Specifically in managing arrays and time series such as stocks options and their underlying. I am working from scratch. So a "cookbook" would be nice. Must be in a commonly used format because I may be pursuing jobs across various industries in the future. So no kX systems and Q programming. Thanks in advance.
17 years old, 120 pages for $90 bucks. Crap! I go on dates with twice the age and half the cost. If I get this, you better look at my resume when I apply for an internship. JK...not.... Thanks.
My original post was after reading the thread title. Now that I see arrays and time series and options you dont really need a book you can look hdf5, scidb,teafiles or ask how a vendor (onetick, nanex, etc) stores their data. usually the analysis is done on some cluster/job scheduler Here's a project for anyone. Suppose I have a portfolio of options all the same underlying (ie. aapl or wti) I want to see the portfolio broken down into spreads (verticals, flys, straddles, ...). I was looking into a graph database for this
2rosy, just curious is this a real and/or common need? What does one do after such a breakdown? Maybe it is useful in figuring out how one would hedge the portfolio or break it down into a more manageable thingy? How big would the portfolio be? 1000s of Positions (market maker) or just < 20, say (individual trader). I am thinking of doing this just as an exercise, hence the questions. Of course, if it's actually useful, we can put it in a commercial product together
commonly used format? WHAT format? -- (spoiler: there is no commonly used format) You should start by learning what a database is; and the components to a database, like tables, table entry types (string, bigint, boolean, etc), how to add/remove entries, drop tables, etc. http://www.w3schools.com/sql/default.asp might be a good start to get the basics. THEN consider a OO programming language, like C++ or Java and learn how to connect to your database server (like SQL server or MySQL community server) and run queries and make updates programatically. (google is your friend) java hibernate: http://www.tutorialspoint.com/hibernate/
I dont think I have ever seen 1000s of positions on a single underlying but more than 20 yes. I dont think it would be viable as a commercial product; just useful to someone who has positions up/down a curve, strikes, etc
Technically, not a book. but its a free class on DB's from Stanford... https://www.coursera.org/course/db