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  • Suggest a good book for Quantitative Methods & R Programming

    - by Rahul
    Hi folks, Please suggest a good book for beginner in Quantitative Methods/Techniques. Adding to this, a good book for beginners in R programming language, used in Quantitative Methods. And I've a few questions about this: ? Should I have to learn the other subjects like Probability, Statics, etc. before learning Quantitative Methods ? Is there any relation between Quantitative Methods & Data Mining

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  • O’Reilly E-Book of the Day 15/Aug/2014 - Advanced Quantitative Finance with C++

    - by TATWORTH
    Originally posted on: http://geekswithblogs.net/TATWORTH/archive/2014/08/15/orsquoreilly-e-book-of-the-day-15aug2014---advanced-quantitative-finance.aspxToday’s half-price book of the Day offer from O’Reilly at http://shop.oreilly.com/product/9781782167228.do?code=MSDEAL is Advanced Quantitative Finance with C++. “This book will introduce you to the key mathematical models used to price financial derivatives, as well as the implementation of main numerical models used to solve them. In particular, equity, currency, interest rates, and credit derivatives are discussed. In the first part of the book, the main mathematical models used in the world of financial derivatives are discussed. Next, the numerical methods used to solve the mathematical models are presented. Finally, both the mathematical models and the numerical methods are used to solve some concrete problems in equity, forex, interest rate, and credit derivatives.”

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  • Starting a career in quantitative finance

    - by Vitor Braga
    I've been reading John Hull book (Options, Futures and Other Derivatives) mostly on curiosity. I've read other books about financial markets in the past (like Elder's Trading for Living and the novel Reminiscences of a Stock Operator). But I'm really hooked by the John Hull book. My background is mostly scientific computing: number crunching, visualization and image processing. Mostly in C++, with some C, Fortran, Python, Ruby here and there. I've been thinking on moving on to quantitative finance - I'd like to do that. What would be the best way to start? Any tips?

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  • Software Usability analysis

    - by Afnan
    i am unable to find the answers to the following questions.Please help me resolve (a) Name quantitative and qualitative techniques for analysing the usability of a software product. (b) Compare the costs and bene?ts of the quantitative techniques. (c) Compare the costs and bene?ts of the qualitative techniques. (d ) If restricted to a single one of these techniques when designing a new online banking system, which would you choose and why?

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  • The Darkness Behind DateTime.Now

    DateTime.Now is one of the commonly-used properties in the .NET Framework in the majority of applications designed. Although this property is designed to serve for particular purposes, the lack of understanding and training has driven many .NET developers to use it in wrong circumstances where other options like DateTime.UtcNow property and Stopwatch class should be used and are recommended. In this article we discuss these three options along with the main applications of each, and provide a quantitative comparison between them to show why DateTime.Now is expensive and should not be misused in many cases.

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  • Guaranteed SEO

    Search engine optimization is a method by which the traffic and number of hits on a particular website is increased. Most experts say that it is important not only to get a quantitative increase in the traffic to the website, but a qualitative increase as well.

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  • Which Computer Organization & Architecture book is good for me?

    - by claws
    I'm always interested in learning the inner working of things. I started with C programming and then learnt Operating systems (from stallings) and then linkers & loaders and then assembly language after reading these now I want to go into little more depth. Computer Architecture. I feel that makes everything clear. As per SO archives these are the two good books: Computer Architecture: A Quantitative Approach, 4th Edition Computer Organization and Design, Fourth Edition, ~ David A. Patterson, John L. Hennessy But I've browsed through the contents of these books and found that they don't exactly meet my needs. I want to learn more about caches, Memory Management Unit , mapping b/w virtual memory & physical memory I'm no way interested in other ISAs like MIPS etc.. I'm IA32 and X86-64 fan and I want to stick to it. I'm not a hardware developer I don't want to details like circuit diagrams or How is L1, L2 & L3 caches are implemented? I want to know the parallel processing technologies like HyperThreading at the architecture level but again I don't want to design them. I liked the table of Contents of - Computer Architecture: A Quantitative Approach, 4th Edition but Quantitave Approach? Seriously?? I want to know the details of current technologies and I dont want to spend reading 200 pages of outdated old technologies ( I experienced this while learning ASM}

