Conditional Graph Factorization October 23, 2019 Harshad Deo 3 minutes read Conditional Graph Factorization is a submodule of the SimianQuant code generator that generalizes the concept of calibration. Given a sequence of partitions of the domain, it factorizes the full computational graph into a sequence of subgraphs conditional on the respective partition and the inferred codomain of the previous subgraph. This article illustrates the principle and some applications.
Technical Indicators using SimianQuant May 14, 2019 Harshad Deo 4 minutes read The SimianQuant library provides a Fluent API on top of its symbolic engine to implement functions with feedback. Technical indicators are a classic example of the usage of this pattern. This article presents the results of benchmarking the generated implementations (in C++) of common indicators.
Graph Compression Applied to Quantitative Finance March 19, 2019 Harshad Deo 6 minutes read The sequence of operations that convert input to output can be visualized as a graph. Graph compression is the family name for a suite of SimianQuant algorithms that rewrite the computational graph to reduce the time and/or memory required.