dimanche 27 novembre 2016

L'effet Trump

Avec le passage du temps et l'expérience, il y a forcément de moins en moins souvent des événements surprenants pour nous dans le monde merveilleux de la finance. Nous rappelons au passage que la notion de «cygne noir» dépend du niveau d’information et de la mémoire du sujet, et bien sûr de sa capacité de raisonnement (je pense à la jolie expression «connect the dots»).
La surprise est donc ici l’effet, net et immédiat, de l’élection de Donald Trump sur les taux d’intérêts autour du globe. Ses promesses de déficits supplémentaires ont fait bondir les taux des obligations du trésor US, sur toutes les durées (de 2 à 30 ans). Du côté des durées courtes, les marchés semblent penser que la Fed aura désormais moins de scrupules à relever ses taux.
Ce qui est surprenant (pour nous) est la rapidité de la propagation de ce bond (du trésor 😏 ) sur les autres marchés, dans d’autres monnaies. Par exemple, voici les taux hypothécaires d’une banque régionale suisse :




Étonnant, non ?
A voir si «l'effet Trump» est le début de quelque chose de durable et marque un véritable tournant.
Nous y reviendrons dans un prochain billet.

dimanche 13 novembre 2016

GID release #06 - with Recurve, a chart data recovery tool

GID means Generic Image Decoder, a free, open-source library that can be found here.

The latest release features a couple of new application examples, among them a tool called Recurve for retrieving data from an image with plotted curves. Typically you come across a chart on a web site and would like to get the corresponding data, for reworking them in Excel - perhaps you want to spot specific values, or compare two curves that were not originally on the same chart, or use the data for further calculation. Sometimes the data is not available from the web site - and even less if the chart is from a PDF or a scanned newspaper page.

Fortunately, Recurve will do the painful job of retrieving the data points for you. It will detect gridlines and filter them out, then track the curves by matching their respective colours.

An example here:
Mortgage rates in Switzerland - 2004 to now. Chart is from the Comparis web site

mardi 8 novembre 2016

Zip-Ada v.52 - featuring LZMA compression

In case you missed it, there is a new version of Zip-Ada @ http://unzip-ada.sf.net .

Actually, these are two successive versions: v.51 with a basic LZMA encoder, v.52 with a more advanced one.
The shift from v.50 to v.51 ensured 52 steps up in the Squeeze Chart benchmark, although the LZ part remained identical and the new "MA" part is a simple, straightforward encoder which comes in replacement of our sophisticated Taillaule algorithm for the Deflate format. This shows just how much the LZMA format is superior to Deflate.
Then, from v.51 to v.52, there were 45 more steps upward. This is due to a combination of a better-suited LZ algorithm, and a refinement of the "MA" algorithm - details below.

* Changes in '51', 27-Aug-2016:
  - LZMA.Encoding has been added; it is a standalone compressor,
      see lzma_enc.adb for an example of use.
  - Zip.Compress provides now LZMA_1, LZMA_2 methods. In other words, you
      can use the LZMA compression with Zip.Create.
  - Zip.Compress has also a "Preselection" method that selects
      a compression method depending on hints like the uncompressed size.
  - Zip.Compress.Deflate: Deflate_1 .. Deflate_3 compression is
      slightly better.

The LZMA format, new in Zip-Ada on the encoding side, is especially good for compressing database data - be it in binary or text forms. Don't be surprised if the resulting archive represent only a few percents of the original data...
The new piece of code, LZMA.Encoding, has been written from scratch. This simple version, fully functional, holds in only 399 lines, after going through J-P. Rosen's Normalize tool.
It can be interesting for those who are curious about how the "MA" part of that compression algorithm is working.
The code can be browsed here.

* Changes in '52', 08-Oct-2016:
  - UnZip.Streams: all procedures have an additional (optional)
      Ignore_Directory parameter.
  - Zip.Compress has the following new methods with improved compression:
      LZMA_3, Preselection_1 (replaces Preselection), Preselection_2.
      Preselection methods use now entry name extension and size for
      improving compression, while remaining 1-pass methods.

For those interested about what's happening "under the hood", LZMA.Encoding now computes (with floating-point numbers, something unusual in compression code!) an estimation of the predicted probabilities of some alternative encodings, and chooses the most probable one - it gives an immediate better local compression. Sometimes the repetition of such a repeated short-run improvement has a long-run positive effect, but sometimes not - that's where it's beginning to be fun...

mardi 1 novembre 2016

AZip 2.0

The version 2.0 of AZip is out!

    URL: http://azip.sf.net/

AZip is a Zip archive manager.

The latest addition is an archive recompression tool.

AZip's recompression tool's results - click to enlarge
Some features: 

    - Multi-document (should be familiar to MS Office users)
    - Flat view / Tree view
    - Simple to use (at least I hope so ;-) )
    - Useful tools:
        - Text search function through an archive, without having to extract files
        - Archive updater
        - Integrity check
        - Archive recompression (new), using an algorithm-picking approach for improving a zip archive's compression.
    - Encryption
    - Methods supported: Reduce, Shrink, Implode, Deflate, Deflate64, BZip2, LZMA
    - Free, open-source
    - Portable (no installation needed, no DLL, no configuration file)

"Under the hood" features:

    - AZip is from A to Z in Ada :-)
    - Uses the highly portable Zip-Ada library
    - Portablity to various platforms: currently it's fully implemented with GWindows (for Windows), and there is a GtkAda draft, but anyway the key parts of the UI and user persistence are generic, platform-independent

Enjoy!

Avindex 1.0, the Big Mac(ron) edition

Stock markets celebrated the election of Emmanuel Macron with VIX (implied volatility index) close to record lows, below 10. On the big...