SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by MiloRambaldi
October 27th, 2014, 3:28 pm
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>QuoteOriginally posted by: Traden4Alpha[How do these systems encode more or less favorable combinations of the generic components? What if some RNGs interact badly with some distribution shaping algorithms so that they really are not suitable?If an RNG interacted badly with such an algorithm, wou...
by MiloRambaldi
October 27th, 2014, 1:21 pm
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: MiloRambaldiQuoteOriginally posted by: outrunQuoteOriginally posted by: MiloRambaldiI was looking at QuantLib's implementation and it is closely tied to the MT19937 (Mersenne Twister) generator. That's a design flaw, they should have...
by MiloRambaldi
October 19th, 2014, 12:13 am
Forum: Off Topic
Topic: Research Mathematicians
Replies: 38
Views: 5349

Research Mathematicians

QuoteOriginally posted by: CactusManPM me please and tell me what original results you have in mathematics.OK, but could you please answer my question first? PM if you prefer.
by MiloRambaldi
October 18th, 2014, 10:42 pm
Forum: Off Topic
Topic: Research Mathematicians
Replies: 38
Views: 5349

Research Mathematicians

QuoteOriginally posted by: CactusManHow many of you here are bona fide research mathematicians, meaning you have produced substantial results?I am. Why?
by MiloRambaldi
June 18th, 2014, 6:07 pm
Forum: The Quantitative Finance Code Library Project
Topic: TestU01-CMake
Replies: 0
Views: 14027

TestU01-CMake

<t>I needed the TestU01 library in a cross-platform project. As far as I know, the available library build system and prebuilt binaries only work with platforms providing GNU tools (this excludes Visual Studio). I made a CMake'd version of the the library, available here. It follows the GNU toolchai...
by MiloRambaldi
June 9th, 2014, 12:25 am
Forum: Careers Forum
Topic: Looking Back On it All
Replies: 18
Views: 6773

Looking Back On it All

QuoteOriginally posted by: sgabelQuoteOriginally posted by: MiloRambaldiNot do an MFE.Really why? What would you have rather done?My point was that they can be a lot worse than nothing. In my case I already had a PhD, as far as education goes.
by MiloRambaldi
June 6th, 2014, 4:50 pm
Forum: Careers Forum
Topic: Looking Back On it All
Replies: 18
Views: 6773

Looking Back On it All

Not do an MFE.
by MiloRambaldi
April 29th, 2014, 5:26 am
Forum: Programming and Software Forum
Topic: sha1
Replies: 35
Views: 6724

sha1

<r>QuoteOriginally posted by: katastrofaDon't use SHA1, it's been broken a long time ago.<URL url="https://www.schneier.com/blog/archives/2005/02/sha1_broken.htmlWell"><LINK_TEXT text="https://www.schneier.com/blog/archives/ ... n.htmlWell">https://www.schneier.com/blog/archives/2005/02/sha1_broken....
by MiloRambaldi
April 28th, 2014, 5:30 am
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>QuoteOriginally posted by: outrunMT is not a *very* good random engine (but better than most), e.g. the engine I've posted is much better random quality, same speed, O(1) discard. I think I can manage to get it accepted to boost which would make it easier to use. In particular MT fails these test...
by MiloRambaldi
April 28th, 2014, 5:11 am
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>QuoteOriginally posted by: outrunQuoteOriginally posted by: MiloRambaldiI was looking at QuantLib's implementation and it is closely tied to the MT19937 (Mersenne Twister) generator. That's a design flaw, they should have used orthogonal concepts and reuse standard concepts, abstract away specifi...
by MiloRambaldi
April 25th, 2014, 11:39 pm
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>QuoteOriginally posted by: outrunBoost recently switched from Box Muller to zigguratVery interesting. I was looking at QuantLib's implementation and it is closely tied to the MT19937 (Mersenne Twister) generator. It only uses 24-bits of the MT output to avoid some correlation issue.Do you know if...
by MiloRambaldi
February 17th, 2014, 3:12 am
Forum: Careers Forum
Topic: Best place to start a quant career?
Replies: 44
Views: 10704

Best place to start a quant career?

QuoteOriginally posted by: GamalTehran, IranWarsaw, PolandWroclaw(Breslau), PolandMoscow, RussiaPrague, Czech RepublicMilan, ItalyBonn, GermanyParis, France Toronto, CanadaNo offense, but you are an imbecile for putting Toronto, unless your only goal is to work as few hours as possible.
by MiloRambaldi
February 4th, 2014, 2:11 am
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ parallel random engine
Replies: 33
Views: 25891

sitmo C++ parallel random engine

<t>QuoteOriginally posted by: outrunYes, here is a very simple C++11 version that has 128 threads. 1. Each thread initializes a local rng engine with a unique seed (based on incrementing a global counter)2. then each thread does it main job: it accumulated the results of 1.000.000 draws from the eng...
by MiloRambaldi
February 4th, 2014, 1:37 am
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>I've done this stuff (random normal variate generation using the inverse CDF) at a previous job. Did you try using boost for the inverse normal CDF? It is extremely accurate, within a couple machine epsilon IIRC.Did you ever implement the Ziggurat algorithm? I'm looking to add more stuff to my "p...
by MiloRambaldi
January 10th, 2014, 2:39 pm
Forum: Programming and Software Forum
Topic: A Peer-To-Peer Options and Futures Exchange using Confidence Chains
Replies: 82
Views: 11324

A Peer-To-Peer Options and Futures Exchange using Confidence Chains

LOLQuoteOriginally posted by: outrunKanye West Demands Coinye Programmers Shut Down the Coinye West Coin
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