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Find the Hidden Signal in Market Data Noise
Revolution Analytics webinar, 2014-03-18
Andrie de Vries
Business Services Director (Europe)
@RevoAndrie
Revolution Analytics Webinar, 13 March 2013
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
THE R PROJECT AND
FINANCIAL APPLICATIONS
Revolution Analytics webinar, 2014-03-18
- 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/
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
Revolution Analytics is a visionary
Revolution Analytics webinar, 2014-03-18
Gartner magic quadrant
Advanced Analytics, 2014
Leaders Challengers
Visionaries Other players
Source: http://inside-bigdata.com/2014/02/25/gartner-reveals-magic-quadrant-advance-analytics/
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
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
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 +
CR
AN
Revo
R 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
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
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
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
FIND THE HIDDEN SIGNAL IN
MARKET DATA NOISE
Revolution Analytics webinar, 2014-03-18
Find the Hidden signal in market data noise
Director of Solutions at OneMarketData
Louis Lovas
© 2014 OneMarketData LLC 1
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
© 2014 OneMarketData LLC 2
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, …)
© 2014 OneMarketData LLC 3
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
© 2014 OneMarketData LLC 4
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
QUESTION SESSION
Revolution Analytics webinar, 2014-03-18