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. ============================================================================= Dr Russel Winder t: +44 20 7585 2200 voip: sip:russel.win...@ekiga.net 41 Buckmaster Road m: +44 7770 465 077 xmpp: rus...@winder.org.uk London SW11 1EN, UK w: www.russel.org.uk skype: russel_winder