June 19th, 2014, 9:00 am
QuoteOriginally posted by: VivienBQuoteOriginally posted by: linustHow widespread is the use of functional languages like Haskell and OCaml in quant finance? At Credit Suisse, Haskell were used, but it seems it is not the case anymore. At Barclays they use Haskell (to develop their "Functional Payout Framework", an implementation of Jones, Eber, Sewar articles). About OCaml, it is used at Jane Street, and at LexiFi (I work here. We develop MLFi, our extension of OCaml that implements the Jones, Eber, Sewar articles. Jean-Marc Eber is the founder and still the CEO). Since a few time, there is also Bloomberg that use a little bit OCaml (we licensed them our technology).It seems there is also some IB that use F# but not for quant purposes.QuoteOriginally posted by: linustI get the feeling that many of the models and algorithms discussed here could be expressed very neatly and nicely in declarative form, being highly mathematical. Of course, performance is often an issue but there have been plenty of development in that area (OCaml is a good example).Indeed, a lot of quant algo are very easy to implement in FP (however, with pure FP it can be the opposite, that's why I appreciate multi paradigm languages (like OCaml)). About performances, OCaml is reasonable (with some low level function implemented in C / Fortran). Moreover, FP provid easy way to drastically improve algorithm, eg memoization, or partial application (with precomputations) (note: my opinion can obviously be biased).Functional programming older (Church, 1930s?) than OOP and even Fortran and COBOL. It did not catch on for several reasons. You see traces of FP entering C++, C#.
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Cuchulainn on June 18th, 2014, 10:00 pm, edited 1 time in total.