MATLAB vs. Python for Quant Work?

pnrodriguez · November 16th, 2009, 1:06 pm

Hi everyone,In the next couple of months, I want to learn a new language for prototyping. Which one would you recommend and why? Thanks!

louist1013 · November 16th, 2009, 8:11 pm

I like Python because it interfaces very well with C/C++ meaning that for performance critical sections of code, you can directly call C/C++ functions from Python. In the same vein, Python has binding for various GUI toolkits such as Qt (which I use and fully endorse as well). Also, the modules Numpy and MatplotLib do an excellent job of mimicking most Matlab functionality. Oh, and its free and open source

.

louist1013 · November 16th, 2009, 10:50 pm

Numpy can be build with BLAS or LAPACK. I don't remember which I have it built with, nor have I done any speed comparisons against Matlab or straight up C/C++ stuff.

louist1013 · November 16th, 2009, 11:00 pm

Python rocks! I totally endorse it

bojan · November 17th, 2009, 7:07 am

QuoteOriginally posted by: louist1013Numpy can be build with BLAS or LAPACK. I don't remember which I have it built with, nor have I done any speed comparisons against Matlab or straight up C/C++ stuff.It is both BLAS and LAPACK since they do different things And yes, you can use ATLAS versions of those. I agree, Python and extensions in C++/SWIG are a superb environment. We've had a few threads on this already with more details...

louist1013 · November 17th, 2009, 12:37 pm

oops, yes, bojan is correct. thanks for the correction!

pnrodriguez · November 17th, 2009, 12:40 pm

Thanks everyone for your tips!

Pannini · November 24th, 2009, 2:11 pm

QuoteOriginally posted by: louist1013Numpy can be build with BLAS or LAPACK. I don't remember which I have it built with, nor have I done any speed comparisons against Matlab or straight up C/C++ stuff.You can also build NumPy with the Intel Math Kernel Library.

dpinte · January 21st, 2010, 8:19 am

For those interested, I have posted a rough benchmark comparing the usage of the MKL against the old BLAS/LAPACK with numpy. The blog post is here : http://dpinte.wordpress.com/2010/01/15/ ... h-the-mkl/ . I want to add some information comparing it to Matlab. The first test made with a R2007a are interesting for numpy

goekhan · January 21st, 2010, 10:53 am

Clearly Python!! PyQT and you can use all the fortran, c/C++ library for the numerics too.

APS · January 21st, 2010, 8:50 pm

You can learn how to do useful things in MATLAB within a day. You can learn enough to be an expert within a few days or weeks. Given this consideration, there is no need to insist on using the exclusive OR in the statement about learning MATLAB OR ..

quantstart · March 8th, 2010, 7:22 pm

In regards to Python performance, this may come as a surprise to some: http://www.scipy.org/PerformancePython