Caml trading – experiences with functional programming on Wall Street [pdf] or(janestreetcapital.com)

60 pointsby mbrubeckvor 17 Jahren10 comments

Caml trading – experiences with functional programming on Wall Street [pdf] or

http://www.janestreetcapital.com/minsky_weeks-jfp_18.pdf

10 comments

spitfirevor 17 Jahren

This was an interesting read. You see lots of puff pieces telling you why you should use a language, but here's a sober experienced voice explaining how ocaml worked out for them. Warts and all. The warts are the most important part to know about.

It's sort of interesting what's happening in the finance industry today. You see less and less java/c# and more erlang, ocaml and ADA.

The CS geeks won out.

look_lookatmevor 17 Jahren

It's very interesting. This Jane St. video had a big influence on my decision to spend some time learning ocaml:

http://ocaml.janestreet.com/?q=node/61

spitfirevor 17 Jahren

Sorry to come back to this thread so late. But I'd like to add that I find Jane Street's sober, mature view to be very attractive. Not the usual pastel-coloured-hype you get from dotcoms, or Button-down-idiocy you get from corporate work but a very appealing no nonsense intellectual approach.

If I were looking for a job they'd be in my top 10. That is all, carry on.

Eliezervor 17 Jahren

I've given talks there and Jane Street is awesome. Just my 2c.

briancooleyvor 17 Jahren

At about 29:30 "You basically can't pay people enough to carefully review dull code."

I found that very insightful.

bravuravor 17 Jahren

"In short, programmers may sometimes avoid the same features that make OCaml such a pleasant language to program with. It is possible to address this problem by using more aggressive optimization techniques (e.g., whole-program optimization as is used in the MLton Standard ML compiler (MLton, 2007)). Unfortunately, it does not seem likely that such optimization will be available any time soon for OCaml."

Then why OCaml over Standard ML using the MLton implementation?

boskonevor 17 Jahren

Never could adapt to OCaml's undisciplined syntax. SML's is clean. MLTon is very nice with a couple of limitations, practical upper bound of program size and compilation times.

One of the co-authors, S. Weeks, was (is?) one of the core MLTon compiler developers. If feasible they certainly could have evolved the compiler and the SML language.

Somewhat interesting is F# lost out to Ocaml in a bakeoff.

In a way Jane St. has got themselves in a bit of a corner. I don't see how Ocaml is substantially less moribund then SML.

Here is an interesting thought to mull over. With the upcoming 2.8 Scala compiler _every_ substantive feature of (S/C)ML is available with equal or higher capability.

In other words, strike out use of objects in Scala and one is left with the most advanced (and active) MLs around. Hmm...

gaiusvor 17 Jahren

The revised syntax (camlp4) is much more regular, that's the only one I use.

gaiusvor 17 Jahren

He answers this: because OCaml is a much better "Unix citizen". Also, SML is a frozen standard, whereas OCaml is actively developed.

cemavor 17 Jahren

Definitely worth a read. They discuss which language features gave them advantage and disadvantage and so the lessons can be used by programmers in many other languages as well.