[R-SIG-Finance] Fwd: smart updates and rolling windows

[ngottlieb at marinercapital.com]

Brad:

Not sure if this is relevant to your interest however to get some new
insights
Into complex event streaming take a look at Streambase.

http://www.streambase.com

Interesting product might give you new insights.

Neil 

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Bradford
Cross
Sent: Saturday, September 29, 2007 10:14 PM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Fwd: smart updates and rolling windows

Greetings R'ers!

I have been looking for mathematics libraries for event stream
processing / time series simulation.  Mathematics libraries for event
stream processing require two key features; 1) "smart updates"
(functions use optimal update algorithms, f.ex. once mean is calculated
for an event stream, the subsequent calls to the function are computed
using previous values of mean rather than by brute force
re-calculation), 2)  "rolling calculations"
(functions take a lag parameter for sample size, f.ex. mean of last 100
events.)

I found a couple simple summary statistics implemented like this in the
zoo package.  I have also found implementations for smart updates in
some other languages (apache commons math, and BOOST accumulators) but
these only supports accumulated calculations, not rolling calculations.

I have built libraries for this before, and I am currently working on a
new version - but before I reinvent the wheel I am trying to find some
folks in the community with similar interests to collaborate with.

My personal use for this is financial time series analysis, so I am
interested in  implementing these high-performance algorithms for
classical statistics, robust statistics, regression models, etc.

Best!

/brad

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