Financial Technology Focus

Link Library: Video - One Half Second of High Frequency Trading in a Single Stock

Tue, 14 May 2013 13:07:14 +0000

1/2 second of trading activity in Johnson & Johnson (symbol JNJ) on May 2, 2013 This video was featured at Wired Business Conference (watch it now: http://fora.tv/2013/05/07/Nanex_CEO_E...) Follow us on twitter @nanexllc for Wall Street Breaking coverage. Set to lowest resolution for an "artistic rendering", or highest resolution for science. The animation tool that created this video was written in "C" using Windows GDI - simple lines, polygons and ellipses. We wrote it to explain to the SEC and CFTC (the regulators) how our markets work. We got the idea after realizing, in face to face meetings with them, they didn't understand market structure or the importance of latency and the consolidated feed. That was several years ago. We still aren't sure if they get it, or are just playing dumb. The bottom box (SIP) shows the National Best Bid and Offer. Watch how much it changes in the blink of an eye. Watch High Frequency Traders (HFT) at the...

Vendor News: Portfolio Probe version 1.06 released

Mon, 29 Apr 2013 19:23:29 +0000

Portfolio Probe version 1.06 released body,.backgroundTable{ background- } #contentTable{ border:0px none #000000; margin-top:10px; } .headerTop{ background- border-top:0px none #000000; border-bottom:0px none #FFFFFF; text-align:center; padding:0px; } .adminText{ font-size:10px; line-height:200%; font-family:Verdana; text-decoration:none; } .headerBar{ background- border-top:0px none #333333; border-bottom:1px solid #eeeeee; padding:0px; } .headerBarText{ font-size:30px; font-family:Verdana; font-weight:normal; text-align:left; } .title{ font-size:24px; font-weight:bold; font-family:Trebuchet MS; line-height:110%; } .subTitle{ font-size:14px; font-weight:bold; font-style:normal; font-family:Trebuchet MS; } .defaultText{ font-size:12px; line-height:150%; font-family:Verdana; width:400px; background- padding:20px; }...

Vendor News: April 19, 2013 - SS&C GlobeOp Forward Redemption Indicator: April notifications 2.95%

Fri, 19 Apr 2013 08:10:27 +0000

Vendor News: Fidessa partners with key brokers to provide pan-ASEAN trading service

Mon, 15 Apr 2013 08:17:24 +0000

Vendor News: Infosys Positioned as a Leader in Gartner Magic Quadrant for Oracle Applications Management Service Providers, Worldwide

Thu, 21 Feb 2013 21:17:17 +0000

Gartner has positioned Infosys as a leader in its first-ever Magic Quadrant for Oracle Application Management Service Providers, Worldwide.

Video: Larry Tabb on The Future Of Data Management in a post-Crisis World

Wed, 30 Jan 2013 11:39:50 +0000

Larry Tabb of TABB Group recently discussed with Wall Street & Technology senior editor Melanie Rodier how firms are adapting their data management processes to the post-financial-crisis environment.read more...

SEC-mandated XBRL data at risk of being irrelevant to investors and analysts

Wed, 23 Jan 2013 14:42:04 +0000

In 2009, the Securities and Exchange Commission mandated that public companies submit portions of annual (10-K) and quarterly (10-Q) reports—in a digitized format known as eXtensible Business Reporting Language (XBRL). The goal of this type of data was to provide more relevant, timely, and reliable "interactive" data to investors and analysts. The XBRL-formatted data is meant to allow users to manipulate and organize the financial information according to their own purposes faster, cheaper, and more easily than current alternatives.read more...

Video - Trading's evolving next generation? Control systems, feedback loops, adaptive knowledge capture

Fri, 07 Dec 2012 13:38:19 +0000

Video - Ciamac Moallemi: High-Frequency Trading and Market Microstructure

Wed, 28 Nov 2012 15:20:14 +0000

Ciamac Moallemi is the Barbara and Meyer Feldberg Associate Professor of Business in the Decision, Risk, & Operations Division of the Graduate School of Business at Columbia University. read more...

Vendor News: NAG announces support for IBM BlueGene/Q supercomputers

Tue, 13 Nov 2012 11:01:22 +0000

Vendor News: Prescient Ridge Management signs Connamara Systems for New Trading Infrastructure and Support Services

Wed, 31 Oct 2012 13:47:18 +0000

New trading infrastructure provides entry into new markets and upgrades automated execution capabilitiesChicago, October 31, 2012 – Connamara Systems, LLC (Connamara), provider of services to exchanges, swap execution facilities, CTAs and Hedge Funds, today announced signing Prescient Ridge Management, LLC (PRM) a managed futures fund which specializes in short-term, automated trading strategies, for Connamara’s Made-to-Measure Trading Solutions to design and implement an updated trading infrastructure for PRM. This engagement is a result of PRM’s Investment Committee decision to trade new markets which opens new growth opportunities and new trading strategies for the firm going forward.Prescient Ridge Management’s President, Alan Swimmer, states: “Connamara Systems proved the right fit for PRM. Their Made-to-Measure customizable approach allows us to focus on the Fund’s new trading ideas by improving efficiency and increasing scalability. Our...

Intel and OnX Announce Social Media Hub for the Finteligent Trading Technology Community

Wed, 24 Oct 2012 11:32:19 +0000

TORONTO, Ontario and New York, NY, October 23, 2012 – read more...

Vendor News: Buy-side forced to adopt more sophisticated risk management as interconnectivity between buy-side stakeholders grows, says Algorithmics, an IBM Company

Wed, 19 Sep 2012 14:33:08 +0000

White paper analyses impact, requirements and opportunities of buy-side interconnectivityread more...

