F# and Financial Data Making Data Analysis Simple


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If there was ever a "poster child" for complex and demanding data tasks it should be finance. Financial data is often ugly, complex and big! Simplify your data analysis by using F#. This talk focuses on the open-source data analysis package "Deedle", which provides tools for data and time-series analysis.

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F# and Financial Data Making Data Analysis Simple

  1. 1. F# and Financial Data Making Data Analysis Simple Tomas Petricek, @tomaspetricek Formerly at BlueMountain Capital
  2. 2. software stacks trainings teaching F# user groups mac and linux snippets cross-platform tutorials F# Software Foundation F# community open-source MonoDevelop http://www.fsharp.org contributions research support consultancy mailing list
  3. 3. Tomas & BlueMountain Capital Tomas Petricek BlueMountain Capital Long-time F# contributor New York & London offices Real-World Functional Programming author Uses F# for implementing systematic trading strategies and for computing signals that researchers and portfolio managers look at to inform investment decisions. F# trainings in London & NYC Worked at BMC for 3 months on data science libraries
  4. 4. data acquisition statistics data cleaning machine learning data transformation visualization type F# Data Science Working providers Group data sources kaggle vega grammar presentation www.fslab.org R provider time-series visualization data aggregation
  5. 5. www.fslab.org
  6. 6. Deedle http://bluemountaincapital.github.io/Deedle/
  7. 7. Deedle is for… (Exploratory) Data Analysis Time-Series Analysis Data Processing / Transformation Data Cleaning Statistics and Visualization, via other packages
  8. 8. Deedle is… Our third iteration Easy-to-use from C# and F# Well documented Open Source Ready for you to contribute
  9. 9. Deedle Concepts Series Key->Value mapping Key is often date/time Immutable Supports missing values LINQ-friendly
  10. 10. Deedle Concepts Frame (RowKey, ColKey)->Value RowKey is often date/time ColKey is often string Heterogeneous Values Column-wise mutable Data alignment Hierarchical indexing
  11. 11. F# RProvider http://bluemountaincapital.github.io/FSharpRProvider/
  12. 12. DEMO #1 Understanding the world
  13. 13. Understanding the world Deedle data frame Data exploration Alignment & aggregation R type provider Deedle frame interop Time series interop (zoo) Professional packages (ggplot2, etc.)
  14. 14. DEMO #2 Working with time series
  15. 15. Working with time series F# Charting library Simple visualization F# interactive support Composable charts Deedle time series Standard statistics Hierarchical indexing
  16. 16. DEMO #3 Understanding US debt
  17. 17. Understanding US debt Deedle data frame Exploring data Data alignment Vega visualizations Pre-alpha stage Wraps JS Vega library
  18. 18. FsLab needs you & you need FsLab Ready to use Used & well tested Created by experts Contribute Try it out & send feedback Fig bugs & add features Integrate with other packages http://www.fslab.org
  19. 19. Want to learn more? Public F# Trainings 10% off with SM2615-624680-TC1 www.skillsmatter.com Custom trainings & consulting Get in touch! tomas@tomasp.net