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I have just coined a new term: (Programming) Language Silo In many cases, developers and quants' monolog interiors seem to be driven by their fascination/obsession with a single programming language (Sapir-Whorf again). This is caused by idiosyncratic views 1) efficiency, 2) elegance, 3)...

candidate c: "I was caretaker on Blasket Island" and I studied, ODE,PDE, SDE, FDM, ML and AI. https://www.irishexaminer.com/news/arid-30976640.html

How 'remote"?

How many hours 'real' coding as percentage of the other activities?

This may not be to everyone's taste. Whatever works for you. Thee are many ways to learn.

Quantnet/Baruch is unique: the dedication of TAs.

Anyone can write a book. That's the easy part. 60% of my time in a book/courses is exercises A-Z. Don't just read it; fight it! Ask your own question, look for your own examples, discover your own proofs. Is the hypothesis necessary? Is the converse true? What happens in the classical...

Question: 1 hour a day but for how many days :-)

What are the prerequisites? I reckon it is useful after you have learned the compiler and a bit of C.

Here is the slide show corresponding to my talk tomorrow

Real and Functional Analysis are core skills.

Rumour has it that Python is also written in C.

I have a number of projects that might be useful. What's the goals etc.?

Ah, OK. Over here in Europe we call it 'Algebra'. My school teacher was PhD and I Iearned group theory at 17. It does not have may applications in finance AFAIK.

The maths you mention here cannot be learned alone.

Olympiad == learning tricks?

See my courses where all these topics are worked out. https://www.datasim.nl/onlinecourses What's 'abstract algebra'??

https://www.meetup.com/thalesians/events/272215702/

Very impressive list of programming languages. I used Prolog in 1987 when the world thought it was the future. At the time the West was scared of the Japanese 5th Gen that was fueled by Python .. a paper tiger. https://en.wikipedia.org/wiki/Fifth_generation_computer

Anonymous message Professor Duffy, just one question do you any chance offer possibility of buying some book concerning Python with code as for Financial Instrument Pricing. I am in desperate need of professional python code [..] @APalley @Andy Nguyen

Out of interest, which programming language do you use/learn/apply during your CS education?

This is 100% correct. After all these years Computer Science still does not understand that software development is more of an engineering+ design discipline. Anyone can write a program that prints '42'. And unfortunately, the situation is exacerbated in ML. The real risk in the future is...

That's the correct answer. The original question is incorrect.

An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.

An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.

Traditionally, "linear algebra" tends to be taught in academia without dealing with "numerical" part. A better name is Vector (or Linear) spaces. To this stuff into a computer we have "Numerical Linear Algebra" and has algorithms for a wide range of problems and applications all over the place...

PDEs 'use' calculus. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations

Premature optimisation?

It takes years before you become any good at writing. Or any good at anything for that matter. And you need to know your readers. And take concrete examples that readers can check and generalise. Quite simple. actually. The source of all great mathematics is the special case, the concrete...

Congratulations!

I don't doubt that a lot of work is being done in this area. But my guess is it's not (yet) mainstream business.

I would say it's more in the CS academic sphere, in general. Complexity is (was?) about searching and sorting in data structures. Financial is more about maths + algorithms with data structures as side-kick.

I would round that number to 100% :cool:

The heart of mathematics (and C++, red.) consists of concrete examples and concrete problems. Big general theories are usually afterthoughts based on small but profound insights; the insights themselves come from concrete special cases.” — Paul Halmos

The books are a bit too CS and generic for my taste. Lots of syntax, very little design. No offence, but it's like reading the telephone book. Just my personal opinion. The best way to learn C++ is to write code, brick-by-brick. And the less copy-and-paste, the better. My videos have 80% of what...

In a sense, the best background is your brain + motivation. 90% is self-contained (I think), listen hard to the videos and do the exercises will bring you a long way. And the very helpful TAs!

A follow-on remark is that everything is built on C++, Fortran and COBOL. All (?) the Python libraries are C++ and Fortran wrappers.

Of course! C++ will be here at your retirement age (in the future == 85). Life-long learning! Who knows, may C++ will support Quantum Computing by then. https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0208073

You're welcome! Knowing C++ means you have a great headstart :)

There are lots! Here are two theses I supervised last year. https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance Initially, you first need to walk (learn the design process on a generic/non nitty-gritty cases) before running (actually applying design...

Is that the same as 'data structure', likes dict, set, matrices, HDF5?

Will the course teach good software principles that are often neglected by Python users? 1. Not so much neglect, more like no one out there (yet) to tell them how. I have several Python books but most are anaemic at the design level IMHO. 2. Universities have their strengths for sure, but in...

Oops, sorry, I missed that. One of the ways I could think of now is to start learning to backtest a strategy from quant reports. I would say that the next skills are to independently design and implement a program from scratch based on some requirements document? This is not a skill that you...

I recommend Quantnet C++ and then you start being able to think about the next level, i.e. design. Design != coding.

In bocca al lupo! Forza.

C module 1 is like Ogham until syntax becomes clear. Having got the syntax under your belt the rests is learning C++ concepts.

How many students know the chain rule, let's say transforming from (x,t) to (z, tau) z = z(x,t) = x/s(t) tau = t Now transform heat equation u_t = u_xx for 0 < x < s(t) to a PDE in z and tau for 0 < z < 1. // 95% get it wrong first time. Hint; use the chain rule and z is a function of TWO...

Historically, the ex-Cold War quants tended to be physicists. Physics uses a lot of mathematical symbols (and a bit of PDE/FDM)l to be sure but that's not the same as mathematical insights and methodology. TBH, I'm not sure how useful it is in the ML/Data era..

The big jump from {Java, Python, Matlab, <whatever>} to C++ immersion is huge. Do some C first. Believe me, otherwise 2 steps forward and 1 step backwards. Someone on QN once wrote that they learned more from QN C++ than 4-year CS degree programme. Saw this random observation... If you do not...

Looking back, I am very glad that the QN C++ course has 2 modules on C (you really learn what a compiler is). Of course, there's a lot of deprecated C code not to use but 1. you learn necessary structure 2. get close to the hardware. 3. C++ _is_ a better C Jumping into C++ w/o C foundations...

Linus Torvalds shudda taken the Quantnet/Baruch C++ courses.

A standalone option is a good idea, in combination with Python as well. Then it is A-Z.

BTW, Colin, Welcome to Quantnet!

I do Optimisaton as part of a numerics course https://www.datasim.nl/onlinecourses/101/distance-learning-applied-numerical-methods and its implemntation in Python https://www.datasim.nl/onlinecourses/106/distance-learning-applied-numerical-methods-with-python-and-python-libraries It is as an...

There are many good female quants but are you looking for those in the 'limelight' as it were? The ambiguity here is there is no agreed definition of what "quant". Each has her own internal model. On thing is sure: quant these days is all about progarmming. And Quantnet/Baruch has an impressive...

I suppose the first female "quant" was Ada Lovelace.

There was a time when people in industry could do both maths and programming (the word 'code' means nothing). Writing reliable software is a skill that takes years to learn.

This is super basic linear algebra, mostly definitions.

I find the term 'code monkey' to be offensive. What do they call you?

Computer Science doesn't have enough hard maths contents. This is not news. And numerical analysis is more useful than applied maths (whatever that means..) here. What do I know.

You should tell those recruiters to have a look at the Quantnet/Baruch C++ courses.

Well done! "if you can make it on QN C++ you can make it anywhere"!

Good luck! Enjoy the course.

You could make it into a charity!

1- Coders PHP developers good enough? BTW the modern word is programmer or developer. I would need 3-4 Quantnet/Baruch C++ developers. They would have it done before lunch.

This report undertakes a critical examination of the by now well-discussed open-source software based on an epidemiological model from a team from Imperial College London led by Dr. Neil Ferguson. I've been pontificating about good software project management for years but this high-profile...

First, get rid of the lawyer. Second, read this report https://quantnet.com/threads/analysis-of-covid-19-mathematical-and-software-models-or-how-not-to-set-up-a-software-project.44438/ 3. Project leader to keep group 1 from spinning out of control 🤕

That's 2 questions, one for ODEs, one for SDEs. I'm referring to ODEs (doesn't let Euler-Maruyama off the hook), Well-known issues, lots of them. Euler is no good for stiff ODEs, for example. Anyways, Euler is the least of their worries.

https://www.datasim.nl/blogs/27/analysis-of-covid-19-mathematical-and-software-models I've been pontificating about good software project management for years but this high-profile adventure exposes all the warts and all. The chickens have come home to roost.

There's a very good C++ course on Quantnet :-)

No problem! Lots of questions welcome :-)

Theoretical physics or experimental physics? How's your maths?

G. M. Weinberg 1998 The Psychology of Computer Programming, Dorset House.

You learn programming by programming. For C++ the Quantnet is the most mature and thorough. Write a robust and maintainable program.

I would say sections B, C, D, E correspond subsume calculus https://www.datasim.nl/application/files/1315/5947/7165/DL_Pure_Mathematics_Foundations.pdf Calculus is not analysis; the latter teaches differentiability while the former just 'does it'. Calculus == HOW Analysis == WHEN,WHY,WHAT...

It depends on the target/reader group. I work backwards to the books that satisfy the needs. I still don't know the precise definition of "Advanced Calculus"..

Nothing wrong with plumbing, that's life., It's ignorance of the underlying maths is dangerous.

You mean, the Joshi book or my book (2018 2nd edition is the most uptodate C=+11). The former is outdated. And traditional design patterns have been given a facelift in my courses. https://www.datasim.nl/application/files/5615/3778/5054/Chapter1Watermark.pdf The best way to learn C++11 etc...

On a related issue when someone says "I know linear algebra and calculus", it could mean almost anything.