978 reputation
518
bio website activemesa.com
location Stockholm, Sweden
age 29
visits member for 3 years, 4 months
seen Dec 16 at 17:10
  • B.Sc. Computer Science (University of Southampton); currently studying Quant Finance
  • >10 years in software development (C#/F#/C++)
  • Microsoft MVP – Visual C# (since 2009)
  • ReSharper Evangelist

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?
Jan
10
comment Drawbacks & Caveats of using (N)Esper for ESP/CEP in trading systems?
What exactly do you hope to gain from NEsper that Rx doesn't give you?
Jan
10
asked What C++ math libraries are typically used by quants?
Jan
9
comment Video lectures and presentations on quantitative finance
Somewhat off-topic, how do you do those virtual blackboard recordings? I understand that you've got a graphics tablet, but do you use any particular piece of software to scroll the board, change the colors, and the like?
Sep
16
awarded  Commentator
Sep
16
comment Why is C++ still a very popular language in quantitative finance?
@James let me generalize then: all editors are pretty bad and all compilers give unreadable error messages.
Aug
29
comment Why is C++ still a very popular language in quantitative finance?
@Dave I suspect you've been comparing near-identical code, which doesn't reflect the fact that in C++ you can explicitly use SSE. I also suspect (haven't tested) that OpenMP beats Java parallelization (unless you handcraft it) just the same as it beats .Net's TPL.
Aug
28
awarded  Nice Answer
Aug
26
answered using quantlib function in my c++ program
Aug
26
comment using quantlib function in my c++ program
Maybe it's worth posting a Community Wiki post on how to actually use QuantLib in a new project? Can we do Wiki posts here on QF SE?
Aug
25
answered Why is C++ still a very popular language in quantitative finance?