Dmitri Nesteruk
  • Member for 10 years, 4 months
  • Last seen more than a month ago
12 answers
49 votes
58k views
Why is C++ still a very popular language in quantitative finance?
Accepted answer
49 votes

The other posters have already noted that the prevalent use of C++ appears to be due to historical reasons and unwillingness to change. Those reasons aren't the ones that people should be applying. If ...

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2 answers
9 votes
5k views
using quantlib function in my c++ program
17 votes

This is off-topic and maybe belongs to StackOverflow, but here goes. 1. Compile QuantLib The best way is to open the Visual Studio Command Prompt using a shortcut under Programs→Microsoft ...

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6 answers
10 votes
31k views
How are HFT systems implemented on FPGA nowadays?
Accepted answer
13 votes

Here's a way to think about it: imagine you can do something in an ASIC (i.e. directly in hardware). However, the process of fabrication is in itself expensive, and you get a design that you cannot ...

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3 answers
9 votes
3k views
What programming language is best suited for implementing DeMark?
Accepted answer
7 votes

Any kind of language would work. I suppose that if you really want it to be 'prettier than most', go with a language such as OCaml or F#. Pattern-matching will let you make code more readable than ...

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2 answers
2 votes
663 views
BS and delta hedging questions
3 votes

See this question You have to buy/sell $\Delta$ shares. $\Delta_{ATM} \approx 0.5$.

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9 answers
61 votes
42k views
What is an efficient data structure to model order book?
2 votes

Why not just implement it with two price-amount maps, as shown here?

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5 answers
24 votes
9k views
Implementing data-structures in a Limit order book
2 votes

I would actually not bother with F# data structures for this - many of them are actually slower than ordinary .NET collections. My approach is to use SortedDictionary<price,volume> for bids and ...

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3 answers
10 votes
793 views
Scanning a stock database for errors/flaws
0 votes

What you're talking about is sanity checks and if you really have to do those, it's good grounds to classify the data source as unreliable (or, alternatively, your understanding of said data source is ...

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