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  • Cache consistency & spawning a thread

    - by Dave Keck
    Background I've been reading through various books and articles to learn about processor caches, cache consistency, and memory barriers in the context of concurrent execution. So far though, I have been unable to determine whether a common coding practice of mine is safe in the strictest sense. Assumptions The following pseudo-code is executed on a two-processor machine: int sharedVar = 0; myThread() { print(sharedVar); } main() { sharedVar = 1; spawnThread(myThread); sleep(-1); } main() executes on processor 1 (P1), while myThread() executes on P2. Initially, sharedVar exists in the caches of both P1 and P2 with the initial value of 0 (due to some "warm-up code" that isn't shown above.) Question Strictly speaking – preferably without assuming any particular CPU – is myThread() guaranteed to print 1? With my newfound knowledge of processor caches, it seems entirely possible that at the time of the print() statement, P2 may not have received the invalidation request for sharedVar caused by P1's assignment in main(). Therefore, it seems possible that myThread() could print 0. References These are the related articles and books I've been reading. (It wouldn't allow me to format these as links because I'm a new user - sorry.) Shared Memory Consistency Models: A Tutorial hpl.hp.com/techreports/Compaq-DEC/WRL-95-7.pdf Memory Barriers: a Hardware View for Software Hackers rdrop.com/users/paulmck/scalability/paper/whymb.2009.04.05a.pdf Linux Kernel Memory Barriers kernel.org/doc/Documentation/memory-barriers.txt Computer Architecture: A Quantitative Approach amazon.com/Computer-Architecture-Quantitative-Approach-4th/dp/0123704901/ref=dp_ob_title_bk

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  • Performance comparison between LDAP servers

    - by pablo
    Has anyone ever compared different LDAP servers? I am currently planning to upgrade ADAM to another server, and I'd like to know how do they perform. Currently the options that I am researching are: Active Directory (LDS) OpenLDAP Red Hat Directory Server OpenDS OpenDJ edit: I am looking for any kind of measurement that has been done. Anything as basic as reads/writes per second. I am looking for any quantitative measures to support choosing any of the servers above for my upgrade.

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  • C# 4.0: Covariance And Contravariance In Generics

    - by Paulo Morgado
    C# 4.0 (and .NET 4.0) introduced covariance and contravariance to generic interfaces and delegates. But what is this variance thing? According to Wikipedia, in multilinear algebra and tensor analysis, covariance and contravariance describe how the quantitative description of certain geometrical or physical entities changes when passing from one coordinate system to another.(*) But what does this have to do with C# or .NET? In type theory, a the type T is greater (>) than type S if S is a subtype (derives from) T, which means that there is a quantitative description for types in a type hierarchy. So, how does covariance and contravariance apply to C# (and .NET) generic types? In C# (and .NET), variance applies to generic type parameters and not to the resulting generic type. A generic type parameter is: covariant if the ordering of the generic types follows the ordering of the generic type parameters: Generic<T> = Generic<S> for T = S. contravariant if the ordering of the generic types is reversed from the ordering of the generic type parameters: Generic<T> = Generic<S> for T = S. invariant if neither of the above apply. If this definition is applied to arrays, we can see that arrays have always been covariant because this is valid code: object[] objectArray = new string[] { "string 1", "string 2" }; objectArray[0] = "string 3"; objectArray[1] = new object(); However, when we try to run this code, the second assignment will throw an ArrayTypeMismatchException. Although the compiler was fooled into thinking this was valid code because an object is being assigned to an element of an array of object, at run time, there is always a type check to guarantee that the runtime type of the definition of the elements of the array is greater or equal to the instance being assigned to the element. In the above example, because the runtime type of the array is array of string, the first assignment of array elements is valid because string = string and the second is invalid because string = object. This leads to the conclusion that, although arrays have always been covariant, they are not safely covariant – code that compiles is not guaranteed to run without errors. In C#, the way to define that a generic type parameter as covariant is using the out generic modifier: public interface IEnumerable<out T> { IEnumerator<T> GetEnumerator(); } public interface IEnumerator<out T> { T Current { get; } bool MoveNext(); } Notice the convenient use the pre-existing out keyword. Besides the benefit of not having to remember a new hypothetic covariant keyword, out is easier to remember because it defines that the generic type parameter can only appear in output positions — read-only properties and method return values. In a similar way, the way to define a type parameter as contravariant is using the in generic modifier: public interface IComparer<in T> { int Compare(T x, T y); } Once again, the use of the pre-existing in keyword makes it easier to remember that the generic type parameter can only be used in input positions — write-only properties and method non ref and non out parameters. Because covariance and contravariance apply only to the generic type parameters, a generic type definition can have both covariant and contravariant generic type parameters in its definition: public delegate TResult Func<in T, out TResult>(T arg); A generic type parameter that is not marked covariant (out) or contravariant (in) is invariant. All the types in the .NET Framework where variance could be applied to its generic type parameters have been modified to take advantage of this new feature. In summary, the rules for variance in C# (and .NET) are: Variance in type parameters are restricted to generic interface and generic delegate types. A generic interface or generic delegate type can have both covariant and contravariant type parameters. Variance applies only to reference types; if you specify a value type for a variant type parameter, that type parameter is invariant for the resulting constructed type. Variance does not apply to delegate combination. That is, given two delegates of types Action<Derived> and Action<Base>, you cannot combine the second delegate with the first although the result would be type safe. Variance allows the second delegate to be assigned to a variable of type Action<Derived>, but delegates can combine only if their types match exactly. If you want to learn more about variance in C# (and .NET), you can always read: Covariance and Contravariance in Generics — MSDN Library Exact rules for variance validity — Eric Lippert Events get a little overhaul in C# 4, Afterward: Effective Events — Chris Burrows Note: Because variance is a feature of .NET 4.0 and not only of C# 4.0, all this also applies to Visual Basic 10.

