Similar to this other question about Scala, I'm interested in knowing whether F# is used to any measurable degree in financial circles. Have there been any successful shops using it, any research on performance and viability?
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Credit Suisse has publicly stated that they use F# for some valuation tasks (which tend to be very parallelizable). Here's a link to a talk abstract from a Commercial Users of Functional Programming workshop: http://cufp.org/archive/2008/abstracts.html#MansellHoward I'm not sure if there's a video of the talk floating around or not. Since F# targets the .NET framework, it gives you a lot of flexibility in integrating other applications that might have been written in, say, C#. |
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I worked for a big investment bank a few years ago that announced it was moving all quant models to F#. The goal behind the switch was that F# is a functional programming language and available on .NET, both of which were desirable qualities for this particular company. I left before they got started on the transition, so I don't know what came of it. As for the related OCaml, Jane Street famously uses that. |
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I help organize the F#unctional Londoners Meetup group. A good number of our 450+ members work in London's finance sector. Over the past 2 years we have hosted a number of talks related to F# in trading:
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Not that I know of, although I know .net is sometimes used as a platform by (larger) asset management companies, so F# seems a good candidate to parallelize computationally intensive jobs. |
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There was huge buzz about F# in the City and few banks / funds tried very agressively to hire people with F# knowledge and experience in finance. For example, Luka Bolognese one of the F# authors joined Credit Suisse almost 2 years ago. Also Don Syme used to conduct visiting lectures about F# and its possible applications to finance in the City . |
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For what it is worth , I work for a major investment bank and we have decided to go the functional way. Since most of our other legacy apps are JAVA we decided on using clojure on JVM. |
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I've worked in about 10 financial institutions over my career. 6 top tier banks in the front office building low latency trading platforms. F# is rare, these places are huge so I cant say I've seen every team but where I've seen it be used (twice) the project has been dire. This was a decent overview from an experienced city recruiter. |
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I work at Trayport, the leading provider of European energy trading solutions. We use F# alongside C# in our trading screen Joule. F# is used for our calculation engine, domain, high performance components and for handling concurrency. The calculation engine leverage's F#'s union types, pattern matching and units of measure feature. The domain leverages F#'s rich object orientated constructs. F# is particularly strong at concurrency with first class events, built-in agents, asynchronous workflows and immutability as a default. As a statically typed .Net language F# has similar performance characteristics to C#, with additional optimizations including tail calls and inline functions. Performance of the system is comparable to the previous highly optimized C++ implementation and on some key components it is significantly faster. |
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We use it in sports trading. Mostly because our quantitive analysts creating the mathematical models understand F# quite easily, while they completely gave up on C# :D |
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F# is mainly a functional language, but it's also rich in OO features. This makes it very suitable, for example, for writing a pricing framework and at the same time make writing payoffs more straightforward. In the long run, it definitely saves a long time writing/debugging and maintaining models. |
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I know one shop which is doing some new projects in F# replacing some of their OCaml stuff, I asked the guy what they used it for and he replied "mostly data cleaning". |
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