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Old 04-20-2017, 12:56 PM
Unabashed Fascist is offline
Join Date: Mar 2017
Location: Nevada
Posts: 82
"Quantitative Finance is a highly complex interdisciplinary field, which covers mathematics, finance, and information technology; navigating it successfully requires specialist knowledge from many sources, such as financial derivatives, stochastic calculus, and Monte Carlo simulation."

- Advanced Quantitative Finance with C++ by Alonso Pena

I try to read a technical book ever quarter, and I choose this one because I was interested (and super ignorant) regarding the techniques behind high frequency trading. The programs which do HFT need to make predictions and arbitrages really, really fast, as billions of dollars are being moved around every minute.

It's some of the most optimal code around. The fiber optic cables which they use to connect the servers in the NYSE are all measured to be the exact same length, as even a foot of difference adds an additional 1.5 microsecond delay, which could be the difference between making or losing money.

It's like an enormously complex game of undeterminable size and dimension, with millions of moves made daily, all by highly efficient programs. It's honestly kind of scary. I mean this is the backbone of the world's economy we're talking about here.