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  • SPARC T4-4 Delivers World Record Performance on Oracle OLAP Perf Version 2 Benchmark

    - by Brian
    Oracle's SPARC T4-4 server delivered world record performance with subsecond response time on the Oracle OLAP Perf Version 2 benchmark using Oracle Database 11g Release 2 running on Oracle Solaris 11. The SPARC T4-4 server achieved throughput of 430,000 cube-queries/hour with an average response time of 0.85 seconds and the median response time of 0.43 seconds. This was achieved by using only 60% of the available CPU resources leaving plenty of headroom for future growth. The SPARC T4-4 server operated on an Oracle OLAP cube with a 4 billion row fact table of sales data containing 4 dimensions. This represents as many as 90 quintillion aggregate rows (90 followed by 18 zeros). Performance Landscape Oracle OLAP Perf Version 2 Benchmark 4 Billion Fact Table Rows System Queries/hour Users* Response Time (sec) Average Median SPARC T4-4 430,000 7,300 0.85 0.43 * Users - the supported number of users with a given think time of 60 seconds Configuration Summary and Results Hardware Configuration: SPARC T4-4 server with 4 x SPARC T4 processors, 3.0 GHz 1 TB memory Data Storage 1 x Sun Fire X4275 (using COMSTAR) 2 x Sun Storage F5100 Flash Array (each with 80 FMODs) Redo Storage 1 x Sun Fire X4275 (using COMSTAR with 8 HDD) Software Configuration: Oracle Solaris 11 11/11 Oracle Database 11g Release 2 (11.2.0.3) with Oracle OLAP option Benchmark Description The Oracle OLAP Perf Version 2 benchmark is a workload designed to demonstrate and stress the Oracle OLAP product's core features of fast query, fast update, and rich calculations on a multi-dimensional model to support enhanced Data Warehousing. The bulk of the benchmark entails running a number of concurrent users, each issuing typical multidimensional queries against an Oracle OLAP cube consisting of a number of years of sales data with fully pre-computed aggregations. The cube has four dimensions: time, product, customer, and channel. Each query user issues approximately 150 different queries. One query chain may ask for total sales in a particular region (e.g South America) for a particular time period (e.g. Q4 of 2010) followed by additional queries which drill down into sales for individual countries (e.g. Chile, Peru, etc.) with further queries drilling down into individual stores, etc. Another query chain may ask for yearly comparisons of total sales for some product category (e.g. major household appliances) and then issue further queries drilling down into particular products (e.g. refrigerators, stoves. etc.), particular regions, particular customers, etc. Results from version 2 of the benchmark are not comparable with version 1. The primary difference is the type of queries along with the query mix. Key Points and Best Practices Since typical BI users are often likely to issue similar queries, with different constants in the where clauses, setting the init.ora prameter "cursor_sharing" to "force" will provide for additional query throughput and a larger number of potential users. Except for this setting, together with making full use of available memory, out of the box performance for the OLAP Perf workload should provide results similar to what is reported here. For a given number of query users with zero think time, the main measured metrics are the average query response time, the median query response time, and the query throughput. A derived metric is the maximum number of users the system can support achieving the measured response time assuming some non-zero think time. The calculation of the maximum number of users follows from the well-known response-time law N = (rt + tt) * tp where rt is the average response time, tt is the think time and tp is the measured throughput. Setting tt to 60 seconds, rt to 0.85 seconds and tp to 119.44 queries/sec (430,000 queries/hour), the above formula shows that the T4-4 server will support 7,300 concurrent users with a think time of 60 seconds and an average response time of 0.85 seconds. For more information see chapter 3 from the book "Quantitative System Performance" cited below. -- See Also Quantitative System Performance Computer System Analysis Using Queueing Network Models Edward D. Lazowska, John Zahorjan, G. Scott Graham, Kenneth C. Sevcik external local Oracle Database 11g – Oracle OLAP oracle.com OTN SPARC T4-4 Server oracle.com OTN Oracle Solaris oracle.com OTN Oracle Database 11g Release 2 oracle.com OTN Disclosure Statement Copyright 2012, Oracle and/or its affiliates. All rights reserved. Oracle and Java are registered trademarks of Oracle and/or its affiliates. Other names may be trademarks of their respective owners. Results as of 11/2/2012.

