London Financial Python User Group

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The London Financial Python User Group (affectionately, LFPUG) has been started in November 2009. Over the last several years, the Python/Numpy/Scipy toolset has steadily grown in popularity among quants. It now plays an important role in the trading and visualization systems throughout the financial industry. A number of London-based quants, traders, and other financial professionals have asked Enthought to set up a “Financial Python” user group.

Beginning in November 2009, Enthought started to organize a monthly event where people can meet and discuss Python’s use in the financial sector (best practices, new technologies, etc.).

If you’d like to be kept informed about the details of these events, join us on the LinkedIn group or contact Didrik ( dpinte@enthought.com ) by e-mail. There is a “high” traffic mailing list for those who are interested about getting the latest information.

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Table of Contents:

Next Meeting

* 19 March 2014 * Program:

• “An introduction to Backtesting”, Mike Halls-Moore, Quantstart

• “Common wisdom: community developed investment algorithms”, John Fawcett, Quantopian

• “PyXLL: Excel Python Integration”, Tony Roberts, PyXLL

* Places are strictly limited to 40 on a first come first served basis. To reserve your place please register here : http://lfpug.eventwax.com/london-finance-python-users-group-lfpug * Venue: Bank of America, 5 Canada Square, London E14 5AQ

Previous meetings

• 17 Oct 2012

  • Program:

    • “Moving an algo business from R and Java to Python”, Dennis Pilsworth, AHL, Man Group

    • “Financial data analysis in Python with pandas”, Wes McKinney

    • “Fostering Python Adoption within a Company”, Eric Jones, Enthought.

    • Venue: Man Group, Riverbank House, 2 Swan Lane London EC4R 3AD

• July 18th, 2012

  • Informal meeting around 7pm (on the first floor)

  • Location: Albion (http://www.thealbionlondon.com)

• March 14th, 2012

• Topics :

  • PyQL : a new set of wrappers around QuantLib

    • Design and technical details - Didrik Pinte, Enthought

    • Use cases : two-tier architecture for decision-support systems and reproducible research in the context of model validation, Patrick Henaff IAE Paris

  • An introduction to Quant DSL, John Bywater, Appropriate Software Foundation.

  • ENAML, a tool for building durable visual layers that hold up well under heavy use, Simon Jagoe, Enthought

• Location: Wilkins Haldane Room, at UCL on Gower Street - http://www.ucl.ac.uk/locations/ucl-maps/ucl-maps/map2_low_res

• May 10th, 2011

• Topics :

  • Using Python and Django for enterprise data migration, Richard House, I-Logue

  • line_profiler and runsnakerun, Ian Ozsvald

  • Numpy and Scipy for .NET project, Didrik Pinte, Enthought

  • CodeTools project : a series of modules for analysis and control of code execution, Didrik Pinte, Enthought

• Location: Apex London City hotel (No 1 Seething Lane, London EC3N 4AX) from 19.00 to 21.00 - Map

• January 17, 2011

• Topics :

  • Developing and Deploying Python applications on GPU Cloud Platforms, Suleiman Shehu, CEO of Azinta Systems

  • Black-box model validation with Python, Patrick Henaff

  • 5-minute lightning talk: Giles Thomas of Resolver Systems will introduce their new Python cloud spreadsheet, Dirigible

• Location:

  • Timetric Ltd ([www.timetric.com]), Second Floor, White Bear Yard, Clerkenwell Road 144a, London, EC1R 5DF. Google map

• September 15, 2010

• Topics :

  • Introduction to the Numpy for .NET project, by Didrik Pinte, Enthought

  • Faster Python math using pyCUDA, Ian Oswald, http://ianozsvald.com - blog post

  • A Web Application Stack for a Hedge Fund, Chris Withers, Simplistix/GLC - [http://groups.google.com/group/glcuk]

• Location:

  • Please, register before coming by sending a mail to Vincent Guffens ( vincent.guffens@ca-cib.com )

  • CRÉDIT AGRICOLE CIB LONDON BRANCH, Broadwalk House , 5, Appold St , EC2A 2DA, London

  • Ask room 8 at the reception

• June 23, 2010

• Topics :

  • Real time web and implementations with repoze.bfg and eventlet, by Ben Ford

    • Here are some links on what I was talking about in no particular order:

      • http://github.com/boothead/multivisor (slightly out of date but I’ll be updating it soon) http://vis.stanford.edu/protovis/ http://eventlet.net/ http://en.wikipedia.org/wiki/WebSockets http://www.zeromq.org/ and http://github.com/ellisonbg/pyzmq http://www.amqp.org/ and http://www.rabbitmq.com/

  • Sensitivity analysis of an option pricing model using Traits, Chaco and Mayavi, by Didrik Pinte, Enthought

• April, 13 2010

• Topics :

  • Working with Excel files by Chris Wither, Simplistix - (Full tutorial)

  • Integrating C/C++ libraries using Cython (ta-lib and gsl examples) by Didrik Pinte, Enthought

    • (Ta-lib blog post)

    • (GSL blog post)

• Location:

  • Smarkets Limited, 144a Clerkenwell Road, London EC1R 5DF

• March, 11 2010

  • Sto.cx helps you play around with ideas for share portfolios by Andrew, Timetric.

  • An integrated VAR calculation demo using :

    • Numpy memory maps and structured data-types

    • picloud, Cloud computing simplified

      • by Travis Oliphant, Enthought

  • Interactive Python graphics/visualisation with Excel (Blog post) by Didrik Pinte , Enthought

  • Cloud computing with Python and Excel (Blog post) by Didrik Pinte Enthought

• Feb 3, 2010 at 7pm

  • Improving NumPy performance with the Intel MKL (Blog post) - Didrik Pinte Enthought

  • Python to Excel bridges :

    • “PyXLL, a user friendly Python-Excel bridge” (Slides) - Tony Roberts :

    • Discussion on connecting Python and Excel (xlrd/xlwt, pyinex, win32com, pyxll, …)

  • Speeding up Python code using Cython (Blog post) - Didrik Pinte, Enthought

• Dec 14th, 2009 :

  • Resolver One, the Pythonic spreadsheet, and the open source Ironclad project, which lets you use NumPy from IronPython and thus from other .NET languages. - Giles Thomas - Resolver Systems

  • Reportlab’s framework for producing nice financial reports. - Andy Robinson - Reportlab

  • Chaco : a 2D interactive plotting application toolkit - Didrik Pinte, Enthought

• Nov 11th, 2009 : Didrik Pinte talked about pandas

Lightning talks

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• The target is to have between 2 to 5 ligthning talks per sessions. Talk duration between 5-10 minutes followed by 5-10 minutes Q&A.

• Suggestions are welcome, please do send them by e-mail to Didrik ( dpinte@enthought.com ).