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May
4
accepted What C++ math libraries are typically used by quants?
May
4
asked Can American options with no dividends and zero risk-free rate be treated as European?
Apr
22
comment Is F# used in trading systems?
@ToddMoses F# is a natural choice in your situation
Apr
7
accepted Ways of treating time in the BS formula
Apr
7
asked Ways of treating time in the BS formula
Apr
6
awarded  Scholar
Apr
6
comment Means of inferring trading algorithms from competition trade data
I have the actual trades of the participants. And things aren't as simple as correlating bars to profits.
Apr
6
accepted Means of inferring trading algorithms from competition trade data
Mar
31
comment What programming languages are most commonly used in quantitative finance?
The great thing about F# as opposed to most other programming languages is that it's got a scripting interface (F# Interactive, fsi.exe). What this means is you can edit your code and see the results instantly. For example, I've got an editor that re-runs the script on any change. That way, I see errors and failing tests immediately.
Mar
28
asked Means of inferring trading algorithms from competition trade data
Mar
17
comment Why is C++ still a very popular language in quantitative finance?
@Dan Does the Quant community use Clang, though? I had the impression that most stick to Microsoft C++. I'm an Intel C++ user myself, but am very tempted by C++ AMP.
Mar
5
comment What C++ math libraries are typically used by quants?
@DirkEddelbuettel exactly!
Feb
27
awarded  Nice Question
Feb
17
comment Why is C++ still a very popular language in quantitative finance?
@user492238 This is a Pro-C++ argument because the C++ compiler is supposed to vectorize more. I use a vendor-specific compiler (Intel), so I trust it to generate instructions taking advantage of my specific processor. Yes, performance will suck on AMD, but then I'm not sharing code :)
Feb
17
comment Why is C++ still a very popular language in quantitative finance?
@user492238 I don't know about Java, but AFAIK .NET does not vectorize its operations to take advantage of SSE. No idea of Java does this or not. And the point is not just to use SSE yourself, but to take advantage of libraries written by people who did.
Feb
10
comment Video lectures and presentations on quantitative finance
Looks like the author did a separate post on how to record those - thanks for that.
Jan
11
comment What C++ math libraries are typically used by quants?
@Dirk: that's what I'll do anyway, but I need to make sure the libs I support aren't forcing people to use anything they particularly dislike.
Jan
11
revised What C++ math libraries are typically used by quants?
added 116 characters in body
Jan
11
comment What C++ math libraries are typically used by quants?
@Dirk: it's not so much the API I'm producing, rather it's the final calculations. So my query is, when I generate the calcuations, which libraries is it OK to target? So far I understand that Boost is one of those I can use.
Jan
11
comment What C++ math libraries are typically used by quants?
So I should be targeting R then, too? Just how popular is it?