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  • How do I pitch ASP.NET over PHP to a potential client?

    - by roman m
    I work at a Microsoft shop doing mainly web development. We had a client who asked us to review (improve) the data model for his web app, but said that he wants to develop his app in PHP (he knows "a guy" who can do it). When I asked him why he wants to go with PHP, he gave me the standard set of arguments from the 90's: Microsoft is evil, and PHP is free Writing an ASP.NET app is more expensive (software-wise) Why would Facebook use PHP if it was a bad idea? [classic] He had a few more comments about the costs associated with going .NET. The truth is that "Microsoft is expensive" does not hold water any longer, with their "Express" suite, you can develop an ASP.NET app without paying anything for software. When it comes to hosting, you can save a few bucks with PHP over .NET, but that's a small fraction of the projected development costs (we quoted 10-15k). Going back to my question, what arguments would I give to a client in favor of ASP.NET over PHP? [please provide sources for quantitative claims]

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  • Where should a programmer explain the extended logic behind the code?

    - by SRKX
    I have developed a few quantitative libraries in C# where it is important to understand not only the classic information that goes with the XMLDoc comments (which contains basic information with the method signature) but also the mathematical formulas being use within the methods. Hence I would like to be able to include extended documentation with the code, which could contain, for example Latex formulas, graphs, and so on. Do you think such information should be included in the API documentation? Or should it be included in a dev blog for examples? Are there common tools that are usually used for this kind of purposes?

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  • JVM performance test suite

    - by pierr
    Hi, I have just ported phoneME to our MIPS platform. I feel it runs not that fast; however, is there any performance test suite I can run against to get some quantitative measurement of the performance? I might need to pick some weak points for optimization. In addition, what are common criterions used to evalute a JVM ?

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  • What's the (memory) footprint of a J2EE servlet?