Link Library: Black Rhino - A Financial Network Multi Agent Simulator

Wed, 19 Sep 2012 13:10:56 +0000

Black Rhino - A Financial Network Multi Agent Simulator black_rhino is an open source easy-to-use-and-adapt financial network multi agent simulation (MAS) that serves two purposes. First, it can be used as a practical tool to simulate and analyse a model banking system. This is particularly handy for central banks and policy makers, as black_rhino fills a gap in the policy-toolbox. Second, and perhaps more importantly, it is a python module that can be easily adapted, changed, and modified for research purposes. It is intended to reduce the amount of work necessary to write a financial MAS and hence allows researchers to focus on the economic questions instead of worrying about code design patterns and basic functionality. The software is open source and published under the GNU GPL v3. You can find the latest version at sourceforge. 2 August 2012

DataSift Launches Social Feeds for the Financial Services Industry

Wed, 12 Sep 2012 15:59:16 +0000

Wired Magazine asks how Wall Street Got Addicted to High-Frequency Trading

Tue, 07 Aug 2012 06:21:01 +0000

The high-frequency trading debate has been polarising opinion for years now, and with little impact on the march of the technologies which are enabling it. Here at MoneyScience, we try not to take a view on the ethics or cultural impact of HFT - we like the evolution of technology as a rule, but dislike speculation when it comes at the expense of markets which would otherwise provide a socially meaningful role. Progress is generally good, we feel - but to paraphrase Spiderman, 'with great power comes great responsibility' - and financial markets as a rule haven't done a great job in recent history of demonstrating they can handle it. We may have the technology to trade ultra-fast, but whether we have the scientific or economic infrastructure to understand and control it is the core of the debate.read more...

Link Library: Tobias Preis's GPGPU Research Page

Fri, 03 Aug 2012 15:51:11 +0000

Dr Tobia Preis has compiled a fantastic list of selected publications in GPGPU Computing: A recent trend in computer science and related fields is General-Purpose computation on Graphics Processing Units (GPGPU), which can yield impressive performance, i.e. the required processing times can be reduced to a great extent. The Compute Unified Device Architecture (CUDA) is a programming approach for performing scientific calculations on a Graphics Processing Unit (GPU) as a data-parallel computing device. The programming interface allows to implement algorithms using extensions to standard C language. With continuously increased number of cores in combination with a high memory bandwidth, a recent GPU offers incredible resources for general purpose computing.

Algorithmic Trading Glitch Costs Knight Capital $440 Million

Thu, 02 Aug 2012 19:02:54 +0000

Via Slashdot:read more...

FIA European Principal Traders Association Market Integrity Framework: Best Practices to Preserve Market Integrity

Fri, 27 Jul 2012 11:32:14 +0000

As part of ongoing efforts to safeguard market integrity, FIA European Principal Traders Association today published a set of best practices to help principal trading firms prevent market manipulation and reduce risks. read more...

Artificial Intelligence, unstructured data and banking scams

Mon, 23 Jul 2012 12:29:56 +0000

New Scientist covers the technology firms who are using Artificial Intelligence to identify behaviours which could indicate improper behaviour:read more...

Link Library: Notes for Economists on Writing Code

Tue, 03 Jul 2012 12:25:09 +0000

Matthew Gentzkow Jesse M. Shapiro Chicago Booth June 25, 2012 Introduction Every step of every research project we do is written in code, from raw data to final paper. Doing research is therefore writing software. Over time, people who write software for a living have learned a lot about how to write it well. We follow their lead. We aim to write code that would pass muster if we worked at Google or Microsoft. Economists sometimes write code that is like stream-of-consciousness: a more or less random series of steps that happen to produce the right result. A good way to generate this kind of code is to use Stata interactively for an hour and then copy and paste the list of commands into a text editor. This code will do what it is supposed to do. But it will be very difficult for someone other than the person who produced it–or even for that same person after a day or two–to read and understand it. It will be virtually impossible to modify or extend it. And if anything...

Mark Cuban: High-Frequency Traders Are the Ultimate Hackers

Wed, 27 Jun 2012 06:03:18 +0000

This WSJ interview with Mark Cuban has received quite a lot of attention, as well as a Discussion at Slashdot.read more...

HFT Review Special Section: FPGA & Hardware Accelerated Trading

Tue, 26 Jun 2012 11:50:35 +0000

The Microsecond Market

Mon, 04 Jun 2012 19:20:53 +0000

Sophisticated technology now drives global financial trading to extremes of time and spaceread more...

How to Land a Technology Job on Wall Street: Inside an Elite Wall Street IT Education

Fri, 01 Jun 2012 14:48:55 +0000

Capital markets firms are recruiting graduates from the top schools in computer science and other majors to train the next generation of IT talent.read more...

Link Library: The Lodestone Foundation

Thu, 24 May 2012 12:44:00 +0000

Lodestone Foundation Homepage Lodestone Projects Page Open Source for Capital Markets and Beyond What is our Goal? Quickly and convincingly build the go-to non-profit open source foundation for financial markets. Significantly, we will seed this foundation with world-beating code contributions from known open-source heavyweights and founding partners, and fund a small world-class dev team that also produces and/or extends reference software in key areas of interest to financial markets, that is convincingly better than industry alternatives and helps us avoid re-building the same things, at a lower quality level, again and again. The goal of the team is to produce results in a reasonable period, that attracts both wide industry adoption, and contributions from the best open source community and the financial industry. Part of our charter will be to assist partners in putting in place great examples of open-source governance and participation, and to help our industry more...

Stanford bioengineers create rewritable digital data storage in DNA

Tue, 22 May 2012 20:44:34 +0000

You don't hear a lot about biological computing but this is super cool:read more...

Special Report: The algorithmic arms race

Mon, 21 May 2012 10:17:53 +0000

I actually saw David Harding give a talk at the Royal Institution 14-10 Club last year and he threw up a powerpoint slide displaying one of the Winton Capital's strategies. It lwas somewhat more complex than this:read more...

Podcast - The State of the Art in Low Latency - The Daly Post

Wed, 02 May 2012 13:34:08 +0000

Rob Daly is a financial tech journalist who produces the rather excellent Daly Post Podcast. In this most recent edition he asks:read more...

Link Library: Frequently Asked Questions about QuantLib

Tue, 24 Apr 2012 12:05:38 +0000

1. General questions 1.1. Is it OK to email a QuantLib developer to ask questions, or seek help, or report a bug? 1.2. How should I report a bug? 1.3. Thanks for this project. How can I give back to it? 1.4. Amazon Wish List? Aren't you ashamed of yourselves? 2. Contributing to the project 2.1. I'm interested in getting involved with the project. What should I do? 2.2. How do I contribute code to the project? 3. Building QuantLib 3.1. I'm having trouble building Boost. 3.2. I'm having trouble building QuantLib with MinGW. 3.3. When building QuantLib, I get a compile error about a missing boost/something header. 3.4. When building the test-suite, I encounter a linking error about libboost_unit_test_framework-xxx. 3.5. But I have no such library on my machine! 3.6. Ok, now I have the library; and the library path is set correctly. But I still cannot link! 3.7. I'm having trouble building QuantLib with the Sun Studio 11 compiler. 3.8. I'm having trouble building...

