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I'm looking at R seriously for the first time. I've got a decade in with Python numeric computing, and I'm interested in Julia and all of the cutting-edge stuf

I'm looking at R seriously for the first time. I've got a decade in with Python numeric computing, and I'm interested in Julia and all of the cutting-edge stuff. I've only dabbled with R until now, and I haven't researched it enough to know if rumors of it's inevitable demise have any substance. There are a lot of interesting math problems other than training gigantic neural networks on NVIDIA gear, and I've got some Computer Algebra System / ergonomic linear modeling needs on a current project: I need the best tool for someone who is messing with Black-Scholes type stuff, who is still building the fidelity with tricky antiderivatives by hand, but I have enough fundamentals to check the computer's work. What role should R play here?

laylower 3y ago
I love R. You could do it R. But a lot of the derivations and Math Finance stuff you can and should be able to do in C/C++. R packages mostly depend on those as well for heavy duty calcs. So, if I wanted to dabble I'd easily use R and if I was in the quant developer world I'd be doing C/C++
- helsinki 3y ago
  I work with a trading team that manages $1B, exclusively with R.
  - mamonster 3y ago
    Second this, seen lots of funds use whatever language their lead QR/QT feels comfortable with. At the end of the day, if you aren't running a strategy that requires colocation on the exchange, whatever speed improvement you get from the language will usually disappear from the network latency. Something like intraday momentum/sector rotations can easily be done entirely in Python/R, from what I've seen.
    - benreesman 3y ago
      Likewise interested if a pro has any consulting hours to spare :)
      - mamonster 3y ago
        Sorry, unfortunately do not do consulting. In your other comment, you said you are looking to price "weird derivatives". How weird are we talking? If its OTC I won't be able to help anyway, if its standard then I can at least try to point you in the right direction. The fact you mention Black Scholes makes me think it might be something closer to "vanilla" than the other way around.
        benreesman 3y ago
        It’s looking like the goal will be to create downward pressure on derivative beta (especially in the case of a rapidly increasing underlying: big pools of Hopper cards basically). I have a vague intuition that transaction costs will be sort of cumulatively symmetric: participants who get in quickly will pay a lot per unit time, but conversely, people who VWAP in will get zero-rated on the way out. There’s a legitimate underlying switching cost, there’s a stability premium thereby, making that equitable for all participants is an interesting problem.
        mamonster 3y ago
        Am I correct in understanding that you have the spot price of Hopper card compute as your underlying and then come up with a pricing equation for some derivative instruments for that?
        benreesman 3y ago
        In a friction free scenario it would be a standard future, yes. The reality is closer to an option on an FX forward, with a very nasty empirical MC as Q* for the payoff equivalence. I’m not fancy enough, I know when to sub-contract!
  - benreesman 3y ago
    I have to price some weird derivatives. You do any consulting on non-adjacent areas.
- iainctduncan 3y ago
  I've done some work for scientists where they used C++ extensions to R for heavy number crunching. For their workflow, R is really nice. Don't know how common this is though.
  - nequo 3y ago
    Rcpp is pretty common in major performance sensitive packages. The CppCast did an interview with Dirk Eddelbuettel about it in 2022: https://cppcast.com/rcpp/ https://cppcast.com/rcpp/
    - iainctduncan 3y ago
      yeah, that's what it was, I was taking apart and documenting an RCPP module they had, but for which they no longer had access to the coder. It was pretty cool work, would be happy to do more with RCPP
dxbydt 3y ago
quite easy to price derivatives with R. I have a degree in finmath from uchicago, where derivative pricing was taught using Matlab and R. But in the last semester we were told - oh yeah when you go out there into the real world and start working for the banks you can’t use civilized tools like R and Matlab. So you have to take this mandatory class on cpp. There once was a guy named stroustrup and this shit here is called a makefile… after graduation i worked for BofA and yes, the quant world is completely C++. But there are small funds (few billion dollars) that do their own shit in R, Haskell, Q/kdb, others. Very doable in R.

laylower 3y ago

I love R. You could do it R. But a lot of the derivations and Math Finance stuff you can and should be able to do in C/C++. R packages mostly depend on those as well for heavy duty calcs. So, if I wanted to dabble I'd easily use R and if I was in the quant developer world I'd be doing C/C++

helsinki 3y ago
I work with a trading team that manages $1B, exclusively with R.
- mamonster 3y ago
  Second this, seen lots of funds use whatever language their lead QR/QT feels comfortable with. At the end of the day, if you aren't running a strategy that requires colocation on the exchange, whatever speed improvement you get from the language will usually disappear from the network latency. Something like intraday momentum/sector rotations can easily be done entirely in Python/R, from what I've seen.
  - benreesman 3y ago
    Likewise interested if a pro has any consulting hours to spare :)
    - mamonster 3y ago
      Sorry, unfortunately do not do consulting. In your other comment, you said you are looking to price "weird derivatives". How weird are we talking? If its OTC I won't be able to help anyway, if its standard then I can at least try to point you in the right direction. The fact you mention Black Scholes makes me think it might be something closer to "vanilla" than the other way around.
      - benreesman 3y ago
        It’s looking like the goal will be to create downward pressure on derivative beta (especially in the case of a rapidly increasing underlying: big pools of Hopper cards basically). I have a vague intuition that transaction costs will be sort of cumulatively symmetric: participants who get in quickly will pay a lot per unit time, but conversely, people who VWAP in will get zero-rated on the way out. There’s a legitimate underlying switching cost, there’s a stability premium thereby, making that equitable for all participants is an interesting problem.
        mamonster 3y ago
        Am I correct in understanding that you have the spot price of Hopper card compute as your underlying and then come up with a pricing equation for some derivative instruments for that?
        benreesman 3y ago
        In a friction free scenario it would be a standard future, yes. The reality is closer to an option on an FX forward, with a very nasty empirical MC as Q* for the payoff equivalence. I’m not fancy enough, I know when to sub-contract!
- benreesman 3y ago
  I have to price some weird derivatives. You do any consulting on non-adjacent areas.
iainctduncan 3y ago
I've done some work for scientists where they used C++ extensions to R for heavy number crunching. For their workflow, R is really nice. Don't know how common this is though.
- nequo 3y ago
  Rcpp is pretty common in major performance sensitive packages. The CppCast did an interview with Dirk Eddelbuettel about it in 2022: https://cppcast.com/rcpp/ https://cppcast.com/rcpp/
  - iainctduncan 3y ago
    yeah, that's what it was, I was taking apart and documenting an RCPP module they had, but for which they no longer had access to the coder. It was pretty cool work, would be happy to do more with RCPP

dxbydt 3y ago

quite easy to price derivatives with R. I have a degree in finmath from uchicago, where derivative pricing was taught using Matlab and R. But in the last semester we were told - oh yeah when you go out there into the real world and start working for the banks you can’t use civilized tools like R and Matlab. So you have to take this mandatory class on cpp. There once was a guy named stroustrup and this shit here is called a makefile… after graduation i worked for BofA and yes, the quant world is completely C++. But there are small funds (few billion dollars) that do their own shit in R, Haskell, Q/kdb, others. Very doable in R.