Book Image

F# for Quantitative Finance

By : Johan Astborg
Book Image

F# for Quantitative Finance

By: Johan Astborg

Overview of this book

F# is a functional programming language that allows you to write simple code for complex problems. Currently, it is most commonly used in the financial sector. Quantitative finance makes heavy use of mathematics to model various parts of finance in the real world. If you are interested in using F# for your day-to-day work or research in quantitative finance, this book is a must-have.This book will cover everything you need to know about using functional programming for quantitative finance. Using a functional programming language will enable you to concentrate more on the problem itself rather than implementation details. Tutorials and snippets are summarized into an automated trading system throughout the book.This book will introduce you to F#, using Visual Studio, and provide examples with functional programming and finance combined. The book also covers topics such as downloading, visualizing and calculating statistics from data. F# is a first class programming language for the financial domain.
Table of Contents (17 chapters)
F# for Quantitative Finance
Credits
About the Author
About the Reviewers
www.PacktPub.com
Preface
Index

Looking at possible additions to the system


In this section, we'll look at possible additions to the trading system we have developed. The ideas here can work as inspiration for an interested reader. Trading systems involve topics from many areas in finance and computer science. The trading system developed here is rather elementary and is mainly for illustrative purposes.

Improving the data feed

The data feed used here isn't an actual feed; it's more of a data service. A data feed is as the name suggests: a feed of data. The data feed will provide a continuous stream of the market data to the application and follows a publisher-subscriber pattern. It's not easy to find a data feed provider that delivers data for free. The following is a list of some alternatives worth looking into:

Support for backtesting

Backtesting...