Haskell Financial Data Modeling and Predictive Analytics — Save 50%
Get an in-depth analysis of financial time series from the perspective of a functional programmer with this book and ebook
This article by Pavel Ryzhov, the author of Haskell Financial Data Modeling and Predictive Analytics, gives a brief idea about the Haskell platform. The first version of Haskell was standardized in 1990. After a series of intermediate standards, the minimal, stable, and portable version of the language was published as "The Haskell 98 Report" in February 1999. This successful standard was revised in 2003 and published as "Haskell 98 Language and Libraries: The Revised Report". This is the most supported version of the language and it is implemented in many compilers and interpreters of Haskell. The latest specification, Haskell 2010, adds Foreign Function Interface (FFI) for binding to other programming languages, fixes some syntax issues, and introduces several pluggable language extensions. Throughout this article, we will use Haskell 2010.
(For more resources related to this topic, see here.)
So what is Haskell? It is a fast, type-safe, purely functional programming language with a powerful type inference. Having said that, let us try to understand what it gives us.
First, a purely functional programming language means that, in general, functions in Haskell don't have side effects. There is a special type for impure functions, or functions with side effects.
Then, Haskell has a strong, static type system with an automatic and robust type inference. This, in practice, means that you do not usually need to specify types of functions and also the type checker does not allow passing incompatible types. In strongly typed languages, types are considered to be a specification, due to the Curry-Howard correspondence, the direct relationship between programs and mathematical proofs. Under this great simplification, the theorem states that if a value of the type exists (or is inhabited), then the corresponding mathematical proof is correct. Or jokingly saying, if a program compiles, then there is 99 percent probability that it works according to specification. Though the question if the types conform, the specification in natural language is still open; Haskell won't help you with it.
The Haskell platform
The glorious Glasgow Haskell Compilation System, or simply Glasgow Haskell Compiler (GHC), is the most widely used Haskell compiler. It is the current de facto standard. The compiler is packaged into the Haskell platform that follows Python's principle, "Batteries included". The platform is updated twice a year with new compilers and libraries. It usually includes a compiler, an interactive Read-Evaluate-Print Loop (REPL) interpreter, Haskell 98/2010 libraries (so-called Prelude) that includes most of the common definitions and functions, and a set of commonly used libraries. If you are on Windows or Mac OS X, it is strongly recommended to use prepackaged installers of the Haskell platform at http://www.haskell.org/platform/.
Quick tour of Haskell
To start with development, first we should be familiar with a few basic features of Haskell. We really need to know about laziness, datatypes, pattern matching, type classes, and basic notion of monads to start with Haskell.
Haskell is a language with lazy evaluation. From a programmer's point of view that means that the value is evaluated if and only if it is really needed. Imperative languages usually have a strict evaluation, that is, function arguments are evaluated before function application. To see the difference, let's take a look at a simple expression in Haskell:
let x = 2 + 3
In a strict or eager language, the 2 + 3 expression would be immediately evaluated to 5, whereas in Haskell, only a promise to do this evaluation will be created and the value will be evaluated only when it is needed. In other words, this statement just introduces definition of x which might be used afterwards, unlike in strict language where it is an operator that assigns the computed value, 5 to a memory cell named x. Also, this strategy allows sharing of evaluations, because laziness assumes that computations can be executed whenever it is needed and therefore, the result can be memorized. It might reduce the running time by exponential factor over strict evaluation.
Laziness also allows to manipulate with infinite data structures. For instance, we can construct an infinite list of natural numbers as follows:
let ns = [1..]
And moreover, we can manipulate it as if it is a normal list, even though some caution is needed, as you can get an infinite loop. We can take the first five elements of this infinite list by means of the built-in function, take:
take 5 ns
By running this example in GHCi you will get [1,2,3,4,5].
Functions as first-class citizens
The notion of function is one of the core ideas in functional languages and Haskell is not an exception at all. The definition of a function includes a body of function and an optional type declaration. For instance, the take function is defined in Prelude as follows:
take :: Int -> [a] -> [a] take = ...
Here, the type declaration says that the function takes an integer as the argument and a list of objects of the a type, and returns a new list of the same type. Also Haskell allows partial application of a function. For example, you can construct a function that takes first five elements of the list as follows:
take5 :: [a] -> [a] take5 = take 5
Also functions are themselves objects, that is, you may pass a function as an argument to another function. Prelude defines map function as a function of a function:
map :: (a -> b) -> [a] -> [b]
map takes a function and applies it to each element of the list. Thus functions are first-class citizens in the language and it is possible to manipulate with them as if they were normal objects.
