Open Source Tools In Computational Finance

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Excerpt

Computational finance is a topic on many peoples' minds in the current economic climate. Over the years, an impressive body of open source software has been developed in computational finance. In this talk, I'll review the major open source CF tools and demonstrate an application of them to some financial time series taken from recent market activity.

Description

Computational finance is a topic on many peoples’ minds in the current economic climate. Over the years, an impressive body of open source software has been developed in computational finance. In this talk, I’ll review the major open source CF tools and demonstrate an application of them to some financial time series taken from recent market activity.

The technologies used include

  • R,
  • Perl,
  • QuantLib,
  • PostgreSQL,
  • Linux, and
  • Xen.

I’ll demonstrate an open source “virtual appliance” integrating these technologies, using a dataset taken from recent market time series. If participants are interested, I will make copies of this appliance available for hacking sessions during the conference.

Speaking experience

Speaker

  • Biography

    M. Edward (Ed) Borasky is an applied mathematician and computer scientist with interests ranging from computer performance engineering to algorithmic composition and synthesis of music. His open source interests include Linux, Ruby, PostgreSQL and R.

    Sessions

      • Title: Linux Server Profiling
      • Track: BoF
      • Room: Broadway
      • Time: 7:008:30pm
      • Excerpt:

        A number of open source tools exist that make profiling Linux servers easier. These tools include traditional Unix utilities like “sar” and “iostat”, but they also include some tools that go deep into the processors and I/O subsystems.

      • Speakers: Ed Borasky