    - by Amr Mostafa
    For Jetty, Tomcat, or any other servlet container of your choice, what's the average footprint (memory, and any other notable resources) of a basic servlet? This includes any other basic objects that you almost always need per servlet, such as a view resolver. I'm not looking for a quantitative number in particular, but any indicative answer that could give an idea of how "heavy" or "lightweight" a servlet is. Thanks in advance

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  • Photoshop CS6 beta - functionality

    - by Biker John
    Is Photoshop beta cs6 full featured, or is just a preview of SOME of the new functions? I want to make sure before I remove my cs5 version. There are two contradictions that are making me unsure (as written on the official cs6 beta download page): Explore Photoshop CS6 beta for a sneak preview of some of the incredible performance enhancements, imaging magic, and creativity tools we are working on... AND Photoshop CS6 beta includes all the features in Photoshop CS6 and Photoshop CS6 Extended. Take this opportunity to try out the 3D image editing and quantitative image analysis capabilities of Photoshop Extended*, but note that—while these features will be included in the shipping version of Photoshop CS6 Extended—they will not be included in the shipping version of Photoshop CS6...

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  • How much packet loss is normal?

    - by Fabian
    I started monitoring our network using SmokePing. Users occasionally complain about bad network connections, but the problems went away after some minutes usually. I now wanted to get some more quantitative information about those problems. SmokePing regularly pings servers inside our network, in a connected network and outside hosts. I only have a limited amount of control over our internal network and none at all for the connection to the outside and to the second network. I now see quite often (2-4 times a day) that packets to the second network and the outside are dropped. Most of the times it is 1-2 packets out of 20, sometimes more. Inside our internal network no packets are dropped. Is this an expected amount of packet loss, or does it indicate that something is wrong? I'm mainly wondering if I should bother the university IT department about it, or if I should just accept it as it is.

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  • What Gets Measured Gets Managed

    - by steve.diamond
    OK, so if I were to claim credit for inventing that expression, I guess I could share the mantle with Al Gore, creator of the Internet. But here's the point: How many of us acquire CRM systems without specifically benchmarking several key performance indicators across sales, marketing and service BEFORE and AFTER deployment of said system? Yes, this may sound obvious and it might provoke the, "Well of course, Diamond!" response, but is YOUR company doing this? Can you define in quantitative terms the delta across multiple parameters? I just trolled the Web site of one of my favorite sales consultancy firms, The Alexander Group. Right on their home page is a brief appeal citing the importance of benchmarking. The corresponding landing page states, "The fact that hundreds of sales executives now track how their sales forces spend time means they attach great value to understanding how much time sellers actually devote to selling." The opportunity is to extend this conversation to benchmarking the success that companies derive from the investment they make in CRM systems, i.e., to the automation side of the equation. To a certain extent, the 'game' is analogous to achieving optimal physical fitness. One may never quite get there, but beyond the 95% threshold of "excellence," she/he may be entering the realm of splitting infinitives. But at the very start, and to quote verbiage from the aforementioned Alexander Group Web page, what gets measured gets managed. And getting to that 95% level along several key indicators would be a high quality problem indeed, don't you think? Yes, this could be a "That's so 90's" conversation, but is it really?

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  • Is there a measure of code rot?

    - by DarenW
    I'm dealing, again, with a messy C++ application, tons of classes with confusing names, objects have pointers into each other and all over, longwinded Boost and STL data types, etc. (Pause and consider your favorite terror of messy legacy code. We probably have it.) The phrase "code rot" oft comes to mind when I work on this project. Is there a quantitative way to measure code rot? I wouldn't expect anything highly meaningful or scientific, since no other measure of code productivity or quality is so fine. I'm not looking for a mere opposite of measures of code quality, but specifically a measure of how many bad things happened after a series of maintenance software "engineers" have had turns hacking at the code. A general measure applying to any language, or many languages, would be great. If there's no such thing, at least for C++, which is a better than average language for creating messes. Maybe something involving a measure of topology of how objects connect during runtime, a count of chunks of commented out code, how mane files a typical variable's usage is scattered over, I don't know... but surely now, a decade into the 21st Century, someone has attempted to define some sort of rot measure. It would be especially interesting to automate a series of svn checkouts, measure the "rottenosity" of each, and plot the decay over time.

