Exploring value-at-risk analysis with Apache Spark and Jupyter


This application characterizes historical returns of stock data and then simulates many possible outcomes for a given portfolio over a given time horizon. The idea is that you can characterize the value at risk for a given percentage of simulated outcomes (e.g., "there is a 5% chance we’d lose more than $1M USD in the next two weeks"). While you wouldn’t want to use the techniques in this application to guide real investment decisions, it also demonstrates how to use a Jupyter notebook with Apache Spark in OpenShift and you can modify the basic simulation to model security returns in a more sophisticated manner.


The driver for the value-at-risk application is a Jupyter notebook. A Jupyter notebook is an interactive compute environment that interleaves documentation, code examples, and graphical output. This particular notebook uses Spark to orchestrate simulations of the stock market.

We’ll use the notebook the way a data scientist might for initial experimentation, with a single Spark executor embedded within the application. Running a notebook on OpenShift provides a lot of advantages even if we aren’t using scale-out compute:

  1. if we have a project accessible from a public cloud, we can work on it from anywhere, with any device;

  2. we can easily share our work with colleagues; and

  3. our results will be easily reproducible, since repeatable deployments mean they won’t depend on any details of our environment.

Install and run the notebook

Installing our notebook is very simple: we just need to create an OpenShift project and install and run the notebook application. Make sure you’re logged in to OpenShift and have selected the right project, and then execute the following two commands:

oc new-app radanalyticsio/workshop-notebook -e JUPYTER_NOTEBOOK_PASSWORD=developer

oc expose svc/workshop-notebook

Check the OpenShift web console. Once the notebook application is running, click on its route. Jupyter will ask you to log in; use developer for a password (or the password you specified if you used a different one when you ran oc new-app). You’ll be presented with a list of notebooks that are installed in the workshop-notebook image. The one we’re interested in is var.ipynb, so click on it. (There are some other files in this image: pyspark.ipynb is an introduction to Apache Spark and ml-basics.ipynb introduces some basic machine learning techniques.)

Interacting with the Jupyter notebook is very simple. Select a cell with Python code and then execute it, either by pressing the "run cell" button in the toolbar or by pressing shift + enter. You can edit the code in the notebook cells and re-run them, and results from cells you’ve already run will be available to new cells. The notebook interface provides a great way to experiment with new techniques. Try it out!

Once you’ve worked through the whole notebook, consider trying out the self-guided exercises at the end of the notebook. If you want to run your own Jupyter notebooks in OpenShift, consider extending the base-notebook image.


You can see a demo of installing and running the notebook application in the following video: