Python for Quant Finance

From Advanced Analytics to

Deployment via the Browser
!
Yves Hilpisch
!
Paris, 22. April 2015
 Dr. Yves J. Hilpisch is the founder and managing partner of
The Python Quants, a group focusing on the use of Open
Source technologies for Quant Finance and Data Science.
!
He is the author of "Python for Finance" (O'Reilly, 2014) and
"Derivatives Analytics with Python" (Wiley, 2015).
!
Yves lectures on computational finance at the CQF Program
(http://cqf.com) and Saarland University.
Dr. Yves J. Hilpisch
!
He is organizer of Meetup groups and conferences about
The Python Quant
Python and Open Source for Quant Finance in Frankfurt,

yves@tpq.io Berlin, London and New York.

! !
http://hilpisch.com
! Yves is a regular speaker at Python and other technology
@dyjh
conferences as well as at Quant Finance conferences.
I. Our Market and The Problem
II. How We Solve The Problem
III. Concrete Use Cases
 Mega Trends
Some mega trends that influence quant finance

Dynamic communities evolve Todays standard is open source,

to professional networks. even for key technologies.

Complex analytics work flows are More and more data sets are
coded in the browser. open and free.

Infrastructure is a standardized Even individuals can trade real-

commodity, billed by the hour. time and with high leverage.
 Open Source Data Science
OS languages dominate data science these days

fastest
growing

Poll data from August 2014. Source: http://www.kdnuggets.com

 Python as Strategic Platform
Python plays an important role in the open source ecosystem
 Python's readable syntax, easy integration with
C/C++, and the wide variety of numerical computing tools
make it a natural choice for financial analytics.
!
It's rapidly becoming the de-facto replacement for a
patchwork of languages and tools at leading financial
institutions.
!
Kirat SinghCo-Founder, President and CTO
Washington Square Technologies
 Adoption in Finance
The biggest financial players have already adopted Python

Quartz is Bank of America Merrill Lynchs integrated trading, position

management, pricing and risk management platform. Its the fact that
Quartz uses Python, a remarkably flexible programming language, that
enables it to work so well for such a large development community.

Athena is J.P. Morgan's cross-market risk management and trading system.

Athena includes a globally replicated object-oriented database, a
powerful dependency graph, and a fully integrated stack across pricing, risk
and trading tools. The code is a combination of Python, C++, and Java:

AQR Capital Management is looking for innovative and passionate

developers to design and implement AQRs proprietary research and
production systems. The successful candidate is comfortable working in
the quantitative space and has an aptitude for mathematics. Code using
primarily Python (and some C#).

We are seeking a data engineering software engineer to join our team.

Our data engineers are the backbone of Two Sigmas information-gathering
mission. Experience using several different programming languages such
as Java, Groovy, and Python.
 Open Source Revolution
Both in the front and back end OSS revolutionizes finance

FRONT END BACK END

In the front end, open source software In the back end, open source software
revolutionizes how quantitative analysts and revolutionizes how analytics workflows and
developers work on a daily basis. financial applications are deployed and scaled.

DigitalOcean is a simple and fast cloud hosting

provider built for developers. Customers can
create a cloud server in 55 seconds, and pricing
plans start at only $5 per month for 512MB of
RAM, 20GB SSD, 1 CPU, and 1TB Transfer.
 The Problem
Obstacles to using Python & Open Source for Quant Finance

Open Source Vendors & Partners Libraries

fast changing almost no Python for for financial analytics
environment Quant Finance experts mainly missing

Tools & Processes Deployment Maintenance

no real standards, complex, costly, how to update,
isolated applications only lengthy, risky maintain infrastructure?

Diverse End Users Training Start

computer & data scientists how to train and where and how to
as well as domain experts re-train people? start, who to talk to?
I. Our Market and The Problem
II. How We Solve The Problem
III. Concrete Use Cases
 The Python Quants
We are uniquely positioned to solve the problem

Products Services & Training Community

Technology Consulting, Development Conferences,
& Books & Training Meetups & Web

Eurex Advanced Services For Python Quants

Quantshub Training Python for Quant Finance

 The Python Quants
Our current focus and value proposition

Current Focus Business Model

Front end (tooling) Similar to Red Hat:
& financial libraries strong partner for OSS

The software is free. The

subscription is invaluable.
Red Hat customers enjoy
the latest security fixes,
award-winning support,
and committed product
life cycles.

