Investment research and trading
Discussion of how data management and analytic technologies are used in trading and investment research. (As opposed to a discussion of the services we ourselves provide to investors.) Related subjects include:
“Real-time” technology excites people, and has for decades. Yet the actual, useful technology to meet “real-time” requirements remains immature, especially in cases which call for rapid human decision-making. Here are some notes on that conundrum.
1. I recently posted that “real-time” is getting real. But there are multiple technology challenges involved, including:
- General streaming. Some of my posts on that subject are linked at the bottom of my August post on Flink.
- Low-latency ingest of data into structures from which it can be immediately analyzed. That helps drive the (re)integration of operational data stores, analytic data stores, and other analytic support — e.g. via Spark.
- Business intelligence that can be used quickly enough. This is a major ongoing challenge. My clients at Zoomdata may be thinking about this area more clearly than most, but even they are still in the early stages of providing what users need.
- Advanced analytics that can be done quickly enough. Answers there may come through developments in anomaly management, but that area is still in its super-early days.
- Alerting, which has been under-addressed for decades. Perhaps the anomaly management vendors will finally solve it.
|Categories: Business intelligence, Databricks, Spark and BDAS, In-memory DBMS, Investment research and trading, Log analysis, Streaming and complex event processing (CEP), Text, Web analytics, Zoomdata||2 Comments|
1. The cloud is super-hot. Duh. And so, like any hot buzzword, “cloud” means different things to different marketers. Four of the biggest things that have been called “cloud” are:
- The Amazon cloud, Microsoft Azure, and their competitors, aka public cloud.
- Software as a service, aka SaaS.
- Co-location in off-premises data centers, aka colo.
- On-premises clusters (truly on-prem or colo as the case may be) designed to run a broad variety of applications, aka private cloud.
Further, there’s always the idea of hybrid cloud, in which a vendor peddles private cloud systems (usually appliances) running similar technology stacks to what they run in their proprietary public clouds. A number of vendors have backed away from such stories, but a few are still pushing it, including Oracle and Microsoft.
This is a good example of Monash’s Laws of Commercial Semantics.
2. Due to economies of scale, only a few companies should operate their own data centers, aka true on-prem(ises). The rest should use some combination of colo, SaaS, and public cloud.
This fact now seems to be widely understood.
I’ve been an analyst for 35 years, and debates about “real-time” technology have run through my whole career. Some of those debates are by now pretty much settled. In particular:
- Yes, interactive computer response is crucial.
- Into the 1980s, many apps were batch-only. Demand for such apps dried up.
- Business intelligence should occur at interactive speeds, which is a major reason that there’s a market for high-performance analytic RDBMS.
- Theoretical arguments about “true” real-time vs. near-real-time are often pointless.
- What matters in most cases is human users’ perceptions of speed.
- Most of the exceptions to that rule occur when machines race other machines, for example in automated bidding (high frequency trading or otherwise) or in network security.
A big issue that does remain open is: How fresh does data need to be? My preferred summary answer is: As fresh as is needed to support the best decision-making. I think that formulation starts with several advantages:
- It respects the obvious point that different use cases require different levels of data freshness.
- It cautions against people who think they need fresh information but aren’t in a position to use it. (Such users have driven much bogus “real-time” demand in the past.)
- It covers cases of both human and automated decision-making.
Straightforward applications of this principle include: Read more
Databricks CEO Ali Ghodsi checked in because he disagreed with part of my recent post about Databricks. Ali’s take on Databricks’ position in the Spark world includes:
- What I called Databricks’ “secondary business” of “licensing stuff to Spark distributors” was really about second/third tier support. Fair enough. But distributors of stacks including Spark, for whatever combination of on-premise and cloud as the case may be, may in many cases be viewed as competitors to Databricks cloud-only service. So why should Databricks help them?
- Databricks’ investment in Spark Summit and similar evangelism is larger than I realized.
- Ali suggests that the fraction of Databricks’ engineering devoted to open source Spark is greater than I understood during my recent visit.
Ali also walked me through customer use cases and adoption in wonderful detail. In general:
- A large majority of Databricks customers have machine learning use cases.
- Predicting and preventing user/customer churn is a huge issue across multiple market sectors.
The story on those sectors, per Ali, is: Read more
Five years ago, in a taxonomy of analytic business benefits, I wrote:
A large fraction of all analytic efforts ultimately serve one or more of three purposes:
- Problem and anomaly detection and diagnosis
- Planning and optimization
That continues to be true today. Now let’s add a bit of spin.
1. A large fraction of analytics is adversarial. In particular: Read more
|Categories: Business intelligence, Investment research and trading, Log analysis, Predictive modeling and advanced analytics, RDF and graphs, Surveillance and privacy, Web analytics||3 Comments|
I talked with my clients at MemSQL about the release of MemSQL 4.0. Let’s start with the reminders:
- MemSQL started out as in-memory OTLP (OnLine Transaction Processing) DBMS …
- … but quickly positioned with “We also do ‘real-time’ analytic processing” …
- … and backed that up by adding a flash-based column store option …
- … before Gartner ever got around to popularizing the term HTAP (Hybrid Transaction and Analytic Processing).
- There’s also a JSON option.
