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:
From time to time, I hear of regulatory requirements to retain, analyze, and/or protect data in various ways. It’s hard to get a comprehensive picture of these, as they vary both by industry and jurisdiction; so I generally let such compliance issues slide. Still, perhaps I should use one post to pull together what is surely a very partial list.
Most such compliance requirements have one of two emphases: Either you need to keep your customers’ data safe against misuse, or else you’re supposed to supply information to government authorities. From a data management and analysis standpoint, the former area mainly boils down to:
- Information security. This can include access control, encryption, masking, auditing, and more.
- Keeping data in an approved geographical area. (E.g., its country of origin.) This seems to be one of the three big drivers for multi-data-center processing (along with latency and disaster recovery), and hence is an influence upon numerous users’ choices in areas such as clustering and replication.
The latter, however, has numerous aspects.
First, there are many purposes for the data retention and analysis, including but by no means limited to: Read more
|Categories: Archiving and information preservation, Clustering, Data warehousing, Health care, Investment research and trading, Text||1 Comment|
Cray’s strategy these days seems to be:
- Move forward with the classic supercomputer business.
- Diversify into related areas.
At the moment, the main diversifications are:
- Boxes that are like supercomputers, but at a lower price point.
- “(Big) data”.
The last of the three is what Cray subsidiary Yarcdata is all about. Read more
|Categories: Data models and architecture, Health care, In-memory DBMS, Investment research and trading, Market share and customer counts, Parallelization, Petabyte-scale data management, RDF and graphs, Yarcdata and Cray||1 Comment|
I talked with MemSQL shortly before today’s launch. MemSQL technology basics are:
- In-memory relational DBMS.
- Being released single-box only. Transparent sharding is under development for release in the fall. Basic replication is under development too.
- Subset of SQL-92.
- MySQL wire-compatible (SQL coverage issues excepted).
MemSQL’s performance claims include:
- Read performance 10% or so worse than memcached.
- Write performance 20% or so better than memcached.
- 1.2 million inserts/second on a 64-core, 1/2 TB of RAM machine.
- Similarly, 1/2 billion records loaded in under 20 minutes.
MemSQL company basics include: Read more
|Categories: Database compression, In-memory DBMS, Investment research and trading, Market share and customer counts, memcached, MemSQL, OLTP, Pricing, Web analytics||3 Comments|
Last November, I wrote two posts on agile predictive analytics. It’s time to return to the subject. I’m used to KXEN talking about the ability to do predictive modeling, very quickly, perhaps without professional statisticians; that the core of what KXEN does. But I was surprised when Revolution Analytics told me a similar story, based on a different approach, because ordinarily that’s not how R is used at all.
Ultimately, there seem to be three reasons why you’d want quick turnaround on your predictive modeling: Read more
|Categories: Business intelligence, Investment research and trading, KXEN, Predictive modeling and advanced analytics, Revolution Analytics, Telecommunications, Web analytics||10 Comments|
There are several reasons it’s hard to confirm great analytic user stories. First, there aren’t as many jaw-dropping use cases as one might think. For as I wrote about performance, new technology tends to make things better, but not radically so. After all, if its applications are …
… all that bloody important, then probably people have already been making do to get it done as best they can, even in an inferior way.
Further, some of the best stories are hard to confirm; even the famed beer/diapers story isn’t really true. Many application areas are hard to nail down due to confidentiality, especially but not only in such “adversarial” domains as anti-terrorism, anti-spam, or anti-fraud.
Even so, I have two questions in my inbox that boil down to “What are the coolest or most significant analytics stories out there?” So let’s round up some of what I know. Read more
|Categories: Analytic technologies, Google, Health care, Investment research and trading, Predictive modeling and advanced analytics, Scientific research, Telecommunications, Web analytics||6 Comments|
It is a reasonable (over)simplification to say that my business boils down to:
- Advising vendors what/how to sell.
- Advising users what/how to buy.
One complication that commonly creeps in is that different groups of users have different buying practices and technology needs. Usually, I nod to that point in passing, perhaps by listing different application areas for a company or product. But now let’s address it head on. Whether or not you care about the particulars, I hope the sheer length of this post reminds you that there are many different market segments out there.
Last June I wrote:
In almost any IT decision, there are a number of environmental constraints that need to be acknowledged. Organizations may have standard vendors, favored vendors, or simply vendors who give them particularly deep discounts. Legacy systems are in place, application and system alike, and may or may not be open to replacement. Enterprises may have on-premise or off-premise preferences; SaaS (Software as a Service) vendors probably have multitenancy concerns. Your organization can determine which aspects of your system you’d ideally like to see be tightly integrated with each other, and which you’d prefer to keep only loosely coupled. You may have biases for or against open-source software. You may be pro- or anti-appliance. Some applications have a substantial need for elastic scaling. And some kinds of issues cut across multiple areas, such as budget, timeframe, security, or trained personnel.
I’d further say that it matters whether the buyer:
- Is a large central IT organization.
- Is the well-staffed IT organization of a particular business department.
- Is a small, frazzled IT organization.
- Has strong engineering or technical skills, but less in the way of IT specialists.
- Is trying to skate by without much technical knowledge of any kind.
