楼主: lanalpha
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[学科前沿] 在伦敦对冲基金工作多年的quant学习C++的经验 [推广有奖]

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lanalpha 发表于 2011-4-21 14:12:09 |AI写论文

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As promised, I am listing a few books and resources on C++, so you can plan a way to improve on your C++ knowledge.

I think a good start, is a good beginner book out of the following:

Sams Teach Yourself C++ in 24 Hours: Complete Starter Kit (Sams Teach Yourself): http://www.amazon.co.uk/Sams-Tea ... ours/dp/0672326817/
C++ Primer (Paperback) http://www.amazon.co.uk/Sams-Tea ... ours/dp/0672326817/

At the same time you could read this book, which is aimed who want to learn C++ by example in a short amount of time:
Accelerated C++: Practical Programming by Example (C++ in Depth) (Paperback) :
http://www.amazon.co.uk/Accelera ... ample/dp/020170353X
The classic book on the C++ syntax is the one written by its creator, Stroustrup, but it can feel a bit long:
The C++ Programming Language, Special Edition (Hardcover)
http://www.amazon.co.uk/C%2B%2B- ... cial/dp/0201700735/
Once you have acquired the basics, you should get knowledge of:

The standard library (standard collections and algorithms), previously known as Standard Template Library
Design patterns
Advanced knowledge of C++ and standard library
Standard Library
The following two books are the best on the subject:

The C++ Standard Library: A Tutorial and Reference (Hardcover): http://www.amazon.co.uk/C%2B%2B- ... ence/dp/0201379260/
The STL Tutorial and Reference Guide: C++ Programming with the Standard Template Library (Professional Computing) (Hardcover): http://www.amazon.co.uk/STL-Tuto ... ional/dp/0201379236

Design patterns

You could read the classic one on the subject: Design patterns : elements of reusable object-oriented software (Hardcover) : http://www.amazon.co.uk/Design-p ... nted/dp/0201633612/
However apparently this one gives a simpler and quicker overview of all of the classic design patterns: Head First Design Patterns (Head First) (Paperback) :http://www.amazon.co.uk/Head-First-Design-Patterns/dp/0596007124/

Advanced knowledge of C++ and STL
The following books are some of the best which can bring your C++ at a superior level (look them up on Amazon to get more details):
Exceptional C++, More Exceptional C++, Effective C++, More Effective C++, Effective STL, C++ Coding Standards

Once you have reached a good levelo by reading some of these books you can go to yet another level by reading the book "Modern C++ Design". If you understand everything you read in this book you can consider yourself a guru...

Hope you find these tips useful.
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关键词:quant 基金工作 对冲基金 Ant Professional following resources 对冲基金 start 伦敦

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沙发
lydqc 发表于 2011-4-21 15:12:23
谢谢!!非常有价值,也在学习C++呢,要能在衍生品等领域里熟练应用,一定要多加努力才行!

ps:能不能问一句,顶级金融机构里面的quant用C++都是自己编程吗?用类似quantlib等库的多不多?

藤椅
upperliu 发表于 2011-4-21 20:52:40
国内金融机构有宽客吗?

板凳
shocksky 发表于 2011-4-22 19:01:27
好像有人发过了
不以赚钱为目的的投资就是耍流氓!!

报纸
lanalpha 发表于 2011-4-22 23:57:24
2# lydqc
现在用quantlib的越来越多,比较方便。
不过我觉得primer不适合做textbook,做reference还差不多。
还在研究美国货币史

地板
waterloo168 发表于 2011-5-5 11:12:37
Some books are too long. The best way is practice.

7
zhengshengchen 发表于 2011-5-5 12:00:39
对冲基金一定要用C++吗?Matlab不行吗?
quantlib不太了解,属于基本的类似于工具箱的东西吗?

8
linandle 发表于 2011-5-6 11:10:24
就我现在的这家 hedge fund 而言,的确是需要C++自己来编程的,甚至是很多junior的数据处理算法。quantlib虽然是开源,但是考虑涉及的很多商业原因(比如code共享等),在内部平台上也是不允许调用这些开源模块的。
Matlab虽然功能很强,但是运算速度不行,做学术和普通的数据处理还可以,大型的仿真很难满足商业上的需要

9
天平TEL 发表于 2011-5-7 19:20:27
记下
向各位达人学习

10
norns 发表于 2011-7-22 12:17:20
linandle 发表于 2011-5-6 11:10
就我现在的这家 hedge fund 而言,的确是需要C++自己来编程的,甚至是很多junior的数据处理算法。quantlib虽然是开源,但是考虑涉及的很多商业原因(比如code共享等),在内部平台上也是不允许调用这些开源模块的。
Matlab虽然功能很强,但是运算速度不行,做学术和普通的数据处理还可以,大型的仿真很难满足商业上的需要
我觉得quantlib的框架还是挺好的,如果fund自己来做,有些东西得要1~2个月吧。是因为开源的问题就完全不能用了么?那太可惜了...

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