2014-03-18
- 8. Poll Question What is your usual hardware set up? A) Workstation B) Server C) Grid / Cluster D) GPU (graphical processing unit) E) Hadoop Revolution Analytics webinar, 2014-03-18
- 9. Revolution R Enterprise Revolution Analytics webinar, 2014-03-18 Language Interpreter and Standard R Algorithm Suites Development & Deployment Tooling Big Data Distributed Execution Platform R+CRAN RevoR DistributedR ConnectR ScaleR DevelopR Deploy R Revolution R Enterprise 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 Revolution Analytics webinar, 2014-03-18 • 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 in- database Import Pre-process Analyse Model Score Deploy 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: http://timelyportfolio.github.io/rCharts_time_series/history.html
- 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 Revolution Analytics webinar, 2014-03-18
- 13. FIND THE HIDDEN SIGNAL IN MARKET DATA NOISE Revolution Analytics webinar, 2014-03-18
- 14. Find the Hidden signal in market data noise Director of Solutions at OneMarketData Louis Lovas
- 15. © 2014 OneMarketData LLC1 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 – 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, … Bloomberg
- 16. © 2014 OneMarketData LLC2 ONE TICK® Accelerating Quant Research and Trading About ONETICK X CEP & Database Engine Tick Server Clients Programming APIs C++ C# Java Business Intelligence Spotfire / Tableau Visual Dashboards Panopticon Analytics R language Reporting ODBC/SQL Analytics filter enrich aggregate transform correlate Historical Data In-memory Database Reference Data Historical Data Trading Systems, Web Portals, Messaging Biz Intelligence, Programming 100+ Built-In High Performance/High Precision Analytical Operators + Direct support for Corporate Actions , Corrections, Cancels, Symbol Maps,… Historical Data Real-Time Feeds Price & Volume Analytics, Historical Volatility, … Pricing modeling, Spread Trading signaling, Portfolio Analytics, … Consolidated (Reuters, Bloomberg, etc). Exchange feeds. ASCII/Binary/SQL sources 3rd party(NYSE TAQ, CME, …)
- 17. © 2014 OneMarketData LLC3 ONE TICK® Accelerating Quant Research and Trading 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 x Historical Data Reference Data Historical Data Market Data + Analytics ( Equities, Options ) Pricing/Trading models Markets… ONETICK Time Series Database and CEP Market Analysis from Streaming data Equity Underliers – analytical models Option pricing and risk models … Predictive Models Effective Market Analytics and Quantitative Research Analytics
- 18. © 2014 OneMarketData LLC4 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
- 19. QUESTION SESSION Revolution Analytics webinar, 2014-03-18

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