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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

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!
        mamonster 3y ago
        Have you tried looking at SABR? If what you have is FX-like I wouldn't be able to help beyond that anyway, FX modelling is its own thing and I haven't done anything there since the obligatory uni courses(in equity space myself). AFAIK the general way to do things in rates/FX is SABR for vanilla and then PDE/MonteCarlo for exotics, but I was never on an FX desk so don't want to point you in the wrong direction.
        benreesman 3y ago
        As I’m sure you can tell, pricing exotic derivatives isn’t my day job. But your reminder to think of SABR/implied-vol is useful: I think there’s a convexity argument that can be made around how fat the tails would need to be. I’m not sure anyone is going to be thrilled at “anywhere between one hundred dollars and one hundred million dollars”, but my job is to figure out the bounds.
- 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

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!
        mamonster 3y ago
        Have you tried looking at SABR? If what you have is FX-like I wouldn't be able to help beyond that anyway, FX modelling is its own thing and I haven't done anything there since the obligatory uni courses(in equity space myself). AFAIK the general way to do things in rates/FX is SABR for vanilla and then PDE/MonteCarlo for exotics, but I was never on an FX desk so don't want to point you in the wrong direction.
        benreesman 3y ago
        As I’m sure you can tell, pricing exotic derivatives isn’t my day job. But your reminder to think of SABR/implied-vol is useful: I think there’s a convexity argument that can be made around how fat the tails would need to be. I’m not sure anyone is going to be thrilled at “anywhere between one hundred dollars and one hundred million dollars”, but my job is to figure out the bounds.
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