Hi Baltar,

It is interesting presentation.
There is intriguing aspect, which I think answers most of the questions: they are looking for people able to program in OCaml. After 3 years since the presentation was written I do not see that OCaml is dominating language (Is it?).
As for me, I am reluctant to spend time to learn it since fast code I will produce with C/C++. Any statistical and econometric procedures I will find in R and unwrap them to use in my code.
So the question is... why this relatively new language is better? Do we invent bike again?
Comments...


Regards,
T.  :)

IMHO, both functional and imperative programming models can happily co-exist even in the context of the same strategy. The latter can be nicely layered with the "quant core" (signal generator or whatever it might be) implemented in the functional language. The order placement optimisation, on the other hand, requires state. This is where the imperative approach comes in handy. I am hypothesizing here.

In my practical experience, the usage of functional language did not go beyond prototyping. I have always found it convenient to "port" solutions to a more traditional language (Java in my case) and optimise things for performance where needed. This is just my personal preference.

Functional languages have some advantages over imperative ones. At the moment, the argument goes like this.
1) Imperative languages continue borrowing from functional languages whenever they meet some problems. Examples are Template metaprogramming in C++ (Generics in C#/Java to some extend), lambda-calculus (closures in various languages). So, why not use functional languages all along then?

2) Writing code is difficult, learning curve is steep. But the code produced is less buggy. It is very often the case in Haskell that once it compiles - it has no bugs.

3) Multi-core, Multi-processor architectures are becoming cheaper, stronger and more accessible. Writing multi-threaded program even on single CPU machine is hard in general. Parallelizing algorithms is hard too. Programs written in functional languages are easily parallelizable. The closest alternative to Haskell-style parallelization in C++ is openPM.

Co0olCat wrote on 07/06/08 at 19:51:59:


Boost [1]is a popular C++ Library.  Within it are a number of add-ons providing functional programming ability to the multi-paradigm programing language C++.  One of the newest arrivals is Phoenix.  [2].  One add-on which has been around for a while is Lamba.  [3]

[1]  http://www.boost.org/doc/libs/1_36_0/libs/libraries.htm#Function-objects
[2]  http://www.boost.org/doc/libs/1_36_0/libs/spirit/phoenix/doc/html/index.html
[3]  http://www.boost.org/doc/libs/1_36_0/doc/html/lambda.html

I believe that Scala is a very likely candidate for being the 'next-gen' language for the JVM platform. Its benefits include being full blown OOP (even more so than Java in a sense), full blown FP, static typing (though having many benefits of dynamic typing by employing very careful and intelligent trade-offs), 100 % compatibility with JVM, to name just a few. It's perfectly suitable for financial institutions having large investments in Java IMHO.

Same things can be said for F# on .NET platform.

I have been in one company on interview some time ago and they use Scala for Monte-Carlo option pricing. They proudly stated that they haven't noticed any particular problems with speed.

Talking to other companies I also noticed that all Java-shops end up having a grid of computers (may be just a few PCs, or 30-40-100s).

It might be the case that C++ might suddenly half-die, given some imperfections accumulated over time. It just needs a final blow.

Discaimer: I am C++ programmer myself for 10+ years and would rather it doesn't die soon, but I have always been impressed with functional languages (since may be 1st year of uni).

qroach wrote on 04/07/09 at 12:37:40:


As much as I like C, I perceive C++ as a syntactical Frankenstein. It will last for a while though. I have progressively migrated most of my work to Java over the last 9 years.

Disclaimer: I have been programming in C/C++ since I was a teenager (it's scary to put the number of years...) and Java since 1997. Although I have always liked functional languages, I have never used them in production applications, only in throw-away prototypes.