The main new aspects of MemSQL 4.0 are:
- Geospatial indexing. This is for me the most interesting part.
- A new optimizer and, I suppose, query planner …
- … which in particular allow for serious distributed joins.
- Some rather parallel-sounding connectors to Spark. Hadoop and Amazon S3.
- Usual-suspect stuff including:
- More SQL coverage (I forgot to ask for details).
- Some added or enhanced administrative/tuning/whatever tools (again, I forgot to ask for details).
- Surely some general Bottleneck Whack-A-Mole.
There’s also a new free MemSQL “Community Edition”. MemSQL hopes you’ll experiment with this but not use it in production. And MemSQL pricing is now wholly based on RAM usage, so the column store is quasi-free from a licensing standpoint is as well.
I’m going to be out-of-sorts this week, due to a colonoscopy. (Between the prep, the procedure, and the recovery, that’s a multi-day disablement.) In the interim, here’s a collection of links, quick comments and the like.
1. Are you an engineer considering a start-up? This post is for you. It’s based on my long experience in and around such scenarios, and includes a section on “Deadly yet common mistakes”.
2. There seems to be a lot of confusion regarding the business model at my clients Databricks. Indeed, my own understanding of Databricks’ on-premises business has changed recently. There are no changes in my beliefs that:
- Databricks does not directly license or support on-premises Spark users. Rather …
- … it helps partner companies to do so, where:
- Examples of partner companies include usual-suspect Hadoop distribution vendors, and DataStax.
- “Help” commonly includes higher-level support.
However, I now get the impression that revenue from such relationships is a bigger deal to Databricks than I previously thought.
Databricks, by the way, has grown to >50 people.
3. DJ Patil and Ruslan Belkin apparently had a great session on lessons learned, covering a lot of ground. Many of the points are worth reading, but one in particular echoed something I’m hearing lots of places — “Data is super messy, and data cleanup will always be literally 80% of the work.” Actually, I’d replace the “always” by something like “very often”, and even that mainly for newish warehouses, data marts or datasets. But directionally the comment makes a whole lot of sense.
|Categories: Data integration and middleware, Databricks, Spark and BDAS, DataStax, Hadoop, Health care, Investment research and trading, Text||Leave a Comment|
Most IT innovation these days is focused on machine-generated data (sometimes just called “machine data”), rather than human-generated. So as I find myself in the mood for another survey post, I can’t think of any better idea for a unifying theme.
1. There are many kinds of machine-generated data. Important categories include:
- Web, network and other IT logs.
- Game and mobile app event data.
- CDRs (telecom Call Detail Records).
- “Phone-home” data from large numbers of identical electronic products (for example set-top boxes).
- Sensor network output (for example from a pipeline or other utility network).
- Vehicle telemetry.
- Health care data, in hospitals.
- Digital health data from consumer devices.
- Images from public-safety camera networks.
- Stock tickers (if you regard them as being machine-generated, which I do).
That’s far from a complete list, but if you think about those categories you’ll probably capture most of the issues surrounding other kinds of machine-generated data as well.
2. Technology for better information and analysis is also technology for privacy intrusion. Public awareness of privacy issues is focused in a few areas, mainly: Read more
We all tend to assume that data is a great and glorious asset. How solid is this assumption?
- Yes, data is one of the most proprietary assets an enterprise can have. Any of the Goldman Sachs big three* — people, capital, and reputation — are easier to lose or imitate than data.
- In many cases, however, data’s value diminishes quickly.
- Determining the value derived from owning, analyzing and using data is often tricky — but not always. Examples where data’s value is pretty clear start with:
- Industries which long have had large data-gathering research budgets, in areas such as clinical trials or seismology.
- Industries that can calculate the return on mass marketing programs, such as internet advertising or its snail-mail predecessors.
*”Our assets are our people, capital and reputation. If any of these is ever diminished, the last is the most difficult to restore.” I love that motto, even if Goldman Sachs itself eventually stopped living up to it. If nothing else, my own business depends primarily on my reputation and information.
This all raises the idea – if you think data is so valuable, maybe you should get more of it. Areas in which enterprises have made significant and/or successful investments in data acquisition include: Read more
|Categories: Data mart outsourcing, eBay, Health care, Investment research and trading, Log analysis, Scientific research, Text, Web analytics||7 Comments|
After visiting California recently, I made a flurry of posts, several of which generated considerable discussion.
- My claim that Spark will replace Hadoop MapReduce got much Twitter attention — including some high-profile endorsements — and also some responses here.
- My MemSQL post led to a vigorous comparison of MemSQL vs. VoltDB.
- My post on hardware and storage spawned a lively discussion of Hadoop hardware pricing; even Cloudera wound up disagreeing with what I reported Cloudera as having said. Sadly, there was less response to the part about the partial (!) end of Moore’s Law.
- My Cloudera/SQL/Impala/Hive apparently was well-balanced, in that it got attacked from multiple sides via Twitter & email. Apparently, I was too hard on Impala, I was too hard on Hive, and I was too hard on boxes full of cardboard file cards as well.
- My post on the Intel/Cloudera deal garnered a comment reminding us Dell had pushed the Intel distro.
- My CitusDB post picked up a few clarifying comments.
Here is a catch-all post to complete the set. Read more