Archive for the 'Video' 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.

No responses yet

TGIF: SciPy 2012 Recap Video

Jul 27 2012 Published by under Austin, Conferences, General, SciPy, Video

As we wait for the SciPy talk videos to make their way onto the web, we’d like to share a short film recapping SciPy 2012.

The latest iteration of the SciPy conference was another great example of the scientific python community coming together to share “the latest and greatest.” Most organizations want to change the world in some way or another. At Enthought, we attempt to do this by building tools that help our customers – in both academia and industry – concentrate on solving their actual problems rather than wrestling with technology. We believe Python’s ability to operate smoothly in different contexts (e.g., desktop, web, array-based and distributed computing, etc.) makes it a highly productive and pragmatic tool with which to build solutions.

The SciPy community is changing the world by continually pushing technical computing forward in a pragmatic way. One just has to look at the content and tools presented at SciPy historically to know that this community has been been up to its neck in “data science” for some time. One could also argue, however, that SciPy is one of the best kept secrets in technical computing. As the recent focus on MapReduce solutions illustrates, the world is in the grips of “big computation.” It will only get tougher in the foreseeable future. At the same time, “big data” is a relative term. “Big” for a bioinformatician is different than for a macro hedge fund analyst, and these differences can often be measured in orders of magnitude. And when it comes to solutions, rarely does one size fit all.

In contrast, SciPy addresses a broad array of problems. SciPy 2012 offered High Performance Computing and Visualization tracks, with tutorials on machine learning, plotting, parallel computing, and time series analysis. Sometimes all these topics could be found in a single talk (see VisIt). The community also demonstrated some open-mindedness by inviting Jeff Bezanson, one of the authors of Julia, to share his experience building a language specifically designed for technical computing. It turns out there is a fair amount of overlap between what the SciPy community and the Julia team are planning. With LLVM IR increasingly being viewed as a common target, there is real excitement about what the future holds for language development and interaction.

This is all to say that SciPy has a lot to offer the world. Stay tuned for a bigger and better SciPy next year!

One response so far

Older posts »

Featuring Advanced Search Functions plugin by YD