This document discusses F# and its use for financial data analysis. It introduces Tomas Petricek and his work contributing to F# and authoring books on functional programming. It also discusses BlueMountain Capital, where Tomas worked briefly and where F# is used for trading strategies. The document then describes the F# Data Science Working Group and its libraries for data acquisition, cleaning, transformation, and visualization. Key libraries discussed are Deedle for exploratory data analysis and the F# R Provider for integration with R packages. Examples are provided demonstrating use of these libraries for understanding time series data and US debt. Support for the FsLab project is encouraged through contributions, feedback, and integration with other packages.

1. F# and Financial Data
Making Data Analysis Simple
Tomas Petricek, @tomaspetricek
Formerly at BlueMountain Capital

2. software stacks
trainings teaching F# user groups
mac and linux
snippets
cross-platform tutorials
F# Software
Foundation
F# community open-source MonoDevelop
http://www.fsharp.org
contributions research support
consultancy mailing list

3. Tomas & BlueMountain Capital
Tomas Petricek
BlueMountain Capital
Long-time F# contributor
New York & London offices
Real-World Functional
Programming author
Uses F# for implementing
systematic trading strategies
and for computing signals
that researchers and portfolio
managers look at to inform
investment decisions.
F# trainings in London & NYC
Worked at BMC for 3 months
on data science libraries

4. data acquisition
statistics
data cleaning machine learning
data transformation
visualization
type
F# Data Science Working
providers
Group data sources
kaggle vega grammar
presentation
www.fslab.org
R provider
time-series
visualization
data aggregation

5. www.fslab.org

6. Deedle
http://bluemountaincapital.github.io/Deedle/

7. Deedle is for…
(Exploratory) Data Analysis
Time-Series Analysis
Data Processing / Transformation
Data Cleaning
Statistics and Visualization,
via other packages

8. Deedle is…
Our third iteration
Easy-to-use from C# and F#
Well documented
Open Source
Ready for you to contribute

9. Deedle Concepts
Series
Key->Value mapping
Key is often date/time
Immutable
Supports missing values
LINQ-friendly

10. Deedle Concepts
Frame
(RowKey, ColKey)->Value
RowKey is often date/time
ColKey is often string
Heterogeneous Values
Column-wise mutable
Data alignment
Hierarchical indexing

11. F# RProvider
http://bluemountaincapital.github.io/FSharpRProvider/

12. DEMO #1
Understanding the world

13. Understanding the world
Deedle data frame
Data exploration
Alignment & aggregation
R type provider
Deedle frame interop
Time series interop (zoo)
Professional packages
(ggplot2, etc.)

14. DEMO #2
Working with time series

15. Working with time series
F# Charting library
Simple visualization
F# interactive support
Composable charts
Deedle time series
Standard statistics
Hierarchical indexing

16. DEMO #3
Understanding US debt

17. Understanding US debt
Deedle data frame
Exploring data
Data alignment
Vega visualizations
Pre-alpha stage
Wraps JS Vega library

18. FsLab needs you & you
need FsLab
Ready to use
Used & well tested
Created by experts
Contribute
Try it out & send feedback
Fig bugs & add features
Integrate with other packages
http://www.fslab.org

19. Want to learn more?
Public F# Trainings
10% off with SM2615-624680-TC1
www.skillsmatter.com
Custom trainings & consulting
Get in touch!
tomas@tomasp.net