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Recent content by Yike Lu

  1. Yike Lu

    MFE: To do or not to do?

    I wouldn't use the word "flexible". I think the functional style and the extra math does make functional languages more rigorous, but it removes some flexibility. It's always a tradeoff. Flexibility vs strong guarantees. Python to me represents the higher flexibility end of the continuum. C++...
  2. Yike Lu

    Where should I focus on if I would like to switch to quantitative finance

    Reading the market and economy -- as in a traditional analyst? That's not a match for your skills, but as it with anything it can be done. More likely would be something statistics and machine learning based.
  3. Yike Lu

    Where should I focus on if I would like to switch to quantitative finance

    Not necessary. You should try getting a few interviews and see how you fare, as a first step. No harm, as any "wait X time before re-applying" is going to be less than the time for MFE. Depends on what kind of QF job you're looking for. I'd do some research on the landscape of roles if I were...
  4. Yike Lu

    No Longer Seeking Quant Jobs - Market is Changing

    lulz, so much logical fallacy in this thread.
  5. Yike Lu

    P&L of Delta Hedging strategy

    At each time point, compute the delta hedge. Execute the delta hedge. Mark all delta hedges to the final underlying price. Sum up PNL.
  6. Yike Lu

    MFE: To do or not to do?

    Software engineering skills become even more important in that context, although you can lean on other people to help teach you. Really the important thing when hiring is that the quant recognizes the importance of software engineering as core skill to be practiced and improved upon. The old...
  7. Yike Lu

    MFE: To do or not to do?

    Once again, it's not for day2day dev work, but rather for something like an ORM layer, debugger, IDE, or when you need to add in a truly new feature and can't wait the (2011 - 1998 = 13) years for somebody else to put it in (think auto and anonymous functions). A workaround by definition is...
  8. Yike Lu

    MFE: To do or not to do?

    I don't see how duck typing / dynamic typing is worse in terms of "customization". It's weaker in safety and guarantees for the obvious reasons, but they provide better flexibility (which is our chosen metric here... though there be some disagreement). And for the record, what I mean by...
  9. Yike Lu

    MFE: To do or not to do?

    Well now we get to the heart of the matter. "Can be extended by generic libraries" -- does this not describe every modern language though?
  10. Yike Lu

    MFE: To do or not to do?

    No, you brought it up originally, referencing how customizable C++ was. What does it mean to you?
  11. Yike Lu

    MFE: To do or not to do?

    What exactly does customizing a language even mean to you then?
  12. Yike Lu

    MFE: To do or not to do?

    Ignoring other languages as it's not germane to the discussion. C++11 doesn't have dynamic types, nor automatic memory management. Smart pointers aren't automatic memory management (as attested by many segfaults that can still happen when they're used), and auto is not dynamic typing, it's...
  13. Yike Lu

    MFE: To do or not to do?

    When I asked about customization, I was expecting you to use your particular expertise to filter down the possibilities and give some real examples. It's not helpful to point to a link. Also, when "customization" is mentioned, I mean meta-programming facilities, such as classes that create...
  14. Yike Lu

    MFE: To do or not to do?

    I don't either, but it's the gold standard in terms of customization. You can use the language to change its own syntax. Not having seen the meta-level things the language can do, your picture of programming is fundamentally incomplete. Any concrete examples of customizing C++? It's useless...
  15. Yike Lu

    MFE: To do or not to do?

    Disagree. If you want maximal customizeability, you go to LISP. Python is certainly above C++ for customization. C++ in my experience is rigid, it just covers a ton of cases within that rigidity. If you want to wander outside of that, be ready to get hacky.
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