[R-SIG-Finance] Finance Benchmarks/Workload

Brian G. Peterson brian at braverock.com
Sun Aug 3 17:53:35 CEST 2008

"huge amounts of data and computation" doesn't say much.  You still 
haven't told the list what it is you are trying to do with your system 
so that we can give you *relevant* benchmarks.  Descriptive things like 
"building a Markowitz portfolio optimizer for 4000 instruments" or 
"calculating daily risk capital for a bank on 200,000 positions" or 
"conducting intra-day pricing on 2000 monitored municipal bonds" or 
"performing Monte Carlo risk calculations on 3 million simulated 
portfolios"etc.  All of my toy examples here have very different 
computational and data requirements. Without more clarity on what you 
are trying to do, we don't have enough information to give you relevant 
benchmark numbers.


    - Brian

Imanpreet wrote:
> Hello Brian,
>                     If you could /still /provide any pointers for the 
> benchmarks or workloads :). Do tell if you need any more info?
> Regards,
>           Imanpreet Singh Arora
> On Fri, Jul 25, 2008 at 1:01 AM, Imanpreet <imanpreet at gmail.com 
> <mailto:imanpreet at gmail.com>> wrote:
>     Hello Brian,
>                 I am working on porting R to a new architecture which
>     would be most optimized only when we are benchmarking it with huge
>     amounts of data and computation. So, I will be more interested
>     towards benchmarks or workloads which would be sufficiently
>     complex.. Could you provide some pointers for the same?
>     TIA
>     Regards,
>               Imanpreet Singh Arora
>     On Thu, Jul 24, 2008 at 9:35 PM, Brian G. Peterson
>     <brian at braverock.com <mailto:brian at braverock.com>> wrote:
>         Imanpreet wrote:
>                             Could anyone point out any existing
>             benchmarks or workloads
>             for R, specifically targeting financial applications?
>         That's a pretty vague request.
>         I've got functions that run in microseconds, and some portfolio
>         optimizations that take hours.
>         I'm aware of organizations that use huge clusters to do
>         financial analysis with R.
>         Perhaps you could be a little more specific about what you are
>         trying to benchmark?
>         Regards,
>          - Brian

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