Bitcoin, the financial traders' anarchic new toy

Mon, 02 Apr 2012 14:05:30 +0000

Naomi O'Leary writes at Reuters: read more...

Presentations & Audio from the 2012 London Low-Latency Summit

Fri, 30 Mar 2012 09:00:17 +0000

Presentations:read more...

Video - Paul Kedrosky on Apple, BATS and HFT

Mon, 26 Mar 2012 11:58:22 +0000

Via The Big Picture:read more...

Vendor News: Tradar and Nedelma introduce Mobile Portfolio Reporting App for iPad

Fri, 02 Mar 2012 06:35:04 +0000

Tradar and Nedelma introduce Mobile Portfolio Reporting Applicationread more...

Vendor News: Lombard Risk Dodd-Frank Act Engine as Solution for Title VII, Regulation of OTC Swaps Markets

Wed, 22 Feb 2012 13:42:18 +0000

Lombard Risk Management plc (LSE:LRM) ("Lombard Risk"), a leading global provider of integrated collateral management and liquidity, regulatory and MIS reporting solutions for the financial services industry, addresses Title VII of Dodd-Frank Act with its Dodd-Frank Act Engine solution.read more...

Vendor News: The Institutionalisation of Hedge Funds - The Investor Due Diligence Bar Rises Ever Higher

Mon, 20 Feb 2012 15:34:03 +0000

KB Associates Profile at MoneyScience Home Page read more...

Vendor News: Tradeweb Launches Multi-Dealer Trading Platform For FX Options

Sun, 19 Feb 2012 07:31:35 +0000

LONDON February 16, 2012: Tradeweb Markets LLC announced the introduction of an electronic, multi-dealer-to-customer trading platform for FX options. This is the fourth derivatives marketplace to have been launched by Tradeweb since 2005. The new platform enables options trading on major currencies and allows buy-side investors to request quotes from several dealers simultaneously. Participants also benefit from integrated trade processing and post-trade reporting.read more...

Vendor News: NYSE Euronext Announces Acquisition of Strategic Shareholder Interest in Fixnetix

Thu, 16 Feb 2012 11:20:22 +0000

NYSE Euronext Announces Acquisition of Strategic Shareholder Interest in Fixnetixread more...

Link Library: GPU-computing in econophysics and statistical physics (pdf)

Sun, 12 Feb 2012 10:19:43 +0000

Tobias Preis Abstract A recent trend in computer science and related fields is general purpose computing on graphics processing units (GPUs), which can yield impressive performance. With multiple cores connected by high memory bandwidth, today’s GPUs offer resources for non-graphics parallel processing. This article provides a brief introduction into the field of GPU computing and includes examples. In particular computationally expensive analyses employed in financial market context are coded on a graphics card architecture which leads to a significant reduction of computing time. In order to demonstrate the wide range of possible applications, a standard model in statistical physics – the Ising model – is ported to a graphics card architecture as well, resulting in large speedup values.

Vendor News: SAP Achieves 2011 Sustainability Goals With Increases in Carbon Efficiency, Women in Management and Employee Engagement

Sat, 04 Feb 2012 23:48:56 +0000

Executing on its commitment to help the world run better and improve people’s lives, SAP AG (NYSE: SAP) today announced its preliminary sustainability performance results for 2011. As a leading provider of sustainability solutions, SAP also strives to implement sustainable business practices across its own global operations.read more...

Vendor News: Rogue Wave Delivers TotalView for IBM Blue Gene/Q to LLNL

Sat, 04 Feb 2012 23:33:02 +0000

Boulder, CO, February 1, 2012 – Rogue Wave Software and Lawrence Livermore National Laboratory (LLNL) today announced that Rogue Wave has delivered a pre-release version of TotalView, optimized for the IBM Blue Gene/Q-based Sequoia supercomputer. This is a significant milestone in the multi-year collaboration between LLNL, Rogue Wave, and IBM.read more...

Vendor News: StatPro Revolution Named "Best Buy-Side Newcomer" at 2011 Buy Side Technology Awards

Sat, 04 Feb 2012 22:55:48 +0000

London, UK (7 November, 2011) plc (AIM: SOG), a global leader in portfolio analytics and valuation data solutions since 1994, was awarded the Best Buy-Side Newcomer StatPro Revolution at the 2011 Buy Side Technology Awards. The annual awards honor the achievements of firms that service asset and hedge fund managers and are adjudicated by an expert panel from the buy side industry, including consultancies, analyst firms and the editorial team at Buy Side Technology.read more...

Vendor News: Orchestrade Partners with Numerix to Expand Cross-Asset Pricing, Valuation and Risk Coverage

Sat, 04 Feb 2012 21:31:53 +0000

New York – January 31, 2012 – Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, along with Orchestrade Financial Systems (www.orchestrade.com), providers of middle office operations and risk management solutions to alternative investment management firms, today announced their partnership to offer integrated access to Powered by Numerix™ pricing and risk analytics within the Orchestrade trading and risk platform.read more...

Vendor News: Intrinsic Research Systems partners with Kalotay Analytics

Fri, 27 Jan 2012 06:50:43 +0000

Intrinsic Research Systems to Release A New Fixed Income Data Module. Firm Partners with Andrew Kalotay Associates for Bond Analytics.Charlotte, NC (PRWEB) October 26, 2011 -- Intrinsic Research Systems, Inc., a Mergent company, today announced the addition of fixed income research and analytic capabilities to the Intrinsic Research security analysis platform.Intrinsic’s BondViewer module, powered by analytics from Andrew Kalotay Associates, is designed for front, middle and back office use, providing transparency on over 230,000 U.S corporate and 2.6 million municipal bonds. Mergent’s industry leading terms and conditions, pricing, ratings history and bond analytics represent some of the robust data available for each bond.Intrinsic’s BondViewer module is available as a standalone fixed income research desktop solution or as an integrated add-on to Intrinsic’s extensive equity research and valuation analysis platform. BondViewer provides unlimited access to...

Vendor News: Quantifi Wins Risk Magazineâs Coveted Risk Management Technology Product of the Year Award

Fri, 27 Jan 2012 05:58:39 +0000

London and New York - Quantifi, a leading provider of analytics, trading and risk management solutions to the global OTC markets, today announced that Quantifi has achieved one of the industry’s highest accolades having won ‘Risk Management Technology Product of the Year’ in Risk Magazine’s 2012 Risk Awards.read more...