Future Focus
Back end deployment
& scaling
 Python Quant Platform
Paradigms in data analytics (as we see it) and where we fit in

!
1. Generation: Move Data Around data analytics started by moving data
from one place to another, analyzing it locally and moving results back to
the remote data source

2. Generation: Move Code Around moving tons of data is costly and time
consuming; moving small code sets is faster and less costly

3. Generation: Don't Move Anything the Browser and Web technologies

allow to work directly and in real-time on the infrastructure where data
and code are stored (replacing remote ssh/ftp access and emulating
desktop experience)
 Python Quant Platform
Browser-based, collaborative financial and data analytics

The Python Quant Platform offers

Web-based, scalable, collaborative
financial analytics as well as
rapid financial engineering and
application deployment for
individuals, teams and companies.
Easily deploy it anywhere via Docker
containers & browser-based access.
!
http://trial.quant-platform.com
 Python Quant Platform
It integrates all that is needed for modern data analytics

IPython Notebook GUI-based File Management Linux & IPython Shell

"Absorb what is useful, discard what is not, and add what is uniquely your own.Bruce Lee

Code Editing Chat & Forum Resource Control

 Python Quant Platform
Multiple languages, flexible infrastructure and collaboration

Python & More Cloud & Dedicated Users & Collaboration

Full-Fledged Linux-based Accounts, Rights, Sharing
Python Stack Infrastructure and Security

NumPy, SciPy, pandas, PyTables

h5py, matplotlib, IPython, PQP can be even deployed on the
numexpr Cython LLVM, LLVMpy smallest DigitalOcean droplet for Using the unique, decade long
Numba, Scikit-learn, many more 5 USD per month. User registration developed and matured user
in 30 seconds, client-specific deployment and rights & role management
in 30 minutes. of Linux as the basis
! (bottom-up approach)
PQP can be deployed on dedicated !
servers in a data center or Adding standardised features
on client premisedirectly or based for team sharing and public sharing.
on Docker containers.
 Application Development
You can manage projects and edit all typical file types

Project File Management Python Application Logic

Example:!
Flask Web!
HTML Content Application CSS Styling
 Application Deployment
Your applications can then be directly deployed on the platform

The Python Quant Platform is

based on standard Linux
servers. This allows you to
Example:!
Flask Web! easily deploy Web- and
browser-based applications on
Application

any kind of infrastructureboth

for internal and external users.
!
Link to Flask Application
 DX Analytics
Python-based library for financial, derivatives & risk analytics

DX Analytics is the first Python-

based financial analytics library
implementing advanced
derivatives and risk analytics
approaches. It is open source,
easily expandable and simple to
integrate. Its strengths lie in
simulation-based analytics.
!
http://dx-analytics.com
 Python for Quant Finance Books
Providing know-how, guidance and use cases

Python for Finance teaches the

use of Python for financial
analytics and financial
applications (cf. O'Reilly).
!
Derivatives Analytics with Python
teaches quant finance with self-
contained implementations in
Python (cf. Wiley).
 Python for Quant Finance Communities
Organizing conferences and community events

Conferences OUR PARTNERS Meetup Groups

225 in New York in 2014 Thomson Reuters 600+ members in London
165 in London in 2014 Bloomberg (biggest group of its kind)
! Fitch Learning 225+ in New York
Planned 2015 Pivotal 210+ in Berlin
Frankfurt, New York, !
London, Asia Planned 2015
Frankfurt
 Our Product & Service Platform
All products & services together build an integrated offering

Use
DEXISION from!
DX Analytics on PQP
PQP
Client
Books projects &!
explaining DX deployments
Analytics

Community events
using PQP
Book Codes!
on PQP
Trainings using PQP

Trainings based on
books

THE PYTHON QUANTS GROUP

I. Our Market and The Problem
II. How We Solve The Problem
III. Concrete Use Cases
 Concrete Use Cases
From local advanced analytics to large scale deployments

Derivatives Analytics Analytics in the Cloud Quant Platform

Doing financial analytics Jupyter Notebook server Developing and deploying
with DX Analytics in Docker container in the browser

The application uses Python, pandas,

plotly and Flask to retrieve historical
stock price data (from Yahoo! Finance)
and to visualize the data as an
interactive D3.js plot.

Link to HTML version Link to server Link to application

Link to HTML5 slides version Github repository Github repository

 Quant Platform Takeaways
!
Being better and faster
in financial analytics and engineering.
!
Interactively prototype, collaborate on and share
Python, R, Julia, -based analytics workflows and
applications across your organization.
!
Benefit from books, consulting, support and training
from the Python for Quant Finance experts.
!
Be part of the global Python for Quant Finance
Community.
 Upcoming Events
!
28. April 01. May in New York
For Python Quants Bootcamps & Conference
http://forpythonquants.com
!
05. June in Frankfurt
Open Source for Quant Finance
http://osqf.tpq.io
!
[Contact me for discount codes.]
The Python Quants GmbH
!
Dr. Yves J. Hilpisch
!
http://tpq.io | @dyjh
yves@tpq.io | yves.hilpisch