Open Source Technology in Fintech

Join us for an evening of presentations on Python, R and F# by leading fintech experts and stay for apero afterwards. This event is being held in collaboration with AdNovum at their offices. Below are details on topics and abstracts.

(1) Financial Time Series Analysis with Python and R

by Yves J. Hilpisch

Abstract

This talk illustrates how Python in combination with the pandas library makes financial time series analysis efficient, fast and fun. In addition, it illustrates how easy Python interacts with R to access its more advanced statistical capabilities. All examples are based on an interactive Jupyter Notebook in which both the Python and R codes are executed.

Speaker Bio

Dr. Yves J. Hilpisch is founder and managing partner of The Python Quants (http://tpq.io), a group focusing on the use of open source technologies for financial data science, algorithmic trading and computational finance. He is the author of the books „Python for Finance“ (O’Reilly, 2014), „Derivatives Analytics with Python“ (Wiley, 2015) and „Listed Volatility and Variance Derivatives“ (Wiley, forthcoming). Yves lectures on computational finance at the CQF Program (http://cqf.com) as well as on data science at htw saar (http://htwsaar.de). He has written the financial analytics library DX Analytics (http://dx-analytics.com) and organizes meetups and conferences about Python for quantitative finance in Frankfurt, London and New York.

(2) F# on GPUs for Quant Finance

by Dr. Daniel Egloff

Speaker Bio

Dr. Daniel Egloff is partner of InCube Group and Managing Director of QuantAlea, a Swiss software engineering company specialized in GPU software development. He studied mathematics, theoretical physics and computer science and worked for almost 20 years as a quant and software architect.

(3) Financial apps with Excel & Python

by Felix Zumstein

Abstract

While Excel offers an intuitive user interface, it has many deficiencies, VBA just being one of them. xlwings is an open-source library which allows to write Excel automation scripts, macros and user defined functions with Python instead of VBA. This talk gives a rundown of what xlwings can offer and how it can greatly enhance speed and reliability of spreadsheet models by relying on the Python ecosystem for numerical computing.

Speaker Bio

Felix is founding partner of Zoomer Analytics GmbH, a Zürich based consultancy for financial apps and the company behind xlwings. Before that, he was a director at UBS Global Asset Management where he was responsible for building an in-house system to analyze and optimize the strategic asset allocation of institutional and private clients. He holds a Master’s degree in Finance and Economics from the University of St.Gallen and is a CFA charterholder.