Introduction to Programming

Transcription

1 Introduction to Programming G. Bakalli March 8, 2017 G. Bakalli Introduction to Programming March 8, / 33

2 Outline 1 Programming in Finance 2 Types of Languages Interpreters Compilers 3 Programming language C++ Python R Julia 4 Comparison 5 Version control GitHub G. Bakalli Introduction to Programming March 8, / 33

3 Administrative Information Contact details Gaetan Bakalli Uni Mail M3209 Exercise session date: Thursday 22/2, 1/3, 8/3, 22/3 M 5220 Wednesday 7/3, 21/3, M 2130 Reception hours: Thursday Uni Mail M 3209 (need appointment by ) Page of Olivier Scaillet.htm Courses: Quantitative Risk Management G. Bakalli Introduction to Programming March 8, / 33

4 Programming in Finance Why learning programming in finance? Increasing demand for IT skills in the financial industry mostly due to increasing complexity in the models and the quantity of data available. Fundamental Analyst: Use statistical analysis to make forecast. Commodities: Supply and demand models. Fixed Income - Currency (FIC): Macro-economic model are derived from statistical theory. Equity: Financial modelling (Price-to-Earning, Dividend yield,...) Trading: 60% of market volume of US trading comes from algorithms. Execution: Most of the trading volume is now executed by algorithm (VWAP, TWAP, PVOL,...). Strategies: Fundamental (see above) and technicals (Trend-Following, Mean-Reverting, Statistical Arbitrage,...) are implemented through programming languages. G. Bakalli Introduction to Programming March 8, / 33

5 Programming in Finance Why learning programming in finance? Risk Analyst: Determine the aggregate risk and stress test of a portfolio using i.e. Extreme Value Theory and/or Copula. Derivative Analyst: Increasing complexity in derivatives contract makes Excel useless to price them. Strategist: Asset allocation done via quantitative rule (Risk-Parity, Black-Litterman, Constant-Weighting,...) are automated. G. Bakalli Introduction to Programming March 8, / 33

6 Types of Languages Talking to a Computer In order to talk to a computer, you must speak its dialect. The dialect though is normally in 1 s and 0 s (or binary). G. Bakalli Introduction to Programming March 8, / 33

7 Types of Languages Interpreters What is an Interpreter? An interpreter is a program that translates a high-level language into a low-level one, but it does it at the moment the program is run. So, the interpreter takes the source code, one line at a time, and translates each line before executing it. Every time the program runs. Think of like a person providing a real time translation to a conversation. Source Code Interpreter Output Input G. Bakalli Introduction to Programming March 8, / 33

8 Types of Languages Compilers What is a Compiler? A compiler takes source code tries to optimize it before converting it into machine language once. After it is done compiling, the code can then be ran again and again without ever needing to be recompiled. So, a compiler is like an editor who is asked to look over a paper. If it thinks something can be better, then it will take the initiative and implement that option. Source Code Compiler Machine Code Input Executable Program Output G. Bakalli Introduction to Programming March 8, / 33

9 Which language to pick? A lot of different language are used, so we are going to focus on 4: G. Bakalli Introduction to Programming March 8, / 33

10 C++ G. Bakalli Introduction to Programming March 8, / 33

11 C++ C ++ C ++ is a general-purpose, Intermediate level and multi-paradigm programming language. general-purpose: Designed to create software in a variety of application domain. Intermediate-level: Mix between High-level language, that allows programmer to write programs that are more or less independent of a particular type of computer (language with strong abstraction), and Low-level language that provides little or no abstraction from a computer s instruction set architecture-commands or functions. multi-paradigm language allows the programer to code in different paradigm which are: Imperative Generic Object-Oriented (OOP) G. Bakalli Introduction to Programming March 8, / 33

12 C++ C ++ a language for computer scientist C ++ is hard to pick-up as a first programming language. The learning curve is steep and the language is not appropriate for data analysis (it os not his main purpose). However it has several advantages that could be of interest: It is much faster than the 3 other. When you can program in C ++, you can easily pick one of the other (which is not the case if you learn i.e. Python and want to translate you code in C ++ ). In conclusion, C ++ is sometimes needed, but the burden to learn it is to big. But, we have a solution for that, which we ll see later G. Bakalli Introduction to Programming March 8, / 33