Data type is a core of a strongly typed language as Haskell. The distinctive feature of Haskell data types is that they all are immutable, i.e. after object constructed it cannot be changed. It might be weird on the first sight but in the long run it has few positive consequences. First, it enables computation parallelization. Second, all data are referentially transparent, i.e. there is no difference between reference to object and object itself. Those two properties allow compiler to reason about code optimization on higher level than C/C++ compiler can.
Let us consider the following data type definitions in Haskell:
type TimeStamp = Integer newtype Price = Price Double data Quote = AskQuote TimeStamp Price | BidQuote TimeStamp Price
There are three common ways to define data types in Haskell:
- The first declaration just creates a synonym for an existing data type and type checker won’t prevent you from using Integer instead of TimeStamp. Also you can use a value of type TimeStamp with any function that expects to work with an Integer.
- The second declaration creates a new type for prices and you are not allowed to use Double instead of Price. The compiler will raise an error in such cases and thus it will enforce the correct usage.
- The last declaration introduces Algebraic Data Type (ADT) and says that type Quote might be constructed either by data constructor AskQuote, or by BidQuote with time stamp and price as its parameters. Quote itself is called a type constructor.
Type constructor might be parameterized by type variables. For example, types Maybe and Either, quite often used standard types, are defined as follows:
data Maybe a = Nothing | Just a data Either a b = Left a | Right b
Type variables a and b can be substituted by any other type.
Type classes in Haskell are not classes like in object-oriented languages. It is more like interfaces with optional implementation. You can find them in other languages named traits, mix-ins and so on but unlike in them, this feature in Haskell enables ad-hoc polymorphism, i.e. function could be applied to arguments of different types. It is also known as function overloading or operator overloading. A polymorphic function can specify different implementation for different types.
In principle, type class consists of function declaration over some objects. Eq type class is a standard type class that specifies how to compare two objects of same type:
class Eq a where (==) :: a -> a -> Bool (/=) :: a -> a -> Bool (/=) x y = not $ (==) x y
Here Eq is the name of type class, a is a type variable and == and /= are the operations defined in the type class. This definition means that some type a is of class Eq if it has defined operation == and /=. Moreover, the definition provides default implementation of the operation /=. And if you decide to implement this class for some data type, you need provide the single operation implementation.
There are numbers of useful type classes defined in Prelude. For example, Eq is used to define equality between 2 objects; Ord specifies total ordering; Show and Read introduce a String representation of object; Enum type class describes enumerations, i.e. data types with null constructors. It might be quite boring to implement this quite trivial but useful type classes for each data type, so Haskell supports automatic derivation of most of standard type classes:
newtype Price = Price Double deriving (Eq, Show, Read, Ord)
Now objects of type Price could be converted from/to String by means of read/show functions and compared with themselves using equality operators. Those who want to know all the details can look them up in Haskell language report.
Being a pure functional language Haskell requires a marker of impure functions and IO monad is the marker. Function Main is an entry point for any Haskell program. It cannot be a pure function because it changes state of the “World”, at least by creating a new process in OS. Let us take a look at its type:
main :: IO () main = do putStrLn "Hello, World!"
IO () type signs that there is a computation that performs some I/O operation and return empty result. There is really only one way to perform I/O in Haskell: use it in main procedure of your program. Also it is not possible to execute I/O action from arbitrary function, unless that function is in the IO monad and called from main, directly or indirectly.
In this article we walked through the main unique features of Haskell language and learned a bit of its history.
Resources for Article :
- Core Data iOS: Designing a Data Model and Building Data Objects [Article]
- The OpenFlow Controllers [Article]
- Managing Network Layout [Article]
|Get an in-depth analysis of financial time series from the perspective of a functional programmer with this book and ebook|
eBook Price: £14.99
Book Price: £24.99
About the Author :
Pavel Ryzhov has graduated from the Lomonosov Moscow State University in Russia in the field of mathematical physics, Toda equations and Lie algebras. In the past 10 years, he has worked as a Technical Lead and Senior Software Engineer. In the last three years, Pavel lead a startup company that mainly provided mathematical and web software development in Haskell. Also, he works on port of Quantlib, an HQuantLib project in his spare time.