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:
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||2 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
The name of this blog comes from an August, 2005 column. 8 1/2 years later, that analysis holds up pretty well. Indeed, I’d keep the first two precepts exactly as I proposed back then:
- Task-appropriate data managers. Much of this blog is about task-appropriate data stores, so I won’t say more about them in this post.
- Drastic limitations on relational schema complexity. I think I’ve been vindicated on that one by, for example:
- NoSQL and dynamic schemas.
- Schema-on-read, and its smarter younger brother schema-on-need.
- Limitations on the performance and/or allowed functionality of joins in scale-out short-request RDBMS, and the relative lack of complaints about same.
- Funky database design from major Software as a Service (SaaS) vendors such as Workday and Salesforce.com.
- A whole lot of logs.
I’d also keep the general sense of the third precept, namely appropriately-capable data integration, but for that one the specifics do need some serious rework.
For starters, let me say: Read more
|Categories: About this blog, Business intelligence, Database diversity, EAI, EII, ETL, ELT, ETLT, Investment research and trading, NoSQL, Schema on need||2 Comments|
From time to time I like to do “what I’m working on” posts. From my recent blogging, you probably already know that includes:
- Hadoop (always, and please see below).
- Analytic RDBMS (ditto).
- NoSQL and NewSQL.
- Specifically, SQL-on-Hadoop
- Spark and other memory-centric technology, including streaming.
- Public policy, mainly but not only in the area of surveillance/privacy.
- General strategic advice for all sizes of tech company.
Other stuff on my mind includes but is not limited to:
1. Certain categories of buying organizations are inherently leading-edge.
- Internet companies have adopted Hadoop, NoSQL, NewSQL and all that en masse. Often, they won’t even look at things that are conventional or expensive.
- US telecom companies have been buying 1 each of every DBMS on the market since pre-relational days.
- Financial services firms — specifically algorithmic traders and broker-dealers — have been in their own technical world for decades …
- … as have national-security agencies …
- … as have pharmaceutical research departments.
Fine. But what really intrigues me is when more ordinary enterprises also put leading-edge technologies into production. I pester everybody for examples of that.
I talk with a lot of companies, and repeatedly hear some of the same application themes. This post is my attempt to collect some of those ideas in one place.
1. So far, the buzzword of the year is “real-time analytics”, generally with “operational” or “big data” included as well. I hear variants of that positioning from NewSQL vendors (e.g. MemSQL), NoSQL vendors (e.g. AeroSpike), BI stack vendors (e.g. Platfora), application-stack vendors (e.g. WibiData), log analysis vendors (led by Splunk), data management vendors (e.g. Cloudera), and of course the CEP industry.
Yeah, yeah, I know — not all the named companies are in exactly the right market category. But that’s hard to avoid.
Why this gold rush? On the demand side, there’s a real or imagined need for speed. On the supply side, I’d say:
- There are vast numbers of companies offering data-management-related technology. They need ways to differentiate.
- Doing analytics at short-request speeds is an obvious data-management-related challenge, and not yet comprehensively addressed.
2. More generally, most of the applications I hear about are analytic, or have a strong analytic aspect. The three biggest areas — and these overlap — are:
- Customer interaction
- Network and sensor monitoring
- Game and mobile application back-ends
Also arising fairly frequently are:
- Algorithmic trading
- Risk measurement
- Law enforcement/national security
- Stakeholder-facing analytics
I’m hearing less about quality, defect tracking, and equipment maintenance than I used to, but those application areas have anyway been ebbing and flowing for decades.
The third of my three MySQL-oriented clients I alluded to yesterday is MemSQL. When I wrote about MemSQL last June, the product was an in-memory single-server MySQL workalike. Now scale-out has been added, with general availability today.
MemSQL’s flagship reference is Zynga, across 100s of servers. Beyond that, the company claims (to quote a late draft of the press release):
Enterprises are already using distributed MemSQL in production for operational analytics, network security, real-time recommendations, and risk management.
All four of those use cases fit MemSQL’s positioning in “real-time analytics”. Besides Zynga, MemSQL cites penetration into traditional low-latency markets — financial services (various subsectors) and ad-tech.
Highlights of MemSQL’s new distributed architecture start: Read more
|Categories: Clustering, Database compression, Emulation, transparency, portability, Games and virtual worlds, Investment research and trading, Log analysis, MemSQL, MySQL, NewSQL, Transparent sharding, Zynga||6 Comments|