Walter's DConf 2014 Talks - Topics in Finance

[Russel Winder]

On Fri, 2014-03-21 at 22:44 +0000, Chris Williams wrote:
> On Friday, 21 March 2014 at 22:28:36 UTC, Walter Bright wrote:
> > It's a good thought, but I have zero knowledge of how C++ is 
> > used for high frequency trading.
> 
> Reading through the Wikipedia article on Computational Finance, 
> it looks like it's basically performing simulations where some 
> data is known but other is not. Random numbers are generated for 
> the unknown data and the simulations are run several times to 
> find the range of possible outcomes given the known values.

http://en.wikipedia.org/wiki/Computational_finance

Is seriously lacking in actual content but at least it isn't entirely
wrong.

There are many different things happening in what many would label as
computational finance from ultra-high-frequency trading systems to
modelling macroeconomics for fund management. In the former case of
course the most crucial thing is the length of the cable of you computer
to the router :-) In the latter case, and indeed quantitative analysis
(quant), the mathematical models can be seriously weird (most likely
because they are based on phenomenology rather than science-based
modelling).

What you are alluding to is the use of Monte Carlo approach to solve
some of the models given boundary conditions. This is a "bog standard"
approach to numerical modelling.

Many quants use Excel, many are C++ folk. Those using Excel really need
to stop it.

Many of the hedge funds are following in the HEP, bioinformatics
direction and using Python (PyPy, NumPy, SciPy, etc.) for writing the
initial models and then, if greater speed is needed, using Cython or
rewriting in C++. Mathematica, R and Julia are increasingly also players
in this game.

D could be a very interesting player in this game, but it would have to
have some early adopters get on board and show in the domain itself that
it can beat Python, C++, Mathematics, R and Julia at their own game.

Whilst I am not a finance person myself: I train a lot of finance
people, and signal processing people, in Python, Java, Scala, and
Groovy. In a number of the major international finance houses a
Python/Scala/C++ stack has taken hold. However this is not fixed
forever, since whenever the CTO changes the stack tends to as well.
 
-- 
Russel.
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Dr Russel Winder      t: +44 20 7585 2200   voip: sip:russel.winder at ekiga.net
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