It's interesting you asked because I notice many shops increasingly use Matlab for the models development. They told me that they chose Matlab for the shorter development time. They can convert to C++ using Matlab compiler. What is your take on Matlab, Dominic ?

Matlab is indeed getting a good share of model development. Banks vary a lot in how they see it as adding value to a Cv. Zero if they don't use it, and some see it as rather like someone bragging that they are "really good at doing charts in Excel". But there is a market for people who know it well and can do finance. We are seeing the emergence of a market for it as a distinct skill like C++, VBA etc. But like anything else you put on your CV, it' ,laying down a challenge to be asked hard questions on it. We do have a requirement going for a serious Matlab guru at a tier one bank, though I set an expectation with them, that "someone will turn up before Christmas, probably". Deep Matlab skills are quite rare. So far we've found precisley one newbie at this level, and the fight over who hired him was nasty enough that I found it appropriate to give him personal counselling on the issue. We see Matlab as promising enough that we're starting to build a relationship with the firm itself.

we use matlab quite often for daily research because of its built-in function and convenience, but switch to C++ for formal use.

matlab vs SAS for data analysis While doing some research on which software is more suited for large scale data analysis, I came across this discussion which I found useful. It compares Matlab vs SAS

SAS is deeper than just a programming language, the documentation for the usages and functionalities are endless. At work, we occasionally use SAS/IML (Interactive Matrix Language). If you want a identity matrix or zero matrix, than its I and j(n,n,0). There are some guys here 10 years and still learning new things with SAS.

I agree that SAS document is just way too much for one to master. Matlab is much easier to learn. Also, Amazon is selling the SAS documents that you can download from SAS website for free I like the SAS PROC pretty much. So Jonathan, how did you get your dataset ? Is it local or remotely ? I couldn't get the work machine to connect to our SQL server so I'll bring my laptop over and try again tomorrow.

Well, I access the Oracle DB in Unix using Putty. The SAS code has some preliminary commands to get access the datasets, (its typically a libname statement with pswd and usrname). If there is too much traffic on the system then I just export the datasets that I need to my PC using the WinSCP tool.

Nice input. I did SAS/ACCESS with libname and pass-through but it complained about ODBC driver not found. The database I'm dealing with is 100GB in size and updated everynight so download it locally is not an option. SAS/CONNECT to a SAS server to run batch job would be nice but we don't have a SAS server set up yet. I'll try to connect it from my laptop tomorrow and see what happen. In any case, I probably talk to you soon. I'm interested in learning more about the SAS tricks you know

SAS is very powerful in terms that you can do virtually everything. Although, it might not be the most efficient way I would vote for SAS, but keep an eye on S-Plus as well. Actually, we could try to compare SAS and S-Plus, rather than SAS and Matlab, since, in my opinion, SAS and Matlab are designed to do different things.

While you're at it, toss in R. GNU R is the free/open-source equivalent to S-plus and I hear it's pretty competitive in terms of useful functionality. In any case, for any sort of stuff I want to do at home, I suppose I'll -have- to learn R since the price is right.

After talking to Jonathan, it turns out that my SAS does not have the license to use SAS/ACCESS interface to SQL server. Running this will display all the licensed components installed on your machine Code (C++): proc setinit; run;

While looking for a comparison between R/SPlus/SAS/Matlab, I came across this from wilmot http://www.wilmott.com/messageview.cfm?catid=8&threadid=54251 It's from a NYU MF student. There are some good info, the least of it is that they use Excel/VBA to do hw at NYU

By the they, are there any thoughts about having a course in SAS/S-Plus? Half semester in SAS, half in S-Plus. Part of the course could be devoted to learning SAS and databases, which seems to be a very important.

I would consider SPlus and R are in the same category, except S-Plus needs a commercial license. In addition, S-Plus is more powerful when you add finmetric (a separate module) for financial modeling. I do not have much experience with Matlab. I use Mathematica. SAS is very powerful for statistical analysis. I think data mining in SAS is the best due its powerful Enterprise Date Miner. If SAS is a superset then S-Plus is closing the rank.

I'm gonna try to see if Matlab can handle huge amount of data tomorrow. I read a bit about all different modules in Matlab and it seems very capable.