Serving the Quantitative Finance Community

 
User avatar
MTorrejon
Topic Author
Posts: 7
Joined: April 21st, 2016, 2:11 pm
Location: LIMA
Contact:

Julia in finance

November 7th, 2018, 4:27 pm

Hi all
What do you think about this new programming language in quantitative finance particularly in classical quant finance i.e. derivatives pricing. Pros and cons vs C++/Python or other software as matlab. It is worth studying it?
thanks 
Miguel
Last edited by MTorrejon on November 9th, 2018, 5:52 pm, edited 1 time in total.
 
User avatar
Cuchulainn
Posts: 65000
Joined: July 16th, 2004, 7:38 am
Location: AV_63

Re: Julia in finance

November 8th, 2018, 1:22 pm

What's v++?

Why Julia in your opinion? The next great wave?

Here is another exotic(?) language
viewtopic.php?f=10&t=101226
planetoid 65000 == 2002 AV_63
 
User avatar
katastrofa
Posts: 10343
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Julia in finance

November 8th, 2018, 4:57 pm

It's a bug in C++, Cuchulainn ;-)
"C/C++" was already disturbing, but "C++/Python" is wicked...

I'm also curious if Julia is popular in finance. I looked into it briefly, but it seems in my case making use of its potential would require too much RAM.
 
User avatar
FaridMoussaoui
Posts: 507
Joined: June 20th, 2008, 10:05 am
Location: Genève, Genf, Ginevra, Geneva

Re: Julia in finance

November 8th, 2018, 6:30 pm

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/
 
User avatar
Cuchulainn
Posts: 65000
Joined: July 16th, 2004, 7:38 am
Location: AV_63

Re: Julia in finance

May 21st, 2019, 7:30 pm


There is an example of using julia for fast AD: https://wilmott.com/automatic-for-the-greeks/
 I suppose Julia supports complex arithmetic?
planetoid 65000 == 2002 AV_63
 
User avatar
FaridMoussaoui
Posts: 507
Joined: June 20th, 2008, 10:05 am
Location: Genève, Genf, Ginevra, Geneva

Re: Julia in finance

May 22nd, 2019, 12:15 pm

 
User avatar
snowde
Posts: 9
Joined: December 14th, 2021, 4:15 pm

Re: Julia in finance

December 16th, 2021, 11:31 am

I think this article is really telling, its an excellent exposition of some of the problems with Julia https://viralinstruction.com/posts/badjulia/
 
User avatar
tagoma
Posts: 18915
Joined: February 21st, 2010, 12:58 pm

Re: Julia in finance

December 21st, 2021, 8:23 pm

thank you for this article @snowde.
it looks scary.
 
User avatar
bearish
Posts: 6821
Joined: February 3rd, 2011, 2:19 pm

Re: Julia in finance

December 22nd, 2021, 3:39 am

It is a really cool and powerful 21st century programming language, with a particular affinity for math. Can it do everything that python, C++ or COBOL can do for you? No. And that’s why we will have to keep those languages and their native speakers around for decades. But if you’re not overly constrained by a legacy environment, maybe something worth looking into.