Monday, January 7, 2013

quant finance links

http://www.sierrachart.com/index.php?l=doc/developers.php
came across sierrachart while trying to research restrictions on the use of google finance data (based on http://www.google.com/intl/en/googlefinance/disclaimer/?ei=v2zjUPjvIeOZwQPGhAE ). sierrachart looks like it's written by a loose coalition of general nerds often for their own use, and sold for a fee to non-nerds. they advertise the google finance data importer openly, so i guess google doesn't mind? written in c++, so maybe easy to integrate with other quant libs?

http://www.derivitec.com/
started by a couple of equity derivative quants about a year ago, they sell risk models that go into spreadsheets and compute on the cloud with microsoft azure. head dude wrote a book ( http://www.amazon.com/The-Value-Uncertainty-Dealing-Derivatives/dp/1848167725/ref=sr_1_1?ie=UTF8&qid=1339681713&sr=8-1 ) (not out yet) about how to do risk quantification, including practical considerations. one of the few refs i've seen to model error risk and model parameter uncertainty.

i wanted to see if google would allow people to share the results of computation that used their finance data. the disclaimer statement seems ridiculously restrictive (can't even 'download or save' it? erm, then why is your server giving it to me?) for-fee data services like thomson-reuters ( http://thomsonreuters.com/products_services/financial/financial_products/a-z/datascope_select/#tab1 ) and xignite ( http://www.xignite.com/Product/XigniteBondsRealTime/ ) are very pricey. www.kibot.com is cheaper, but still hundreds of $ for each data type. sierrachart and ninjatrader both advertise their capability to download and extract data from finance.google.com and both show up on the first page of a google search. hmmm.

incidentally, i found (maybe re-found) possibly useful indicator historical data available for free from the world bank (eg, http://data.worldbank.org/data-catalog/world-development-indicators?cid=GPD_WDI ).

also, openquant might be interesting:
http://www.smartquant.com/openquant.php
okay, apparently that one is a few hundred bucks/month. this one is foss:
http://code.google.com/p/openquant/

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