Knowledge Base

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This section is a potpourri of tips, tricks, recipes and, in some cases, essays on finance, mathematics, and programming.

Unlike the Reading List and Resources, these are our original contributions unless otherwise stated.

These are simple tricks of the trade that we use in our everyday work. Chances are that we didn't have the time to write up the more sophisticated techniques. This section is always under construction.

We are always looking for editors contributors.

Please contact paul who happens to be at thalesians.com.

The road to wisdom? — Well, it's plain
and simple to express:
Err
and err
and err again
but less
and less
and less.

A grook by Piet Hein (1905-1996)

Finance

Fundamentals

Data

Foreign Exchange

Mathematics

Programming

Software Engineering

CUDA

C++

  • General — a collection of C++ tips, tricks, recipes, and general wisdom.
  • Effective C++
  • More Effective C++
  • Effective STL
  • Boost.Python Step by Step — my tutorial on Boost.Python, a Boost C++ library for building hybrid systems in Python and C++. Historically, much of the code in scientific computing and quantitative finance is written in C++. But it is generally far more convenient to deal with high-level languages, such as Python. Boost.Python attempts to bridge this gap by facilitating the creation of Python wrappers for C++.
  • log4cxx — a logging framework for C++ patterned after Apache log4j.

C#

Java

  • General — a collection of Java tips, tricks, recipes, and general wisdom.
  • Effective Java — a book by Joshua Bloch on the Java programming language. James Gosling, the father of the Java programming language, wrote about this book: "I sure wish I had had this book ten years ago. Some might think that I don't need any Java books, but I need this one." We require everyone that contributes to our Java code to read this book. In this Knowledge Base page we reproduce its table of contents (publicly available).

Python

  • General — a collection of Python tips, tricks, recipes, and general wisdom.
  • Boost.Python Step by Step — my tutorial on Boost.Python, a Boost C++ library for building hybrid systems in Python and C++. Historically, much of the code in scientific computing and quantitative finance is written in C++. But it is generally far more convenient to deal with high-level languages, such as Python. Boost.Python attempts to bridge this gap by facilitating the creation of Python wrappers for C++.
  • IronPython — IronPython is an implementation of the Python programming language running under .NET and Silverlight. It supports an interactive console with fully dynamic compilation. It is well integrated with the rest of the .NET Framework and makes all .NET libraries easily available to Python programmers, while maintaining compatibility with the Python language.
  • matplotlib — a python 2D plotting library which produces publication quality figures in a variety of hardcopy formats and interactive environments across platforms.

MATLAB

  • General — a collection of MATLAB tips, tricks, recipes, and general wisdom.

VBA and Excel

Relational Databases

Time-Series Databases

  • Kdb+ — a unified database for capturing and analysing streaming and historical data, which is frequently used in algorithmic trading.

Unix and Linux

  • General — a collection of Unix tips, tricks, recipes, and general wisdom.

Windows

Tools

Web Technologies

Personal tools