A few of us are interested in developing financial applications using Julia.
In the latter part of 2015, I established JuliaFinance as an intentionally distinct GitHub organization. It’s remained mostly dormant since then largely because I’ve been with / founded 3 different insurtech startups during this time and each one had different takes on open source (plus I’ve been crazy busy as a serial entreprenuer ).
What is the difference between JuliaQuant and JuliaFinance?
The question has recently come up, so I thought I’d address it here. I am not an economist although I’ve worked with many of them, but I don’t think I’d go out on a limb to say that QuantEcon is to Economics what QuantFinance is to Finance. Adding a “Quant” prefix to both of them is almost redundant since both are so heavily quantitative in nature anyway.
However, in the world of finance, the standalone word “Quant” is short for “Quantitatve Analyst” and has some very specific connotations. I would define a “Quant” as a highly-skilled (usually having advanced degrees in maths / physics / engineering / finance) finance professional who is primarily interested in the numerical modeling of derivatives or other complex financial instruments with the ultimate goal of supporting trading activity. Trading acivity support can come from a broad range of areas including time-series analysis, arbitrage pricing, risk management, trading algorithms etc. There are several types of quants all satisfying this broad description and here is a decent description of some of them (just found via Google )
So I see JuliaQuant as an organization for “Quants” or those interested in learning about “Quant” stuff.
However, quantitative finance is much more than just about what quants do, so JuliaFinance is intended to be more encompassing.
For example, the first repo contributed to JuliaFinance comes from @fengyang.wang’s (a.k.a. TotalVerb’s) Currencies.jl. Currencies.jl is a nice building block since every financial package should involve currencies in some form.
I recently split out the key module from Currencies to CurrenciesBase. There remain some modules in Currencies pertaining to baskets of currencies and valuation of currencies via market exchange rates that are useful for more general portfolios than just currency baskets so I see these modules being split into separate portfolio / market-based packages at some point and then CurrenciesBase being renamed back to Currencies and will focus on currency as a unit of measure (which is the purpose of CurrenciesBase).
The second package contributed to JuliaFinance recently is DayCounts.jl by myself and @simonbyrne. DayCounts is another foundation package needed for pricing fixed-income securities among other things.
There is no clear roadmap at this time, but the general direction I would like to go with JuliaFinance pertains to issues of relevance to a global financial institution starting with accounting and financial reporting following by balance sheet projections for strategic planning and risk management.
Personally, my primary interest is capital management including asset and liability management with a focus on insurers and asset managers. I also like the philosphy of a company called OpenGamma, which is an open-source trading and risk management platform. I think most of what we build in Julia can and should be open source with revenue opportunities in the form of SaaS and consulting.
I am not a member of JuliaQuant, but I actually see some value in combining forces and maybe moving the JuliaQuant stuff into JuliaFinance and I’m happy to make the owners of JuliaQuant owners of JuliaFinance as well (and some probably already are). Up to you obviously There is a chance Julia Computing will open source Miletus.jl, but then a question will be “Which organization? JuliaQuant or JuliaFinance”. My preference would be to put it in JuliaFinance, but if JuliaQuant still exists as a separate organization, it may make more sense to put it there, which I would consider slightly unfortunate, but not the end of the world
I am excited about the opportunities ahead for bringing Julia to the world of quantitative finance including quantitative analysis as well as insurance and wealth management