Sessions at FP Days 2013 about F# forĀ finance

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Friday 25th October 2013

  • Early Warning Indicators in F#

    by Stephen Channell

    This is a case study of a live F# application for real-time early warning indicators of Liquidity Risk.

    EWI used an F# Excel expression parser and computational expressions to generate a Cell network in memory that triggered indicator calculations from market events, that percolated up to RAG status changes.

    The EWI model demonstrates features of F# that enabled rapid development:

    • FSYacc/FSLex parser/interpreter/generator for Excel expression handling
    • Computational Expression usage for type-inferred calculations
    • F# integration with proprietary analytics & Excel function library

    At 1:15pm to 2:00pm, Friday 25th October

  • Excel coding errors are destroying world economies and F# (with Tsunami) is here to stop them!

    by Matthew Moloney

    Ever wish you could code Excel with a Functional Programming Language (F#) instead of VBA?

    Excel has over 400M users all over the world from many backgrounds including business, finance, and governments. On average large spreadsheets have over 12 substantial coding errors. A perfect example of this is the Reinhart-Rogoff paper (Growth in the time of Debt) where a trivial coding error helped them make the case for austerity around the world.
    In this presentation I will demonstrate how to prevent such errors while taking advantage of the rest of the .Net ecosystem by bridging the worlds of Excel and .Net with F#.

    I will give rapid fire demonstrations of
    * Big Data;
    * Data Science;
    * Cloud Computing;
    * GPGPU; and
    * Compiling F# Excel UDFs.
    All from within Excel.

    At 1:15pm to 2:00pm, Friday 25th October