13 Python G. Bakalli Introduction to Programming March 8, / 33

14 Python Python Python is a general-purpose, high-level and multi-paradigm programming language, but with different paradigm which are: Structural Functional Object-Oriented (OOP) Python is available on Advantage Open source (No Licence needed). Increasing number of package available (with continuous development and support) Popular within the financial industry. Modular: Great for larger project. Good for OOP G. Bakalli Introduction to Programming March 8, / 33

15 Python Libraries Libraries for data Analysis: numpy: array and matrix library scipy: scientific libraries matplotlib: visualization pandas: data frames scikit-learn: statistical modelling and machine learning Best way to install those libraries and much more available on Anaconda This platform provide also great tools for Distributed computing (components of a program are shared among multiple computers to improve efficiency and performance). High Performance computing (use of super computers and parallel processing techniques for solving complex computational problems). G. Bakalli Introduction to Programming March 8, / 33

16 Python Output and presentation The ipython framework (included in the Anaconda package) widely used for presentation... G. Bakalli Introduction to Programming March 8, / 33

17 Python Jupyter notebook and IPython Jupyter notebook is web app designed to program in Python directly from the web (available for R and Julia too). You can convert the output in a lot of different format (HTML, Latex, PDF, Markdown). The Jupyter notebook connects to a kernel (which contains the language in which you are writing). Some good example of notebooks applied to statistics and finance can be found on notebooks. G. Bakalli Introduction to Programming March 8, / 33

18 Python Which IDE? PyCharm widely used for larger scale project. (Available on G. Bakalli Introduction to Programming March 8, / 33

19 R G. Bakalli Introduction to Programming March 8, / 33

20 R What is R? R is a high-level language designed specifically for statistical computing and graphics. It s open source and cross-platform. R is available on The R Project for Statistical Computing website Advantage Easy to pick-up and improve. Best in class regarding available package. Open-source. Extensive support within the R community with R-Blogger but also Stackoverflow. G. Bakalli Introduction to Programming March 8, / 33

21 R Packages It exists more than 7, 000 packages in R! here Some of them are great, but be careful, you may use some of them without really understanding what you are computing. Here are some you may find useful: ggplot2: visualization (much better than Python s matplotlib!) Most of packages applied to finance available on MASS: Great for basic statistical analysis. G. Bakalli Introduction to Programming March 8, / 33

22 R RStudio View Available via G. Bakalli Introduction to Programming March 8, / 33

23 Julia G. Bakalli Introduction to Programming March 8, / 33

24 Julia Julia Julia is also general-purpose, high-level and dynamic (class of high-level programming languages which, at runtime, execute many common programming behaviours that static programming languages perform during compilation) programming language. It has been specifically designed for parallel and distributing computing. Julia is the newcomer in the High-level language universe (developed recently at the MIT). G. Bakalli Introduction to Programming March 8, / 33

25 Julia Juno View G. Bakalli Introduction to Programming March 8, / 33

26 Comparison Speed Comparison G. Bakalli Introduction to Programming March 8, / 33

27 Comparison Utilisation How are those languages used in finance? R mostly for analysis/quick and dirty code to test validity of a method. Python to prototype and develop proper software. C ++ for speed of computation. Julia is new so not much used, but very promising in term of speed and ease of use. G. Bakalli Introduction to Programming March 8, / 33

28 Comparison Which one to chose? Good news is, we don t have to chose: Integration between those language exist: Rcpp package link R and C ++. Rjulia. RPython. ctypes to link C and Python. Boost.Python link C ++ and Python. PyCall link Python to Julia G. Bakalli Introduction to Programming March 8, / 33

29 Version control Versioning Versioning is an important part of software development: It allows to track the change we made in the program and test the newly created functions. The currently most used tool for versioning is GitHub. GitHub Version control repository used to have: Commits history. Issue tracking. Pull requests. notifications and many more... Install GitHub Create an account on G. Bakalli Introduction to Programming March 8, / 33

30 Version control GitHub Create a repository G. Bakalli Introduction to Programming March 8, / 33

31 Version control GitHub Create a repository G. Bakalli Introduction to Programming March 8, / 33

32 Version control GitHub Create a repository G. Bakalli Introduction to Programming March 8, / 33

33 Version control GitHub Github Desktop G. Bakalli Introduction to Programming March 8, / 33