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  1. Book ; Online: Using and Adapting ROOT for High-frequency Financial Market Data

    Debie, Philippe / Naumann, Axel / Verhulst, Marjolein / Pennings, Joost / Rembser, J. / Demirel, Serdar / Moneta, L.

    2022  

    Keywords Life Science
    Publishing country nl
    Document type Book ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  2. Article ; Conference proceedings ; Online: Measuring Spillover Events on a Millisecond Scale using a High Energy Physics Methodology

    Debie, P.M.M. / Pennings, J.M.E. / Verhulst, M.E. / Tekinerdogan, B. / Catal, C. / Moneta, Lorenzo / Rembser, J. / Naumann, Axel

    2023  

    Keywords Life Science
    Language English
    Publishing country nl
    Document type Article ; Conference proceedings ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  3. Book ; Online: Automatic Differentiation of Binned Likelihoods With Roofit and Clad

    Singh, Garima / Rembser, Jonas / Moneta, Lorenzo / Lange, David / Vassilev, Vassil

    2023  

    Abstract: RooFit is a toolkit for statistical modeling and fitting used by most experiments in particle physics. Just as data sets from next-generation experiments grow, processing requirements for physics analysis become more computationally demanding, ... ...

    Abstract RooFit is a toolkit for statistical modeling and fitting used by most experiments in particle physics. Just as data sets from next-generation experiments grow, processing requirements for physics analysis become more computationally demanding, necessitating performance optimizations for RooFit. One possibility to speed-up minimization and add stability is the use of Automatic Differentiation (AD). Unlike for numerical differentiation, the computation cost scales linearly with the number of parameters, making AD particularly appealing for statistical models with many parameters. In this paper, we report on one possible way to implement AD in RooFit. Our approach is to add a facility to generate C++ code for a full RooFit model automatically. Unlike the original RooFit model, this generated code is free of virtual function calls and other RooFit-specific overhead. In particular, this code is then used to produce the gradient automatically with Clad. Clad is a source transformation AD tool implemented as a plugin to the clang compiler, which automatically generates the derivative code for input C++ functions. We show results demonstrating the improvements observed when applying this code generation strategy to HistFactory and other commonly used RooFit models. HistFactory is the subcomponent of RooFit that implements binned likelihood models with probability densities based on histogram templates. These models frequently have a very large number of free parameters and are thus an interesting first target for AD support in RooFit.

    Comment: 6 pages, 5 figures, 21st International Workshop on Advanced Computing and Analysis Techniques in Physics Research
    Keywords Computer Science - Mathematical Software ; Statistics - Computation ; G.4 ; J.2
    Subject code 005
    Publishing date 2023-04-04
    Publishing country us
    Document type Book ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  4. Article ; Online: The Analysis of High-Frequency Finance Data using ROOT

    Debie, P. / Verhulst, M.E. / Pennings, J.M.E. / Tekinerdogan, B. / Catal, C. / Naumann, A. / Demirel, S. / Moneta, L. / Alskaif, T. / Rembser, J. / Van Leeuwen, P.

    Journal of Physics: Conference series

    2023  Volume 2438, Issue 1

    Abstract: High-frequency financial market data is conceptually distinct from high energy physics (HEP) data. Market data is a time series generated by market participants, while HEP data is a set of independent events generated by collisions between particles. ... ...

    Abstract High-frequency financial market data is conceptually distinct from high energy physics (HEP) data. Market data is a time series generated by market participants, while HEP data is a set of independent events generated by collisions between particles. However, there are similarities within the data structure and required tools for data analysis, and both fields share a similar set of problems facing the increasing size of data generated. This paper describes some of the core concepts of financial markets, discusses the data similarities and differences with HEP, and provides an implementation to use ROOT, an open-source data analysis framework in HEP, with financial market data. This implementation makes it possible to take advantage of the rich set of features available in ROOT and extends research in finance.
    Keywords Life Science
    Language English
    Publishing country nl
    Document type Article ; Online
    ZDB-ID 2166409-2
    ISSN 1742-6596 ; 1742-6588
    ISSN (online) 1742-6596
    ISSN 1742-6588
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  5. Article ; Conference proceedings ; Online: A framework to measure the impact of limit orders on the quoted price using particle physics tools

    Debie, P.M.M. / Pennings, J.M.E. / Tekinerdogan, B. / Catal, C. / Demirel, S. / Verhulst, M.E. / Alskaif, T.A. / van Leeuwen, M.P. / Moneta, Lorenzo / Rembser, J. / Naumann, Axel

    2022  

    Keywords Life Science
    Language English
    Publishing country nl
    Document type Article ; Conference proceedings ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  6. Article ; Conference proceedings ; Online: Using ROOT to analyse High-Frequency Finance Data

    Debie, P.M.M. / Naumann, A. / Pennings, J.M.E. / Tekinerdogan, B. / Catal, C. / Rembser, J. / Verhulst, M.E. / van Leeuwen, M.P. / Moneta, L. / Alskaif, T.A.

    2021  

    Keywords Life Science
    Language English
    Publishing country nl
    Document type Article ; Conference proceedings ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  7. Article: International Collaboration Aspects

    Rembser, J.

    1992  , Page(s) 899–929

    Keywords Internationale Zusammenarbeit ; Energiegewinnung ; Energieverbrauch ; Energiequelle ; Umweltbelastung ; Umweltbeeintraechtigung ; Kernenergie ; Energieeinsparung ; Forschungsfoerderung ; Elektrizitaetserzeugung ; Technologiepolitik
    Language English
    Document type Article
    Database OPAC and Environmental database (ULIDAT) of The Federal Environment Agency (UBA)

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  8. Article: Die Integration der west- und osteuropäischen wissenschaftlichen Gemeinschaften

    Rembser, Josef

    Euroscientia forum : European science and technology forum 1997,October = Nr. 0, S. 40-57

    Gedanken über das deutsche Beispiel

    1997  

    Author's details Josef Rembser
    Keywords Forschungseinrichtung ; Technologiepolitik ; Industrieforschung ; Wirtschaftliche Anpassung ; Ostdeutschland
    Language German
    Size Graph. Darst
    Publisher Office for Official Publications of the European Communities
    Publishing place Luxembourg
    Document type Article
    Note Sprache der Zusammenfassung: Englisch ; Sprache der Zusammenfassung: Französisch ; The integration of the West and East European scientific communities
    ZDB-ID 1412818-4
    Database ECONomics Information System

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  9. Article: Das 4. Atomprogramm der Bundesrepublik Deutschland für die Jahre 1973-76

    Rembser, J

    Atomwirtschaft - Atomtechnik : atw ; offizielles Fachblatt der Kerntechnischen Gesellschaft e.V. Vol. 18, No. 4 , p. 162-167

    1973  Volume 18, Issue 4, Page(s) 162–167

    Author's details J. Rembser
    Keywords Atomenergiepolitik ; Deutschland
    Publisher Verl. Handelsblatt
    Publishing place Düsseldorf
    Document type Article
    ZDB-ID 6033-1
    Database ECONomics Information System

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