Vendor News: AlignAlytics announces strategic alliance with TransAccel Group Neary named to solutions leadership role with premier services firm

Wed, 25 Jan 2012 16:02:45 +0000

Link Library: Presentation - Parallel Computing and Applications in Finance (pdf)

Thu, 05 Jan 2012 16:08:54 +0000

Slides from a presentation by Cyril Godart (BNP Paribas).

Link Library: General-Purpose Computing on Graphics Processing Units (GPGPU) article at Wikipedia

Thu, 05 Jan 2012 16:04:19 +0000

General-purpose computing on graphics processing units (GPGPU, also referred to as GPGP and less often GP²U) is the technique of using a GPU, which typically handles computation only for computer graphics, to perform computation in applications traditionally handled by the CPU. It is made possible by the addition of programmable stages and higher precision arithmetic to the rendering pipelines, which allows programmers to use stream processing on non-graphics data[1][2][3]. Additionally, the use of multiple graphics cards in a single computer, or large numbers of graphics chips, further parallelizes the already parallel nature of graphics processing. Full Article Here.

Link Library: Presentation - Computational finance on GPUs (pdf)

Thu, 05 Jan 2012 15:59:40 +0000

A presentation by Mike Giles from the Oxford Man Institute for Quantitative Finance, covers: computational finance scientific computing on GPUs random number generation finite difference applications current developments

Link Library: Martin Keller-Ressel's R-Code for Finance

Tue, 13 Dec 2011 17:45:57 +0000

No longer actively maintained but still useful: Download Option Data and Plot Smiles yahoo_opt.R This R program can be used to download option price data from Yahoo to a data frame and to plot the corresponding implied-volatility smiles. Requires package 'fCalendar'. After downloading and sourcing the file try the following lines of code: opt <- yahoo.getAllOptions("IBM") ## download data summary(opt) ## data overview plot.smile(opt) ## plot 2d volatility smiles plot3d.smile(opt) ## plot 3d volatility smiles Visualize Levy Processes levy_proc.R This R program contains functions to plot trajectories of several Levy processes. The processes implemented are alpha-stable processes, Variance-Gamma and Normal-Inverse-Gaussian processes. Requires packages 'SuppDists' and 'fBasics'. After downloading and sourcing the file try the following lines of code: plot.multi(stable.proc,alpha=1.7,beta=1) ## Stable...

Link Library: Lush: Lisp Universal SHell

Tue, 06 Dec 2011 14:51:10 +0000

Lush is an object-oriented programming language designed for researchers, experimenters, and engineers interested in large-scale numerical and graphic applications. Lush is designed to be used in situations where one would want to combine the flexibility of a high-level, weakly-typed interpreted language, with the efficiency of a strongly-typed, natively-compiled language, and with the easy integration of code written in C, C++, or other languages.

Link Library: List of R functions and packages for Computational Econometrics

Mon, 21 Nov 2011 16:36:10 +0000

This extensive resource is maintained by Achim Zeileis. Base R ships with a lot of functionality useful for computational econometrics, in particular in the stats package. This functionality is complemented by many packages on CRAN, a brief overview is given below. There is also a considerable overlap between the tools for econometrics in this view and for finance in the Finance view. Furthermore, the Finance SIG is a suitable mailing list for obtaining help and discussing questions about both computational finance and econometrics. Finally, there is also some overlap with the SocialSciences that also covers a broad variety of tools for social sciences, e.g., including political science.

Link Library: Mathtools.net - Link Exchange for the Technical Computing Community

Sat, 08 Oct 2011 06:51:19 +0000

Lots of interesting links here: Collection Databases Documentation Education Equipment Financial Data and Services Journals Markets Organizations Personal Finance Research Risk Management Software and Tools Tutorials Web resources Related Categories C,C++/Finance and Economics Excel/Finance and Economics Fortran/Finance and Economics Java/Finance and Economics

Link Library: Black-Scholes option pricing with CUDA - Nvidia (pdf)

Fri, 30 Sep 2011 08:21:22 +0000

Victor Podlozhnyuk Abstract The pricing of options is a very important problem encountered in financial engineering since the creation of organized option trading in 1973. This sample shows an implementation of the Black-Scholes model in CUDA for European options.

Link Library: Monte Carlo Option Pricing with CUDA - NVIDIA

Fri, 30 Sep 2011 05:52:19 +0000

Victor Podlozhnyuk and Mark Harris Abstract The pricing of options has been a very important problem encountered in financial engineering since the advent of organized option trading in 1973. As more computation has been applied to finance-related problems, finding efficient implementations of option pricing models on modern architectures has become more important. This white paper describes an implementation of the Monte Carlo approach to option pricing in CUDA. For complete implementation details, please see the “MonteCarlo” example in the NVIDIA CUDA SDK.

Link Library: Introductory Econometrics - Excel add-ins

Mon, 12 Sep 2011 09:03:43 +0000

Humberto Barreto Allen Distinguished University Professor at DePauw University Frank M. Howland, Professor of Economics at Wabash College This web site supports our book, Introductory Econometrics: Using Monte Carlo Simulation with Microsoft Excel, published by Cambridge University Press. Our fundamental strategy is to use clear language and take advantage of recent developments in computers to create concrete, visual explanations of difficult, abstract ideas. This web site makes available the introductory sections and Excel workbooks from each chapter so you can see what we cover and how we present the material. In addition, we've decided to make the Excel add-ins that we've written freely available. We've used these add-ins to greatly improve our teaching and we hope others can benefit from the sophisticated algorithms we've developed. Of course, we ask that you properly credit and cite our work if you use these materials. We'd love...

Link Library: Crash into Python

Mon, 15 Aug 2011 09:16:42 +0000

Crash into Python is a set of documents/slides that are meant to be used as a teaching aid for bringing programmers from other languages up to speed with Python. It assumes that you have enough familiarity with programming to know what function and class mean, and will recognize that print probably doesn't put ink on paper. More importantly, it assumes that you either have an instructor who is well-versed in Python, or are resourceful enough to find answers for yourself. A number of these slides are designed to trigger questions and discussion, so if it seems like you're missing something, that's a good sign you could be digging deeper.

Link Library: MIT OpenCourseWare - Integer Programming and Combinatorial Optimization, Fall 2009

Fri, 29 Jul 2011 11:18:45 +0000

The course is a comprehensive introduction to the theory, algorithms and applications of integer optimization and is organized in four parts: formulations and relaxations, algebra and geometry of integer optimization, algorithms for integer optimization, and extensions of integer optimization.

