Quants in the cloud November 25, 2008
Posted by James Webster in : finance, development , add a commentWithin a week of each other the vendors of industry standard mathematical software packages MATLAB and Mathematica have demonstrated their software running on Amazon EC2. MATLAB has greater dominance in the field of financial mathematics but as a layman in the frequently mind-boggling world of quant finance Mathematica’s approach seems more appealing and visual. Might the embattled banks start to use these packages to offload intensive batch risk calculations to 3rd party compute grids on demand? Or maybe just buy a couple of these?
Of course the future shape of the quant and quantitative finance is under much debate at the moment as the leaders of the world seek to tame the global financial crisis which many blame on quant finance in the first place; Nassim Nicholas Taleb (author of Fooled by Randomness & The Black Swan: The Impact of the Highly Improbable) says Many of You Will be Sued. As a technologist within the field (and assuming things don’t collapse completely!) my bet is that the skills to cultivate will be around exchange connectivity and standards such as FIX and FpML… as the call for greater transparency of the OTC derivatives market becomes ever louder some products might be regulated out of existence and a large portion of the rest will become exchange traded. Why bother with mark-to-model when you can simply mark-to-market?
The Economist has two great level-headed articles about the much maligned credit default swap’s role in the current crisis and how they can still have a valuable if restrained role in the markets moving forward:
Meanwhile major players and central counterparties in the CDS market are already making progress in netting out CDS exposures in an attempt to reduce that much quoted (but misunderstood) outstanding notional CDS value of $62.2 trillion USD.
Market ticks streaming to your iPhone November 14, 2008
Posted by James Webster in : finance, development , 1 comment so farVia the Lightstreamer blog I have come across Shareprice.co.uk’s new iPhone application (AppStore) for showing live streaming LSE quote data (free for moment, but not for very long I expect). Their webpage debunks the ‘live streaming data’ claims of other similar apps which are apparently engaging in mere screen-scraping; I think far more systems still use screen-scraping these days than we’d like to acknowledge!
It looks like Shareprice.co.uk has been around since May this year and is a property of the interactive investor.
I have installed it on my iPod touch and it works well enough. I’d like to see more happening on the screen to be convinced that a connection is still active particularly if I am monitoring lightly-traded stocks. And perhaps when a tick comes down a quick green/red flash around the relevant quote might more immediately call my attention to it… or perhaps I am just going blind. News releases for any stocks in the watchlist would be great as well. The charts that appear in landscape mode take some time to appear; it feels like they are being rendered on the server and sent over the wire, surely better charts could be made by sending the historical data down to the client. That said it is very impressive for a first release and now you can watch your life savings evaporate whilst sitting on the bog 
Of course, Lightstreamer’s own streaming real-time data (not strictly financial) product is powering Shareprice thanks to the new iStreamlight API for iPhone. Unfortunately this only works with the commercial Presto and Vivace editions of Lightstreamer rather than the free developer version Moderato. I assume this means that iStreamlight uses the SDK for Generic Client Development. A shame really, all these ‘30 day trials’ for such interesting technologies (WPF/Silverlight controls from Infragistics/Telerik/DevExpress also falling into this categories) don’t really give me the time to muck around with these things at home to build something that I might be able to impress a boss with and convince them to shell out some proper moolah for on-site development/deployment!
Speaking of Silverlight neither Caplin’s Liberator nor Lightstreamer appear to have a Silverlight 2.0 SDK available just yet (sure you could use their JavaScript API’s and [ScriptableMember] but channeling ticks via this approach might not be particularly performant) and Microsoft’s own Silverlight/WCF push data solution is really just polling in push clothes.
ICE by ZeroC vaguely falls into the same category as Liberator and Lightstreamer and other ‘Comet’ solutions is open-source and has both an iPhone and Silverlight SDK.
Web 2.0 financial tools for all November 12, 2008
Posted by James Webster in : web, finance , add a commentI have been regularly using Web 2.0 start-up Wesabe for tracking my personal finances for over a year now. I think they run a great service and believe it is only going to get greater. So I’m happy to see that they have just launched a co-branded version of their website with a media outlet that is all but guaranteed to get more people flocking to their service in these budget-conscious times of recession; the UK’s Daily Telegraph. The Telegraph-branded version of Wesabe can be reached here but there doesn’t appear to be any linkage on the Telegraph website at present.
I’m not a big fan of the Daily Telegraph itself but this is a great move by both parties. Hopefully it keeps Wesabe well-funded and in a position to keep expanding their capabilities; there are some advanced features I’d like them to implement and the service could also perform some useful predictive forecasting (ie. when is my next utility bill likely to arrive?). I also hope it encourages more UK banks to allow customers to export their transaction history in accurate and standard-compliant format such as OFX, something I have banged on about in the past. That said, my own bank has a fairly decent OFX export… please excuse me if I keep which bank it is to myself in the interest of personal security!
Wesabe are also to be applauded for their Data Bill of Rights, a policy and practice describing how they handle your personal financial data that should be adopted by more finance sector enterprises. They also have an API for extracting that data and massaging it further.
I recommend subscribing to the Wesabe blog Wheaties for your Wallet even if you don’t decide to sign up to Wesabe; lots of thought provoking personal finance news is contained within.
Whilst writing this blog post, I recalled that Wesabe’s main competitor mint.com was partnering with an Australian bank, ANZ perhaps?, but haven’t been able to track down a link. Maybe I just imagined this?