[R-SIG-Finance] Matlab vs. R performance/convenience benchmarking for quantitative analysis business

[fjpcaballero at gmail.com]

Note that this benchmark appears to be using non-optimized BLAS libraries.  Speed of matrix operations should be comparable to Matlab when using ATLAS, Intel mkl, vecLib, or Goto.  Loops are a different story.  Even with Ra and JIT, R is a far cry from Matlab.

My personal take:

Pro Matlab: compact and clean syntax, good IDE and tooling, more efficient (e.g. pass by reference, loop optimization), some very good toolboxes not available elsewhere (eg CVX, Murphy's BBN toolbox)

Against Matlab: it is a pain to work with anything that doesn't look like a matrix; lags behind R in methods available, licensing costs

Pro R: (much) broader selection of methods -- at least in machine learning, survival analysis, and finance; named arguments in functions, easier to work with mixed data (eg dataframes), better statistics-oriented graphics (e.g. Lattice, ggplot), better interactive graphics [for my taste] (rggobi, iplots), licensing costs

Against R: performance issues previously discussed, pretty ugly code, lack of a good IDE -- all the ones I have tested lack an integrated debugger and profiler, steep learning curve.



On Oct 6, 2010, at 9:08 AM, <Samuel.Meichtry at bkw-fmb.ch> wrote:

> Hello everyone,
> 
> At the moment we are trying to decide which software to use for quantitative analysis and the following Link about performance doesn't really vote for R (http://mlg.eng.cam.ac.uk/dave/rmbenchmark.php).
> 
> I am not against Matlab and cannot say anything about its convenience because I haven't worked with it for a long time. On the other hand Matlab is already heavily used in other departments in our company and we have to tell our project committee why we would like to use R instead.
> 
> Now I am very interested to know why you are using R in your business and not Matlab?
> Or do you use both of them?
> 
> Thank you very much for your feedback!
> 
> 
> Kind regards,
> Samuel Meichtry
> 
> 
> ____________________________________________
> BKW FMB Energie AG
> Energy Trading
> Samuel Meichtry
> Analyst Energy Trading
> Tel +41 31 330 53 99
> Fax +41 31 330 56 16
> e-mail samuel.meichtry at bkw-fmb.ch
> 
> *  Sie drucken dieses E-Mail nicht aus? Die Umwelt dankt!
> 
> 
> 
> 
>    [[alternative HTML version deleted]]
> 
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.