41–50 of 72 posts
The only utility here is to study the design. Access to anything useful is behind GS specific data APIs via https://developer.gs.com/docs/gsquant/authentication/gs-sess...
This is bizarre over engineering: https://github.com/goldmansachs/gs-quant/blob/51a7ff1afb722c...
Cool to see some "bank Python" that Cal Paterson had described previously is now open source https://calpaterson.com/bank-python.html
Nah this looks pretty orthogonal to that. This just looks like a collection of pure python libraries for doing common quant work. The thing Cal Peterson is describing (which is pretty transparently JP Morgan's Athena) would be SecDB at Goldman and would be running on their proprietary scripting language called "Slang". None of that is open source. Goldman was the first place to do a system like that, and when it was…
Think eg. the comparison with the acumen of the adtech sector, which supports (among countless other things) the most used open source mobile OS, the most used open source web browser, the most sophisticated open source suites for machine learning etc. etc.
In fact a good reason why "adtech" is (absurdly) considered part of "big tech" is that no other business sector has managed to articulate a long-term sustainable digitization story.
The financial industry never considered a serious open source strategy to be aligned with their interests and that has painted the sector in increasingly narrower corners. Think eg. the comparison with the acumen of the adtech sector, which supports (among countless other things) the most used open source mobile OS, the most used open source web browser, the most sophisticated open source suites for machine learning…
- holiday calendars
- ex dividend dates
- interest rate curves
- real-time stock prices
- corporate actions database
Are there open source and free sources of the above? For the first two, sort of, for the remainder, no. And I'm sure I'm forgetting a number of other inputs.
This seems pretty basic, really just classes of common data structures used in finance. Closer to what you would expect for a final project for a undergrad in OOP course.
The financial industry never considered a serious open source strategy to be aligned with their interests and that has painted the sector in increasingly narrower corners. Think eg. the comparison with the acumen of the adtech sector, which supports (among countless other things) the most used open source mobile OS, the most used open source web browser, the most sophisticated open source suites for machine learning…
The problem is that the models (closed sourced or open source) only get you part of the way. For example, (to name just a few items) a stock option pricing model is useless without - holiday calendars - ex dividend dates - interest rate curves - real-time stock prices - corporate actions database Are there open source and free sources of the above? For the first two, sort of, for the remainder, no. And I'm sure I'm f…
Not to mention the real-time data which is, quite simply, catastrophically expensive. And that’s assuming the least sophisticated (retail) implementation of this stuff.
This seems pretty basic, really just classes of common data structures used in finance. Closer to what you would expect for a final project for a undergrad in OOP course.
https://github.com/goldmansachs/gs-quant/blob/master/gs_quan...