Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [programming]

For questions about programming languages, implementation, and packages in quantitative finance.
Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.

For questions about programming languages, algorithm implementation, and packages related to quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be considered on topic.

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Why is C++ still a very popular language in quantitative finance?

I had to ask this question after reading the answers to What programming languages are most commonly used in quantitative finance? I understand that C++ programs can be optimized pretty well and are faster than anything else. But in this era, the…
Tae-Sung Shin
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Is F# used in trading systems?

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?
Joel Martinez
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What programming languages are most commonly used in quantitative finance?

What programming languages are the most common in quantitative finance, and why are these languages used? Note: I do not mean, what languages are used to develop the accounting system at a hedge fund: this is specifically related to aspects of…
Shane
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What C++ math libraries are typically used by quants?

Before you mark question as off-topic, please read it - it is, actually, quant-related. Basically, I'm working on an app that spits out a lot of C++ math. When it comes to simple things like exponents and trig, I can use an STL function. But when it…
Dmitri Nesteruk
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What commercial financial libraries are available to outsource implementation risk?

During our daily jobs as quants, we tend to be willing to develop all the quantitative libraries ourselves. While I know that we need to develop specific algorithms which are the foundations of our strategies, I believe there are 2 major…
SRKX
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Can the J language be used as an effective alternative to Q/Kdb+?

I hear a lot about Q/kdb+. I've never had the opportunity to use it for anything real but have played with it using their trial license and found it intriguing (if not somewhat mind warping). I've seen a few references to the J language which is…
Louis Marascio
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Rest API to retrieve ISIN

What is best API to lookup ISINs by number or name? In other words, ideally I would like to have an rest-api like this: http://api.isinlookup.org/filter={"isin":"US38259P5089"} -> [ { "isin": "US38259P5089" "name": "Google Inc.", …
Thorben Croisé
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What programming language is best suited for implementing DeMark?

Jason Perl's book DeMark Indicators details rules for calculating signals developed by Thomas DeMark. These rules are not complex in themselves, but there is no dirth of ifelse structure to incrementing a signal's progression. An example of a rule…
Milktrader
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What is the best / most used / recommended C++ non-blocking networking library for low-latency / real-time development?

I'm coming from Java and there we use the EPoll selector implementation that comes with the JDK for non-blocking / asynchronous networking TCP and UDP development. Therefore you don't have to make choices. But when it comes to C++ there are dozens…
Joe Patrick
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What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?

R that originated as a purely statistical tool has meanwhile blossomed into a comprehensive workbench for different tasks. I am familiar with Mathematica and don't like how it forces a license on you. Also the handling of big data and outputting of…
Quanti
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Mark Joshi, C++ Design Patterns and Derivatives Pricing : Bridge Pattern vs More Simple Inheritance

I have been working through "C++ Design Patterns and Derivatives Pricing" by Mark Joshi. In chapter 4 the Parameters class uses a bridge pattern and employs a clone() method. The justification of the pattern mentions that it allows the extension of…
Quantifeye
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The problem of the weighted price

Mid price is so noisy so I try to use the weighted price, which is much better. However I want to define a better price called weighted price My questions are: How can I get a good weighted price How to judge the weighted-price. How can I define…
jimmychou123
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R or Cpp for some finance work involved complex numbers?

I need to implement some pricing functions which involve complex numbers. The equations involve various expressions such as $Re$ and $Img$ (i.e the real and imaginary part of the complex number), and I need to do some Fast Fourier Transforms and…
ToloponiAdiono
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What programming skills are needed in quantitative finance?

I’m considering a career in finance when I complete my PhD in Mathematics in 2016. My only major programming experience was a C++ course during my MPhys in the 2007-8 academic year, although since then I’ve used LaTeX a lot, which has some…
J.G.
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How much does a Grid Computing software cost?

So far, I have been performing computations either on my own computer, or using an in-house scheduler that basically chooses a one of the employees' available workstations to run tasks in the background. As we are now performing more and more…
SRKX
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