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

[Sylvain BARTHELEMY]

Hi Rory,

I think that for a stream of continuous updates, and especially if you use
very high frequency data and would like to do intensive calculation, a
better choice than R would be C or C++.

Regards.

---
Sylvain Barthélémy
Research Director, TAC
www.tac-financial.com | www.sylbarth.com


-----Message d'origine-----
De : r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] De la part de Rory Winston
Envoyé : mardi 2 octobre 2007 12:42
À : r-sig-finance at stat.math.ethz.ch
Objet : [R-SIG-Finance] Fwd: smart updates and rolling windows

Hi Matt

Thats a great question - I was thinking about that issue this morning. Does
anyone know of a good algorithmic reference (in code or print) for
"windowed" or update-style algos, where an operation is performed on a
rolling window of data, that may be either (a) too large to fit into memory,
so it must be 'chunked', or (b) a stream of continuous data updates?

Cheers
Rory

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