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  • Python in Finance by Yuxing Yan, Packt Publishing Book Review

    - by Compudicted
    Originally posted on: http://geekswithblogs.net/Compudicted/archive/2014/06/04/python-in-finance-by-yuxing-yan-packt-publishing-book-review.aspx I picked Python in Finance from Packt Publishing to review expecting to bore myself with complex algorithms and senseless formulas while seeing little actual Python in action, indeed at 400 pages plus it may seem so. But, it turned out to be quite the opposite. I learned a lot about practical implementations of various Python modules as SciPy, NumPy and several more, I think they empower a developer a lot. No wonder Python is on the track to become a de-facto scientist language of choice! But I am not going to compromise the truth, the book does discuss numerous financial terms, many of them, and this is where the enormous power of this book is coming from: it is like standing on the shoulders of a giant. Python is that giant - flexible and powerful, yet very approachable. The TOC is very detailed thanks to Packt, any one can see what financial algorithms are covered, I am only going to name a few which I had most fun with (though all of them are covered in enough details): Fama*, Fat Tail, ARCH, Monte-Carlo and of course the volatility smile! I am under an impression this book is best suited for students in Finance, especially those who are about to join the workforce, but I suspect the material in this book is very well suited for mature Financists, an investor who has some programming skills and wants to benefit from it, or even a programmer, or a mathematician who already knows Python or any other language, but wants to have fun in Quantitative Finance and earn a few buck! Pure fun, real results, tons of practical insight from reading data from a file to downloading trade data from Yahoo! Lastly, I need to complement Yuxing – he is a talented teacher, this book could not be what it is otherwise. It is a 5 out of 5 product. Disclaimer: I received a  free copy of this book for review purposes from the publisher.

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  • Information about how much time in spent in a function, based on the input of this function

    - by olchauvin
    Is there a (quantitative) tool to measure performance of functions based on its input? So far, the tools I used to measure performance of my code, tells me how much time I spent in functions (like Jetbrain Dottrace for .Net), but I'd like to have more information about the parameters passed to the function in order to know which parameters impact the most the performance. Let's say that I have function like that: int myFunction(int myParam1, int myParam 2) { // Do and return something based on the value of myParam1 and myParam2. // The code is likely to use if, for, while, switch, etc.... } If would like a tool that would allow me to tell me how much time is spent in myFunction based on the value of myParam1 and myParam2. For example, the tool would give me a result looking like this: For "myFunction" : value | value | Number of | Average myParam1 | myParam2 | call | time ---------|----------|-----------|-------- 1 | 5 | 500 | 301 ms 2 | 5 | 250 | 1253 ms 3 | 7 | 1268 | 538 ms ... That would mean that myFunction has been call 500 times with myParam1=1 and myParam2=5, and that with those parameters, it took on average 301ms to return a value. The idea behind that is to do some statistical optimization by organizing my code such that, the blocs of codes that are the most likely to be executed are tested before the one that are less likely to be executed. To put it bluntly, if I know which values are used the most, I can reorganize the if/while/for etc.. structure of the function (and the whole program) to optimize it. I'd like to find such tools for C++, Java or.Net. Note: I am not looking for technical tips to optimize the code (like passing parameters as const, inlining functions, initializing the capacity of vectors and the like).

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  • Where to look for challenging jobs with a relaxed atmosphere?

    - by RBTree
    I'm a dev at one of the big-name tech companies. I like the job for many reasons: I do interesting work on a cool product I solve challenging problems and use a lot of high-level skills (quantitative, creative, writing, presenting) It pays well The problem is that I feel I need a more relaxed atmosphere (shorter hours, less performance pressure, and more flexibility), in order to free up time for other pursuits and reduce stress. The ideal would be a job that's around 30-35 hours a week, where there is flexibility to work more or less in a given week. Can anyone suggest where to look for a job like this, where I wouldn't have to sacrifice too much on the above points? (Obviously I would have to sacrifice pay.) My employer does not generally offer part-time employment. The closest thing I can think of is when I did summer internships at my university's CS department. The work was very intellectually challenging, but if I needed to go home a couple hours early or get flexibility on a due date, nobody batted an eyelash. However, I'd like to find out if there are alternatives to academia since from what I've seen the pay there is a gigantic drop from what I'm currently making. I've done freelance development before, but I do like that as an employee of a large company I have a lot of things taken care of for me (e.g. benefits and guaranteed stable employment).

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