Link Library: MIT OpenCourseWare - Nonlinear Programming, Spring 2004

Fri, 29 Jul 2011 11:15:44 +0000

This course introduces students to the fundamentals of nonlinear optimization theory and methods. Topics include unconstrained and constrained optimization, linear and quadratic programming, Lagrange and conic duality theory, interior-point algorithms and theory, Lagrangian relaxation, generalized programming, and semi-definite programming. Algorithmic methods used in the class include steepest descent, Newton's method, conditional gradient and subgradient optimization, interior-point methods and penalty and barrier methods.

Link Library: Clever Algorithms - Nature Inspired Recipies

Mon, 27 Jun 2011 00:20:58 +0000

The book "Clever Algorithms: Nature-Inspired Programming Recipes" by Jason Brownlee PhD describes 45 algorithms from the field of Artificial Intelligence. All algorithm descriptions are complete and consistent to ensure that they are accessible, usable and understandable by a wide audience. 5 Reasons To Read: 45 algorithms described. Designed specifically for Programmers, Research Scientists and Interested Amateurs. Complete code examples in the Ruby programming language. Standardized algorithm descriptions. Algorithms drawn from the popular fields of Computational Intelligence, Metaheuristics, and Biologically Inspired Computation.

Link Library: The Financial Services Grid Initiative

Mon, 20 Jun 2011 11:15:37 +0000

The Financial Services Grid Initiative was created to provide a utility platform for financial services companies based upon the use of Grid technologies as a utility resource, allowing for the implementation of a mixed computing environment on a common infrastructure.

Link Library: Java Quant - Quantitative Financial Algorithms

Sat, 18 Jun 2011 20:52:14 +0000

Here you will find information about the evaluation of financial options and the theory, definitions and models behind. This webpage provides Java Applets to calculate the price of complex financial options, using the Monte Carlo technique, Binary Trees, among others. The source code written in Java and C++, together with information about the structure of classes is available. The programs have been written following the Object Oriented Paradigms. Check this table, with option pricing applets.

Link Library: JQuantLib

Sat, 18 Jun 2011 20:50:53 +0000

JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in 100% Java. It provides "quants" and Java application developers several mathematical and statistical tools needed for the valuation of shares, options, futures, swaps, and other financial instruments, also providing tools related to risk management and money management.

Link Library: Stack Overflow

Sat, 18 Jun 2011 20:28:59 +0000

Stack Overflow is a programming Q & A site that’s free. Free to ask questions, free to answer questions, free to read, free to index, built with plain old HTML, no fake rot13 text on the home page, no scammy google-cloaking tactics, no salespeople, no JavaScript windows dropping down in front of the answer asking for $12.95 to go away. You can register if you want to collect karma and win valuable flair that will appear next to your name, but otherwise, it’s just free. And fast. Very, very fast. We don’t run Stack Overflow. You do. Stack Overflow is collaboratively built and maintained by your fellow programmers. Once the system learns to trust you, you’ll be able to edit anything, much like Wikipedia. With your help, we can build good answers to every imaginable programming question together. No matter what programming language you use, or what operating system you call home – better programming is our goal.

Link Library: The Quantian Scientific Computing Environment

Sat, 18 Jun 2011 20:04:08 +0000

A Knoppix / Debian variant tailored to numerical and quantitative analysis. Quantian is a remastering of Knoppix, the self-configuring and directly bootable cdrom/dvd that turns any pc or laptop (provided it can boot from cdrom/dvd) into a full-featured Linux workstation. Quantian also incorporates clusterKnoppix and adds support for openMosix, including remote booting of light clients in an openMosix terminal server context. Earlier releases are still available; see below for URLs for downloads as well as ordering information.

Link Library: Marketcetera - Open Source High Frequency Trading

Sat, 18 Jun 2011 20:01:15 +0000

Marketcetera democratizes access to high frequency trading. Our open source, automated trading platform provides you with the control and flexibility to implement your new strategies in moments, even while you reduce your infrastructure costs. Download. Run. Trade.

Link Library: QFF - The Quantitative Finance Framework

Sat, 18 Jun 2011 19:57:47 +0000

The Quantitative Finance Framework (QFF) is intended to support the development of software libraries in mathematical finance. The main fields of applications are the pricing of derivatives and the management of financial risks. QFF is an open source project supported by the Bielefeld University. Its source code is avaliable at sourceforge, one of the largest open source repositories of the world wide web.

Link Library: GNU Octave

Sat, 18 Jun 2011 19:54:10 +0000

GNU Octave is a high-level interpreted language, primarily intended for numerical computations. It provides capabilities for the numerical solution of linear and nonlinear problems, and for performing other numerical experiments. It also provides extensive graphics capabilities for data visualization and manipulation. Octave is normally used through its interactive command line interface, but it can also be used to write non-interactive programs. The Octave language is quite similar to Matlab so that most programs are easily portable.

Link Library: Kooderive - code for pricing financial derivatives products using CUDA

Sat, 18 Jun 2011 19:47:37 +0000

The objective of this project is to create a library of code for pricing financial derivatives products using CUDA to achieve GPU programming,

Link Library: ISDA CDS Standard Model

Sat, 18 Jun 2011 19:43:16 +0000

The ISDA CDS Standard Model is a source code for CDS calculations and can be downloaded freely through this website. The source code is copyright of ISDA and available under an Open Source license. Background As the CDS market evolves to trade single name contracts with a fixed coupon and upfront payment, it is critical for CDS investors to match the upfront payment amounts and to be able to translate upfront quotations to spread quotations and vice versa in a standardized manner. One of the primary goals in making the code available is to enhance transparency and to optimize use of standard technology for CDS pricing. Implementing the ISDA CDS Standard Model and using the agreed standard input parameters will allow CDS market participants to tie out calculations and thus improve consistency and reduce operational differences downstream.

Link Library: Santa Fe Institute "Artificial Stock Market" simulation model

Sat, 18 Jun 2011 19:28:48 +0000

Several articles have been published using the Artificial Stock Market model. The model simulates prices & trade levels in a market made up of "artificial adaptive agents." This is a prototype example of a "complex system" and is thought to illustrate the benefits of simulation modeling.

Link Library: Agent Based Market Model Simulator

Sat, 18 Jun 2011 19:26:29 +0000

The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation and the market microstructure.

Link Library: Wavelet Software

Sat, 18 Jun 2011 19:05:51 +0000

An extensive collection of wavelet related software and programming resources.

