smart updates and rolling windows

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 Barth?l?my
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
Envoy??: mardi 2 octobre 2007 12:42
??: 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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| These are commonly refered to as "event-engines" and now come call 
| themselves, Complex Event Engines:
| 
| The biggest providers are:
| 
| http://www.progress.com/index.ssp
| http://www.coral8.com/                          [this one has a free trial 
| version on the web]
| http://www.streambase.com/
| http://www.aleri.com/

Any comments from past or current users of these?  

Dirk

Three out of two people have difficulties with fractions.