Archive for the 'New York' category

Enthought Sponsors First NY QPUG Meetup

Mar 21 2013 Published by under Finance, General, New York, Video

Though all eyes are probably on the aftermath of Pycon (which, from all reports, was another great conference), Enthought was happy to sponsor the first New York Quantitative Python User Group Meetup (wow that’s a mouthful) on March 6th. If you are in the New York area, you can sign up for the group here.

The program for the evening featured Marcos Lopez de Prado and our own Kelsey Jordahl (with an assist from yours truly). The meetup focused on the topic of portfolio optimization and some of its foibles. Marcos conducted an in-depth discussion of portfolio optimization in general and outlined his open source implementation of the CLA algorithm. He also discussed why he is such a fan of Python.

Our contribution to the evening focused on the the theme “From Research to Application.” And by “research” we meant both research code (Marcos’ CLA code is one example) and actual investment research. Firms are wrestling with data and trying to marshal all the expertise within the organization to make decisions. Increasingly, software is being used to help synthesize this information. In our thought experiment, we imagined a hypothetical portfolio manager or strategist that is trying to integrate the quantitative and fundamental expertise within the firm. What kind of information would this PM want to see? How could we make the application visually appealing and intuitively interactive?

We chose to use the Black-Litterman model to tie some of these threads together. In a nutshell, Black-Litterman takes a Bayesian approach to portfolio optimization. It assumes that the capital allocations in the market are decent and reverses the classical optimization process to infer expected returns (rather than weights). It also allows modification of these expected returns to reflect analyst views on a particular asset. For those of you not familiar with this subject, you can find an accessible discussion of the approach in He and Litterman (1999). Using the Black-Litterman model as our organizing principle, we put together an application that provides context for historical returns, relative value, and pairwise asset correlations, all wired together to provide full interactivity.

Given the limited time we had to put this together, there are obviously things we would have changed and things we would have liked to include. Nevertheless, we think the demo is a good example of how one can use open source technology to not only take advantage of research code but also integrate quantitative models and fundamental research.

FYI, the libraries used in the app are: Numpy/Pandas, Scipy, Traits, Chaco, and Enaml.

Videos of the talks are below. Tell us what you think!

QPUG_20130306_PortfolioDemo from NYQPUG on Vimeo.

QPUG_20130306_Marcos from NYQPUG on Vimeo.

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What Is Your Python Budget?

Jan 18 2013 Published by under General, New York, Python

C programmers, by necessity, generally develop a mental model for understanding the performance characteristics of their code. Developing this intuition in a high level language like Python can be more of a challenge. While good Python tools exist for identifying time and memory performance (line_profiler by Robert Kern and guppy by Sverker Nilsson), you are largely on your own if you want to develop intuition for code that is yet to be written. Understanding the cost of basic operations in your Python implementation can help guide design decisions by ruling out extensive use of expensive operations.

Why is this important you ask? Interactive applications appear responsive when they react to user behaviour within a given time budget. In our consulting engagements, we often find that a lack of awareness regarding the cost of common operations can lead to sluggish application performance. Some examples of user interaction thresholds:

  • If you are targeting 60 fps in a multimedia application you have 16 milliseconds of processing time per frame. In this time, you need to update state, figure out what is visible, and then draw it.
  • Well behaved applications will load a functional screen that a user can interact with in under a second. Depending on your application, you may need to create an expensive datastructure upfront before your user can interact with the application. Often one needs to find a way to at least make it feel like the one second constraint is being respected.
  • You run Gentoo / Arch. In this case, obsessing over performance is a way of life.

Obviously rules are meant to be broken, but knowing where to be frugal can help you avoid or troubleshoot performance problems. Performance data for Python and PyPy are listed below.

Machine configuration

CPU – AMD 8150

RAM – 16 GB PC3-12800

Windows 7 64 bit

Python 2.7.2 — EPD 7.3-1 (64-bit)

PyPy 2.0.0-beta1 with MSC v.1500 32 bit
Steps to obtain timings and create table from data

python measure.py cpython.data
pypy measure.py pypy.data

python draw_table.py cpython.data cpython.png
python draw_table.py pypy.data pypy.png

To obtain the code to measure timings and create the associated tables for your own machine, checkout https://github.com/deepankarsharma/cost-of-python

CPython timing data

 

PyPy timing data

 

 

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