Link Library: The Gaussian Processes Web Site

Sat, 18 Jun 2011 19:03:34 +0000

This web site aims to provide an overview of resources concerned with probabilistic modeling, inference and learning based on Gaussian processes. Although Gaussian processes have a long history in the field of statistics, they seem to have been employed extensively only in niche areas. With the advent of kernel machines in the machine learning community, models based on Gaussian processes have become commonplace for problems of regression (kriging) and classification as well as a host of more specialized applications.

Link Library: Stochastic Programming Community Home Page

Sat, 18 Jun 2011 19:02:55 +0000

The Stochastic Programming (SP) Community is a world-wide group of researchers who are developing models, methods, and theory for decisions under uncertainty. The activities of this community facilitate the advancement of knowledge through its triennial conferences, specialized workshops, and rapid (electronic) dissemination of research via the Stochastic Programming E-Print Series (SPEPS).

Link Library: Statistical Data Mining Tutorials

Sat, 18 Jun 2011 19:01:17 +0000

This list of links point to a set of tutorials on many aspects of statistical data mining, including the foundations of probability, the foundations of statistical data analysis, and most of the classic machine learning and data mining algorithms. These include classification algorithms such as decision trees, neural nets, Bayesian classifiers, Support Vector Machines and cased-based (aka non-parametric) learning. They include regression algorithms such as multivariate polynomial regression, MARS, Locally Weighted Regression, GMDH and neural nets. And they include other data mining operations such as clustering (mixture models, k-means and hierarchical), Bayesian networks and Reinforcement Learning.

Link Library: Signs that you're a bad programmer - Software Engineering Tips

Sat, 18 Jun 2011 18:57:16 +0000

Most of these faults were discovered the hard way by the author himself, either because he committed them himself or saw them in the work of others. This paper is not meant for grading programmers, it was intended to be read by programmers who trust their ability to judge when something is a sign of bad practice, and when it's a consequence of special circumstances. This paper was written to force its author to think, and published because he thinks you lot would probably get a kick out of it, too.

Link Library: C and C++ Programming tutorials and Source code - MYCPLUS

Sat, 18 Jun 2011 18:54:44 +0000

MYCPLUS “C and C++ Programming Resources” was developed after facing difficulties in learning programming languages back in college and university. The first ever computer programming I learnt was classical C programming language. The main focus of the website is also on C and C++ programming. This website has been developed to help out the students who are looking for resources on learning computer programming specially C and C++ programming languages. The website provides necessary resources like programming tutorials and source code and discussion forum where you can post your problems.

Link Library: Financial Document Pricing Using C++ - the webpage of the book

Sat, 18 Jun 2011 18:49:20 +0000

This is the unofficial website of this book, maintained by Dr. Egor Kraev with the blessing of Dr. Daniel Duffy. The purpose of the site is to compile in one place all issues, comments, and corrections for this book. Please email egor@egor.ch if I've missed any web sources containing substantive discussions of the book; if there was code in the book that did not work as it should, and is not yet mentioned here, please tell me (especially if you managed to fix it). The authoritative source on anything connected with the book remains the C++ in Financial Engineering forum on Dr. Duffy's website.

Link Library: ALGLIB - Cross-platform numerical analysis and data processing library

Sat, 18 Jun 2011 18:36:22 +0000

ALGLIB is a cross-platform numerical analysis and data processing library. It supports several programming languages (C++, C#, Pascal, VBA) and several operating systems (Windows, Linux, Solaris). ALGLIB features include: Linear algebra (direct algorithms, EVD/SVD) Solvers (linear and nonlinear) Interpolation Optimization Fast Fourier transforms Numerical integration Linear and nonlinear least-squares fitting Ordinary differential equations Special functions Statistics (descriptive statistics, hypothesis testing) Data analysis (classification/regression, including neural networks) Multiple precision versions of linear algebra, interpolation optimization and others algorithms (using MPFR for floating point computations)

Link Library: QuantLib: a free/open-source library for quantitative finance

Sat, 18 Jun 2011 18:30:44 +0000

The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life. QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme. The QuantLibAddin/QuantLibXL project uses ObjectHandler to export an object-oriented QuantLib interface to a variety of end-user platforms including Microsoft Excel and OpenOffice.org Calc. Bindings to other languages and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, COM/CORBA/SOAP architectures, FpML, are under consideration. See the extensions page for details. Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a stronger interaction between them. QuantLib offers tools that are useful both for practical implementation and for...

Link Library: RQuantLib interface from GNU R to QuantLib

Sat, 18 Jun 2011 18:22:27 +0000

RQuantLib started with support for (vanilla and exotic) equity options. Standard European and American exercises are supported as well as Binary and Barrier options. Asian options are supported with both geometric and arithmetic compounding.

Link Library: quantmod: Quantitative Financial Modelling Framework

Sat, 18 Jun 2011 18:14:51 +0000

The quantmod package for R is designed to assist the quantitative trader in the development, testing, and deployment of statistically based trading models. What quantmod IS A rapid prototyping environment, where quant traders can quickly and cleanly explore and build trading models. What quantmod is NOT A replacement for anything statistical. It has no 'new' modelling routines or analysis tool to speak of. It does now offer charting not currently available elsewhere in R, but most everything else is more of a wrapper to what you already know and love about the language and packages you currently use. quantmod makes modelling easier by removing the repetitive workflow issues surrounding data management, modelling interfaces, and performance analysis.

Link Library: Python and R for quantitative finance

Sat, 18 Jun 2011 18:11:36 +0000

An introduction to using Python and R for quantitative finance applications. Python and R for quantitative finance View more presentations from Luca Sbardella

Link Library: C++ Code Collected by Quantitative Finance Code Collector

Sat, 18 Jun 2011 18:03:59 +0000

Link Library: Quantitative Finance Collector

Sat, 18 Jun 2011 18:00:03 +0000

Quantitative Finance Collector is a blog on Quantitative finance codes, methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management.

Link Library: The R Project for Statistical Computing on Linkedin

Sat, 18 Jun 2011 16:55:48 +0000

R is a language and environment for statistical computing and graphics. It is a GNU project which is similar to the S language and environment which was developed at Bell Laboratories (formerly AT&T, now Lucent Technologies) by John Chambers and colleagues. R can be considered as a different implementation of S. There are some important differences, but much code written for S runs unaltered under R.

