- Today, 1:15 pm
- Forum: Programming and Software Forum
- Topic: Open binary file format
- Replies:
**3** - Views:
**71**

I can't answer about the performance. But hdf5 is not a database. You can use a database as you want "random" access. One of the DBs used by HFT traders is QuasarDB: https://www.quasardb.net/product It is not open source but there is a free "community edition". QuasarDB is a high performance, distri...

- Yesterday, 9:05 pm
- Forum: Programming and Software Forum
- Topic: Open binary file format
- Replies:
**3** - Views:
**71**

- November 8th, 2018, 6:30 pm
- Forum: Programming and Software Forum
- Topic: Julia in finance
- Replies:
**3** - Views:
**119**

Have a look here: https://juliacomputing.com and specifically: https://juliacomputing.com/domains/finance.html

There is an example of using julia for fast AD: https://wilmott.com/automatic-for-the-greeks/

There is an example of using julia for fast AD: https://wilmott.com/automatic-for-the-greeks/

- November 6th, 2018, 2:57 pm
- Forum: Numerical Methods Forum
- Topic: Proof that Newey West standard error estimator is positive semi defnite
- Replies:
**4** - Views:
**234**

Well, no proof was given there, it just said, have a look to McLeod paper.

Here a screenshot of that proof:

Here a screenshot of that proof:

- November 5th, 2018, 3:13 pm
- Forum: Numerical Methods Forum
- Topic: Proof that Newey West standard error estimator is positive semi defnite
- Replies:
**4** - Views:
**234**

Is that theorem 1 ( [$] \hat{S_{T}} [$] is positive semi-definite)?

- November 1st, 2018, 5:03 pm
- Forum: Numerical Methods Forum
- Topic: Who understands Black Scholes Boundary Conditions, really
- Replies:
**183** - Views:
**183102**

So they use a Dirichlet BC at x = 0 and they do not use any BC at the far field boundary. and they wrote "Instead, we reduce grid points by one in every time step" ??????? Here a screenshot of that part of the paper: https://www.mfquant.net/wp-content/uploads/2018/11/Screenshot_20181101_175751.png

- July 27th, 2018, 1:08 pm
- Forum: Numerical Methods Forum
- Topic: Calculate the derivative of exp(A) over A
- Replies:
**54** - Views:
**1737**

Never understood why paying for a scientic paper (between $10-$30 and it's a pdf file!!!).

When I don't find the paper online (for free), I ask the author.

Sci-Hub is a breath of fresh air for a LOT of scientists around the world who can't afford the predatory prices (and practice) of the editors.

When I don't find the paper online (for free), I ask the author.

Sci-Hub is a breath of fresh air for a LOT of scientists around the world who can't afford the predatory prices (and practice) of the editors.

- July 27th, 2018, 12:46 pm
- Forum: Numerical Methods Forum
- Topic: Calculate the derivative of exp(A) over A
- Replies:
**54** - Views:
**1737**

"Numerical algorithms based on the theory of complex variable" , Lyness, 1967 (paywall) How to get the article for free (as the author get $0 anyway): get the DOI reference from the paywall web page. go to https://twitter.com/sci_hub click on the link on the left hand side. It is now: https://sci-...

- July 26th, 2018, 11:26 pm
- Forum: Trading Forum
- Topic: Jump models in practice
- Replies:
**27** - Views:
**1316**

Yes, it was more severe than INTC and MSFT in 2000 (resp $90 bn, $80 bn loss).

- July 12th, 2018, 6:18 pm
- Forum: Numerical Methods Forum
- Topic: Calculate the derivative of exp(A) over A
- Replies:
**54** - Views:
**1737**

something like [$] \frac{d^2 f}{dz_i d\overline{z}_j} [$] for a function [$] f(z_1, z_2, ..., z_n) [$]

- July 12th, 2018, 4:01 pm
- Forum: Numerical Methods Forum
- Topic: Calculate the derivative of exp(A) over A
- Replies:
**54** - Views:
**1737**

The Hessian of a complex function?

- July 10th, 2018, 1:27 pm
- Forum: Numerical Methods Forum
- Topic: Calculate the derivative of exp(A) over A
- Replies:
**54** - Views:
**1737**

Simple question which stumps me: I have a complex square matrix H. There are some nice methods for calculating exp(H). What about calculating the derivative of exp(H) over elements of H? To be precise: let M = exp(H). I want to calculate dM_{jk} / dH_{mn} numerically, accurately and (relatively) q...

- July 10th, 2018, 1:25 pm
- Forum: Numerical Methods Forum
- Topic: Calculate the derivative of exp(A) over A
- Replies:
**54** - Views:
**1737**

One more question, as Lt Colombo says: can you recommend a good algorithm to compute the exponential of a complex matrix? Al-Mohy, A. H. and N. J. Higham, “A new scaling and squaring algorithm for the matrix exponential,” SIAM J. Matrix Anal. Appl., 31(3) (2009), pp. 970–989. use your favourite sea...

- May 14th, 2018, 10:12 am
- Forum: Programming and Software Forum
- Topic: C++ quiz - Maths and acccuracy
- Replies:
**520** - Views:
**30180**

I stay with universal languages, e.g C++/Fortran

- May 14th, 2018, 9:46 am
- Forum: Programming and Software Forum
- Topic: C++ quiz - Maths and acccuracy
- Replies:
**520** - Views:
**30180**

For the AD method for greeks, have to look to Mike Giles work.

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