Now let’s map those considerations (and others) to some specific market segments. Read more
|Categories: Data mart outsourcing, Games and virtual worlds, IBM and DB2, Investment research and trading, Microsoft and SQL*Server, Open source, Software as a Service (SaaS), Telecommunications, Web analytics||9 Comments|
SAP HANA has gotten much attention, mainly for its potential. I finally got briefed on HANA a few weeks ago. While we didn’t have time for all that much detail, it still might be interesting to talk about where SAP HANA stands today.
SAP HANA is positioned as an “appliance”. So far as I can tell, that really means it’s a software product for which there are a variety of emphatically-recommended hardware configurations — Intel-only, from what right now are eight usual-suspect hardware partners. Anyhow, the core of SAP HANA is an in-memory DBMS. Particulars include:
- Mainly, HANA is an in-memory columnar DBMS, based on SAP’s confusingly-renamed BI Accelerator/BW Accelerator. Analytics and most OLTP (OnLine Transaction Processing) go against the columnar part of HANA.
- The HANA DBMS also has an in-memory row storage option, used to store metadata, small tables, and so on.
- SAP HANA talks both SQL and MDX.
- The HANA DBMS is shared-nothing across blades or rack servers. I imagine that within an individual blade it’s shared everything. The usual-suspect data distribution or partitioning strategies are available — hash, range, round-robin.
- SAP HANA has what sounds like a natural disk-based persistence strategy — logs, snapshots, and so on. SAP says that this is synchronous enough to give ACID compliance. For some hardware partners, those “disks” are actually Fusion I/O cards.
- HANA is fault-tolerant “across servers”.
- Text support is “coming soon”, which makes sense, given that BI Accelerator was based on the TREX search engine in the first place. Inxight is also in the HANA text mix.
- You can put data into SAP HANA in a variety of obvious ways:
- Writing it directly.
- Trigger-based replication (perhaps from the DBMS that runs your SAP apps).
- Log-based replication (based on Sybase Replication Server).
- SAP Business Objects’ ETL tool.
SAP says that the row-store part is based both on P*Time, an acquisition from Korea some time ago, and also on SAP’s own MaxDB. The IBM white paper mentions only the MaxDB aspect. (Edit: Actually, see the comment thread below.) Based on a variety of clues, I conjecture that this was an aspect of SAP HANA development that did not go entirely smoothly.
Other SAP HANA components include: Read more
The most straightforward approach to the applications business is:
- Take general-purpose technology and think through how to apply it to a specific application domain.
- Produce packaged application software accordingly.
However, this strategy is not as successful in analytics as in the transactional world, for two main reasons:
- Analytic applications of that kind are rarely complete.
- Incomplete applications rarely sell well.
I first realized all this about a decade ago, after Henry Morris coined the term analytic applications and business intelligence companies thought it was their future. In particular, when Dave Kellogg ran marketing for Business Objects, he rattled off an argument to the effect that Business Objects had generated more analytic app revenue over the lifetime of the company than Cognos had. I retorted, with only mild hyperbole, that the lifetime numbers he was citing amounted to “a bad week for SAP”. Somewhat hoist by his own petard, Dave quickly conceded that he agreed with my skepticism, and we changed the subject accordingly.
Reasons that analytic applications are commonly less complete than the transactional kind include: Read more
|Categories: Business intelligence, Business Objects, Data mart outsourcing, Investment research and trading, Log analysis, Metamarkets and Druid, Oracle, SAP AG, SAS Institute, Web analytics, WibiData||16 Comments|
I’ve already suggested that several apparent issues in predictive analytic agility can be dismissed by straightforwardly applying best-of-breed technology, for example in analytic data management. At first blush, the same could be said about the actual analysis, which comprises:
- Data preparation, which is tedious unless you do a good job of automating it.
- Running the actual algorithms.
Numerous statistical software vendors (or open source projects) help you with the second part; some make strong claims in the first area as well (e.g., my clients at KXEN). Even so, large enterprises typically have statistical silos, commonly featuring expensive annual SAS licenses and seemingly slow-moving SAS programmers.
As I see it, the predictive analytics workflow goes something like this Read more
|Categories: Investment research and trading, Predictive modeling and advanced analytics, SAS Institute, Telecommunications, Web analytics||21 Comments|
I’m hearing a lot these days about agile predictive analytics, albeit rarely in those exact terms. The general idea is unassailable, in that it boils down to using data as quickly as reasonably possible. But discussing particulars is hard, for several reasons:
- Pundits tend to sketch castles in the air.
- Vendors tend to confuse part of the story — generally the part they happen to offer — with the whole.
- Different use cases give rise to different kinds of issues.
At least three of the generic arguments for agility apply to predictive analytics:
- Doing the correct thing soon is usually better than doing the same correct thing later.
- If it doesn’t take much time to do something, hopefully it doesn’t take that much expense (labor and so on) either.
- It’s hard to get new stuff completely right on the first try. Often, the best strategy is to come close fast, then fix what’s still not ideal.
But the reasons to want agile predictive analytics don’t stop there.
|Categories: EAI, EII, ETL, ELT, ETLT, Investment research and trading, Predictive modeling and advanced analytics||15 Comments|