Welcome to Haskell Financial Data Modeling and Predictive Analytics. You will start with the most distinctive features of the language, then go through the data collection process with parsing, cleansing and archiving, and then come directly to data analysis and manipulation. You will learn a set of basic financial models that are commonly used in the industry and how they can be implemented in Haskell. At the end of the book you will learn deterministic parallelism and compiler-driven stream fusion optimization.
Chapter 1, Getting Started with the Haskell Platform, discusses a little bit of Haskell history, how to get the Haskell platform installed, and walks through a quick tour of the main features of the language.
Chapter 2, Getting your Hands Dirty, covers the first step of any data analytics project; that is, getting an input data into an appropriate database. You will learn how to write parsers in combinator style, how to work with databases by means of Persistent ORM, and how to establish outlier detection procedures to cut off erroneous data.
Chapter 3, Measuring Tick Intervals, is the most mathematical chapter, as you will learn point processes that are models of orders arriving from exchanges. It also covers the property-based test framework, QuickCheck.
Chapter 4, Going Autoregressive, covers a classical autoregressive model of intertick duration, and finds out how to use Haskell stream fusion to achieve near-C performance of the calibration code.
Chapter 5, Volatility, covers one of the most successful volatility model of financial mathematics–Generalized Autoregressive Conditional Heteroskedasticity. Haskell's approach to parallel computations is explained, and a divide-and-conquer metaalgorithm is shown in practice.
Chapter 6, Advanced Cabal, explains the main approach to packaging, building, and maintaining dependencies of Haskell projects.
Appendix, References, contains references for the topics in the book, and explains them in greater details.
In order to run most of the examples in this book you will need only Windows, Linux, or Mac OS X installed. All the needed software will be installed with the Haskell platform installer.
For Chapter 2, Getting your Hands Dirty, you will need an installation of one of the RDBMS: Sqlite, MySql, PostgreSQL, MongoDB, or CouchDB.
Developers who are working in finance and would like to know how functional programming might be applied in the area will find this book of great use. Preliminary knowledge of Haskell is welcomed but is not required.
In this book, you will find a number of styles of text that distinguish between different kinds of information. Here are some examples of these styles, and an explanation of their meaning.
Code words in text are shown as follows: "The trace of the program is written into the .tix files."
A block of code is set as follows:
parProduct :: Num a => [a] -> a
parProduct [] = 1
parProduct [x] = x
parProduct xs = (right `using` rpar) * left
where
n = length xs `div` 2
(leftL, rightL) = splitAt n xs
left = product leftL
right = product rightLWhen we wish to draw your attention to a particular part of a code block, the relevant lines or items are set in bold:
[default]
exten => s,1,Dial(Zap/1|30)
exten => s,2,Voicemail(u100)
exten => s,102,Voicemail(b100)
exten => i,1,Voicemail(s0)Any command-line input or output is written as follows:
$ ./QuickTestsFull +++ OK, passed 100 tests. +++ OK, passed 100 tests. +++ OK, passed 100 tests. +++ OK, passed 100 tests.
New terms and important words are shown in bold. Words that you see on the screen, in menus or dialog boxes for example, appear in the text like this: "clicking on the Next button moves you to the next screen".
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