Hollywood Math
To showcase its mathematics software, a firm usually works through idealized examples from its client base. Sometimes, the firm will consider a real-life problem. The firm seldom turns to the silver screen for inspiration—yet that was the hook that drew in a webinar audience on June 19, 2013. Jonny Zivku, Product Manager at Maplesoft, provided an entertaining tour of Maple software (version 17), as applied to math problems encountered in the movies. Zivku quickly moved from a discussion of the basic math problem (13 X 7 = 28) encountered by Abbott and Costello in the 1941 classic In the Navy […]
Stress Testing: Part 2. The Next Generation
There are five key considerations for the “next generation” of financial stress testing, said Tom Kimner, Head of Americas Risk Practice & Global Risk Products at SAS. He was addressing a webinar audience on May 7, 2013 as the second speaker in a panel organized by the Global Association of Risk Professionals (GARP). Modern stress testing must be measured against the key considerations of performance, efficiency, completeness, transparency, and compliance. The goal of turning stress testing into an “early warning system seemed futuristic only a few years ago,” admitted Kimner at the outset of his talk. He contrasted the world […]
Analytical Tools to Gain Insight and Speed Up Numerical Analysis
“Symbolic computing can be a practical part of the solution to your problem,” said Deepak Ramaswamy, technical marketing manager at Mathworks. On January 8, 2013 he showed about three hundred participants via webinar how they could switch between analytical tools in a Notebook app to numerical analysis of the same problem in the MATLAB interface. He stepped his way through one “classic” and two “real-life” problems: the damped oscillator model; fuel consumption of a rocket-powered car; and kinematics of a double-jointed robot arm. The three problems can be written as systems of Ordinary Differential Equations (ODEs) and this was the […]
Mining Microeconomics Using MATLAB
Modelling the economics of an iron ore mine “is a complex task that can be made more reliable,” said David Willingham to a webinar audience on December 5, 2012. Willingham, an application engineer at Mathworks, was demonstrating how a typical mine’s economics could be modelled using MATLAB and then embedded within an Excel spreadsheet. Developing a mine involves significant capital expenditures and long time frames. Willingham aimed to take the audience through a good model that would take into account the microeconomics of a particular mining company, integrated with the macroeconomic environment, such as interest rates and iron ore prices. […]
Develop & Deploy Financial Models
“Focus on modelling, not programming,” urged Ameya Deoras, senior applications engineer at MathWorks. He was speaking during a webinar on December 3, 2012 about the use of MATLAB in the construction of financial models. Deoras’ talk covered four examples to varying depth during the hour. The first example, the calculation of the efficient frontier for large-cap stocks, allowed him to show the easy data importation from an ODBC-compliant database. Each step of the way he showed how the input could be visualized with a single click. If the data exist in a relational database (think tables and fields such as […]
Automated Trading with MATLAB
Stuart Kozola, product manager for computational finance at MathWorks, demonstrated examples of trading systems using MATLAB during a webinar on August 21, 2012. In the first half he discussed how to develop an automated trading decision engine. This meant identifying a successful trading rule, extending the trading rule set, and automating the trading rule selection. In the second half of the webinar he showed implementation of the automated trading, with a caveat that these would require testing prior to integration and execution in the real-life scenario. The worked problem involved Brent oil futures. The first challenge was to identify profitable […]
Tree Bagger & Tree Booster: MatLab for Data-Driven Fitting
Let’s say you want to create a predictive model without assuming an analytical form to the model. How would you go about it? On August 14, 2012, Richard Willey, Technical Marketing Manager at MathWorks, demonstrated via webinar how input data could be fit using machine-learning approaches. The emphasis here is data-driven, as opposed to model-driven, fitting. “A limitation of regression techniques is that the user must specify a functional form,” said Willey, and the choice of that model is usually based on the domain model. Typically the data points are fit with high-order polynomials or Fourier series. Or, the user might run the data […]
Real-Time Risk Analytics, SAS Style
“Analysts in capital markets get pummeled with vast quantities of information,” said Jeff Hasmann, “sometimes receiving as many as twenty newsfeeds per day. How are they to make sense of it all?” Hasmann was the first of three panelists speaking at the Global Association of Risk Professionals (GARP) webinar, “Modernizing Financial Risk Management: The Changing Technology Paradigm” on May 22, 2012. There is a push to modernize financial risk management from both above and below. Besides handling information overload, Hasmann noted there are several reasons to modernize: evolving regulations, improvements in efficiency to be gained, and needs for standardization. Hasmann, […]