Link Library: QuantStart

Sat, 18 Jun 2011 16:43:14 +0000

QuantStart was setup to help people learn quantitative finance (QF). QF is a broad area and covers multiple topics such as Financial Engineering, Algorithmic Trading and Risk Management. The articles will provide a general discussion of QF, including book reviews, industry changes and new computational or modelling techniques. The technical tutorials section will concentrate on teaching the mathematics and software development principles that accompany QF. In time, more comprehensive guides will be written about specific areas. The latest QF events and current jobs will be posted at QuantStart also.

Link Library: QuantTrader

Sat, 18 Jun 2011 16:27:59 +0000

A Blog about Quantitative trading, programming and more. This blog is primarily for recording my thoughts, trading ideas and research. This will include: trading, quantitative analysis, programming, financial markets, trading strategies, optimizing and many many more. I hope you will find something useful or inspiring and that you will at least leave small message for me. In short, I am a recent graduate with MSc. in Financial Mathematics with HUGE passion for finance and trading. Currently I am developing my strategies and testing them.

Link Library: Parallel Computing for Computational Finance Applications: A Case Study Parallelizing NAG with Zircon Software (pdf)

Sat, 18 Jun 2011 16:16:24 +0000

Abstract Analysts, scientist, engineers, and multimedia professionals require massive processing power to analyze financial trends, create test simulations, model climate, compile code, render video, decode genomes and other complex tasks. Although these groups could use specialized super computers, the custom development time and the hardware costs are prohibitive. This paper describes how we applied the Zircon adaptive high-performance computing software platform and tools with the NAG C library to substantially improve the performance of a representative complex computational finance application via distribution and parallelization, thereby reducing the total computation time from several hours to several minutes.

Link Library: NVIDIA Video: Adam and Jamie explain parallel processing on GPU's

Sat, 18 Jun 2011 12:06:53 +0000

Link Library: Video - Efficient Heterogeneous Parallel Processing The Design of a Micropolygon Rendering Pipeline

Sat, 18 Jun 2011 12:03:07 +0000

Designing systems that are high-performance, power-efficient and easily programmable by non-experts is important at all levels of computing. Kayvon Fatahalian of Stanford University spoke at the University of Washington about this topic. While many recent innovations in parallel systems address this challenge in a general context, real-time graphics systems have achieved similar goals through domain-influenced co-design of algorithms, programming interfaces and heterogeneous, parallel hardware.

Link Library: Integrating GPU Computing into Mathematica Case Study: Longstaff-Schwartz Monte Carlo

Sat, 18 Jun 2011 11:58:34 +0000

Wolfram Research and NVIDIA partnered to host the Optimizing Financial Modeling seminar in January 2011. Attendees discovered why many of the world's leading financial institutions rely on Mathematica as their computational tool of choice and learned how using Mathematica in combination with NVIDIA's groundbreaking GPU technology can give you the edge you need in an increasingly competitive environment. In this video, NVIDIA's Senior CUDA Consultant John Ashley explains how CUDA programming is changing financial computation.

Link Library: O'Reilly Webcast: GPU Supercomputing for Finance

Sat, 18 Jun 2011 11:09:40 +0000

Presented by Andrew Sheppard. GPU supercomputing in finance is about doing things faster than ever before. Trading is already mostly real-time, because it pays to be there first, ahead of the other guy. And even those aspects of finance that are not yet real-time (currently risk and compliance often lag behind trading), they are moving to real-time as well. In fact, the whole world seems to be moving to real-time; finance will simply get there first because the incentives are so great.

Link Library: Video - Two Vignettes in Computational Finance

Sat, 18 Jun 2011 11:04:51 +0000

Speaker: Michael Kearns Host: Milan Vojnovic Affiliation: University of Pennsylvania Duration: 01:09:04 Date recorded: 24 March 2011 I will discuss two results in quantitative finance in which algorithmic arguments play a central role. In the first part, I will introduce the problem of order dispersion in dark pools, a relatively new kind of equities exchange in which traders seek to 'invisibly' trade large volumes at market prices. I will present a provably efficient algorithm for near-optimal order placement in dark pools. This algorithm is based on methods from reinforcement learning and the Kaplan-Meier estimator from survival analysis. In the second part, I will compare two different models for the arriving limit order prices in the standard continuous double auction mechanism of electronic trading. In one model, traders are seen as having 'fundamental' views on price, while in the other they form prices only relative to those of other traders. I will quantify a...

Link Library: StocVol.com

Mon, 09 May 2011 19:28:00 +0000

A web resource created by Martin Forde, a research fellow in the Dept of Mathematics at Dublin City University. He previously worked as a visiting Assistant Professor at the University of California at Santa Barbara, and before that as a quant in interest rate derivatives at Commerzbank and in FX options at Dresdner and HSBC. StocVol.com provides Mathematica notebooks to price put and call options under stochastic volatility models using exact pricing methods or results on small-time, large-time and tail asymptotics. The StocVol smile toolpack: A toolpack of easy-to-use Mathematica notebooks to compute put/call option prices and implied volatility for the following models: - SABR model: small-time, large-time, and exact pricing for rho=0; - Modified SABR model: large-time and exact pricing; - CEV model: small-time, large-time and exact pricing; - Heston model: small-time, large-time large-strike and large-time fixed-strike regimes, and tail...

Link Library: GPGPUs in computational finance: Massive parallel computing for American style options

Sat, 07 May 2011 11:22:16 +0000

Gilles Pages PMA - Laboratoire de Probabilites et Modeles Aleatoires Benedikt Wilbertz PMA - Laboratoire de Probabilites et Modeles Aleatoires Abstract The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaff-Schwartz method) for the evaluation of conditional expectations which arise in the Backward Dynamic Programming principle for such optimal stopping or stochastic control problems in a Markovian framework. Unfortunately, these Least-Square Monte Carlo approaches are rather slow and allow, due to the dependency structure in the Backward Dynamic Programming principle, no parallel implementation; whether on the Monte Carlo levelnor on the time layer level of this problem. We therefore present in this paper a quantization method for the computation of the conditional expectations, that allows a straightforward parallelization on the Monte Carlo level....

Link Library: Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets

Mon, 25 Apr 2011 13:26:59 +0000

Tobias Preis, Peter Virnau1, Wolfgang Paul and Johannes J Schneider Abstract The compute unified device architecture is an almost conventional programming approach for managing computations on a graphics processing unit (GPU) as a data-parallel computing device. With a maximum number of 240 cores in combination with a high memory bandwidth, a recent GPU offers resources for computational physics. We apply this technology to methods of fluctuation analysis, which includes determination of the scaling behavior of a stochastic process and the equilibrium autocorrelation function. Additionally, the recently introduced pattern formation conformity (Preis T et al 2008 Europhys. Lett. 82 68005), which quantifies pattern-based complex short-time correlations of a time series, is calculated on a GPU and analyzed in detail. Results are obtained up to 84 times faster than on a current central processing unit core. When we apply this method to high-frequency time series of the German BUND...

Financial Technology Focus

Link Library: Video - One Half Second of High Frequency Trading in a Single Stock

Vendor News: Portfolio Probe version 1.06 released

Vendor News: April 19, 2013 - SS&C GlobeOp Forward Redemption Indicator: April notifications 2.95%

Vendor News: Fidessa partners with key brokers to provide pan-ASEAN trading service

Vendor News: Infosys Positioned as a Leader in Gartner Magic Quadrant for Oracle Applications Management Service Providers, Worldwide

Video: Larry Tabb on The Future Of Data Management in a post-Crisis World

SEC-mandated XBRL data at risk of being irrelevant to investors and analysts

Video - Trading's evolving next generation? Control systems, feedback loops, adaptive knowledge capture

Video - Ciamac Moallemi: High-Frequency Trading and Market Microstructure

Vendor News: NAG announces support for IBM BlueGene/Q supercomputers

Vendor News: Prescient Ridge Management signs Connamara Systems for New Trading Infrastructure and Support Services

Intel and OnX Announce Social Media Hub for the Finteligent Trading Technology Community

Vendor News: Buy-side forced to adopt more sophisticated risk management as interconnectivity between buy-side stakeholders grows, says Algorithmics, an IBM Company

Link Library: Black Rhino - A Financial Network Multi Agent Simulator

DataSift Launches Social Feeds for the Financial Services Industry

Wired Magazine asks how Wall Street Got Addicted to High-Frequency Trading

Link Library: Tobias Preis's GPGPU Research Page

Algorithmic Trading Glitch Costs Knight Capital $440 Million

FIA European Principal Traders Association Market Integrity Framework: Best Practices to Preserve Market Integrity

Artificial Intelligence, unstructured data and banking scams

Link Library: Notes for Economists on Writing Code

Mark Cuban: High-Frequency Traders Are the Ultimate Hackers

HFT Review Special Section: FPGA &amp; Hardware Accelerated Trading

The Microsecond Market

How to Land a Technology Job on Wall Street: Inside an Elite Wall Street IT Education

Link Library: The Lodestone Foundation

Stanford bioengineers create rewritable digital data storage in DNA

Special Report: The algorithmic arms race

Podcast - The State of the Art in Low Latency - The Daly Post

Link Library: Frequently Asked Questions about QuantLib

Bitcoin, the financial traders' anarchic new toy

Presentations & Audio from the 2012 London Low-Latency Summit

Video - Paul Kedrosky on Apple, BATS and HFT

Vendor News: Tradar and Nedelma introduce Mobile Portfolio Reporting App for iPad

Vendor News: Lombard Risk Dodd-Frank Act Engine as Solution for Title VII, Regulation of OTC Swaps Markets

Vendor News: The Institutionalisation of Hedge Funds - The Investor Due Diligence Bar Rises Ever Higher

Vendor News: Tradeweb Launches Multi-Dealer Trading Platform For FX Options

Vendor News: NYSE Euronext Announces Acquisition of Strategic Shareholder Interest in Fixnetix

Link Library: GPU-computing in econophysics and statistical physics (pdf)

Vendor News: SAP Achieves 2011 Sustainability Goals With Increases in Carbon Efficiency, Women in Management and Employee Engagement

Vendor News: Rogue Wave Delivers TotalView for IBM Blue Gene/Q to LLNL

Vendor News: StatPro Revolution Named "Best Buy-Side Newcomer" at 2011 Buy Side Technology Awards

Vendor News: Orchestrade Partners with Numerix to Expand Cross-Asset Pricing, Valuation and Risk Coverage

Vendor News: Intrinsic Research Systems partners with Kalotay Analytics

Vendor News: Quantifi Wins Risk Magazineâs Coveted Risk Management Technology Product of the Year Award

Vendor News: AlignAlytics announces strategic alliance with TransAccel Group Neary named to solutions leadership role with premier services firm

Link Library: Presentation - Parallel Computing and Applications in Finance (pdf)

Link Library: General-Purpose Computing on Graphics Processing Units (GPGPU) article at Wikipedia

Link Library: Presentation - Computational finance on GPUs (pdf)

Link Library: Martin Keller-Ressel's R-Code for Finance

Link Library: Lush: Lisp Universal SHell

Link Library: List of R functions and packages for Computational Econometrics

Link Library: Mathtools.net - Link Exchange for the Technical Computing Community

Link Library: Black-Scholes option pricing with CUDA - Nvidia (pdf)

Link Library: Monte Carlo Option Pricing with CUDA - NVIDIA

Link Library: Introductory Econometrics - Excel add-ins

Link Library: Crash into Python

Link Library: MIT OpenCourseWare - Integer Programming and Combinatorial Optimization, Fall 2009

Link Library: MIT OpenCourseWare - Nonlinear Programming, Spring 2004

Link Library: Clever Algorithms - Nature Inspired Recipies

Link Library: The Financial Services Grid Initiative

Link Library: Java Quant - Quantitative Financial Algorithms

Link Library: JQuantLib

Link Library: Stack Overflow

Link Library: The Quantian Scientific Computing Environment

Link Library: Marketcetera - Open Source High Frequency Trading

Link Library: QFF - The Quantitative Finance Framework

Link Library: GNU Octave

Link Library: Kooderive - code for pricing financial derivatives products using CUDA

Link Library: ISDA CDS Standard Model

Link Library: Santa Fe Institute "Artificial Stock Market" simulation model

Link Library: Agent Based Market Model Simulator

Link Library: Wavelet Software

Link Library: The Gaussian Processes Web Site

Link Library: Stochastic Programming Community Home Page

Link Library: Statistical Data Mining Tutorials

Link Library: Signs that you're a bad programmer - Software Engineering Tips

Link Library: C and C++ Programming tutorials and Source code - MYCPLUS

Link Library: Financial Document Pricing Using C++ - the webpage of the book

HFT Review Special Section: FPGA & Hardware Accelerated Trading