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Maths, ML etc.?

It's not a pub quiz. Though Americans use only one word, “whine,” the British use both: “whining” covers a variety of meanings, including sounds made by people, animals, or inanimate objects, and “whingeing” (also spelled “whinging”) is more specifically for peevish or fretful complaining. The...

Actually, it is 1142 pages, with 22 pages index. Seriously, this thread is beginning to sound like whinging.

Still, it is not cricket (stereotypes).

Trying to predict the future, I see Functional Analysis for ML on the horizon https://en.wikipedia.org/wiki/Reproducing_kernel_Hilbert_space

No problem. There is a student discount!

Not only is analysis 'deeper' than Calculus, it helps to teach how to start thinking like a mathematician. See Polya for a brilliant exposition https://en.wikipedia.org/wiki/How_to_Solve_It Mathematics is not a deductive science -- that's a cliche. When you try to prove a theorem, you don't...

In this link, parts B,C and D are wonderful foundation for much of the stuff to learn for many studies. It would be a great mini course and I can cook up good examples in C++ and Python. https://www.datasim.nl/application/files/1315/5947/7165/DL_Pure_Mathematics_Foundations.pdf

Where does the R-S break down so to speak?

I would say that real analysis is core, everything else felt like an "add-in", the exception being Functional Analysis.

If you know how to construct and have worked with Riemann-Stieltjes integrals (standard in a Real Analysis I course), then Itô integrals will seem relatively tame to you. Nope. It won't help with Girsansov, Radon-Nikodym, Feynman-Kac,... Lebesgue is better. I think Dineen is good book. He is...

Calculus is about learning (useful) tricks. It is has its limits, Real analysis is learning to think like a mathematician. And a lot of students are missing a decent grounding in numerical analysis. A good PhD can take a completely new problem and solve it from scratch. Just having a PhD in...

Annotations on BBC2 TV programme “Lockdown 1.0 – Follow the Science” 1. Nothing (data, precedent) to go on in January except work by the modellers. Too much reliance on the models. Modelling was the driver of the “Science”. 2. Not a single institute (bar a single scientist from...

I don't know .. you probably need to inquire with the uni, And it depends on the 'kind' of MSc I suppose .. research or more practical. How long is a piece of string?

I suppose what you know >> what Michelin star you have/paid? But I am not in HR.. My students who are assigned to me tend to get full-time jobs after 2-3 months. They have good C++ and maths background. I don't take them otherwise.

Update November 2020 Covid models revisited, BBC2 "Lockdown 1.0 - Follow the Science" Apart from hubris and lies from the politicians, the penitent scientists(*) don't come out unscathed. I listened twice to get all the nuances. Some of the original doubts and questions in this thread have...

What about Birmingham? Here is a 2020 thesis https://www.datasim.nl/blogs/29/msc-theses-on-machine-learning-and-computational-finance-2020

For the record, I am the originator of the Datasim ODE/PDE course. https://www.datasim.nl/onlinecourses

MSc thesis Chun Kiat Ong University of Birmingham UK, 2020. Abstract This is one of the first MSc theses to address the full software lifecycle of the analysis (maths), design (Structured Analysis/top-down decomposition) and implementation (C++, Python, ANN, Keras, TensorFlow) to computing...

There's an option as user to report on wayward posts, it's called "Report', a chance to be pro-active and call them out publicly with a factcheck. Twitter has armies of moderators, it' just not feasible IMHO in this forum. A big issue is anonymous names (aka internet warriors) .. it could be...

“The management question, therefore, is not whether to build a pilot system and throw it away. You will do that. The only question is whether to plan in advance to build a throwaway, or to promise to deliver the throwaway to customers.” Frederick P. Brooks Jr., The Mythical Man-Month: Essays on...

42?

Yes, it changes as you go from one province to another one. Not all provinces speak standard Dutch and many have their own 'almost' languages which I cannot understand. Strangely, Afrikaans is easier to understand.

In Dutch, native speakers get quite a number of curious effect when speaking and spelling both Dutch and English. Notably is pronounced as a t v like f, b like p etc. e.g. crap salad, weed(70s slang for marijuana) becomes nederwiiet, electricity grit, cornet beef, feetback Amsterdammers...

If I had to do Excel integration I would combine native C++ and .NET worlds 1. Write core code in native C++ and C++/CLI. 2. Write a C# wrapper for stuff in 1. 3. Call stuff in 2 from Excel-DNA. In reality, legacy code will not go away.

Rhoticity https://en.wikipedia.org/wiki/Rhoticity_in_English In New Jersey, Pizza Paula is a pizza parlor, And Bostonians drop the 'r' at the slightest whim.

he talks too slow .. he's from Cork, I'm from Dundalk! I worked in NYC in 1972 ... recession BIG TIME. https://thalesians.com/aiovg_videos/daniel-duffy-some-perspectives-on-computational-finance-and-ml/

Sounds good. I never used dlls with 'real' C++ but just good old C. Have you static methods?

Another option might be to mail the Quantlib user group.

I just bought my own copy and it arrived yesterday. It is much better and lucid than a lot I have seen down the years. And Sean Dineen is a top pure mathematician. Some background on SD is here https://www.maths.tcd.ie/pub/ims/bull64/M6403.pdf

Here's how the Germans are tackling Corona

What do you program it on? Any maths modules?

? https://www.quantlib.org/quantlibxl/ Bovey et al Excel has a chapter on xll. But maybe xlw has runs its course ... no support .

LMGTFY http://xlw.sourceforge.net/

A friendly package is Excel-DNA in C# https://excel-dna.net/ If I were to do it I would choose (as a learning project (*)) C++/CLI that speaks BOTH native C++ (the stuff in QN course) and .NET. https://en.wikipedia.org/wiki/C%2B%2B/CLI...

You can call it what you want so long as you don't call it C++! BTW no harm to call it C, but let's not inflate it. Personally I find Dalton's approach daunting and middles ages at this stage. It would be torture for the new generations. In fairness, companies use this legacy. The late Mark...

There's several ways to solve this problem. BTW it is not possible to write a dll in C++, it must be C! Long story short: use the blue-chip advice from Axel Vogt. In used the same approach on an MBS application 4 years ago. It works fine...

That is pseudo-code. It won't crash.

That's why it is so important to learn proper programming in C++, a bit like learning Italian or German. Is it just to survive on holidays or as a lifelong skill.

Great! CS and C++ is a cracking combination :ninja:

I agree. It is NOT an introduction! (I did about 4 undergrad courses on this + applications and it is still a challege). Plan B: KLoeden and Platen,

here is a discussion from a while back https://forum.wilmott.com/viewtopic.php?f=8&t=95199&p=681744&hilit=measure#p681744

Here is a book by Sean Dineen whom I knew back in Dublin. He is a very good mathematician and it might be worth a look at...

Not to mention "thought leaders" LOL

Mark Joshi passed away a while back https://en.wikipedia.org/wiki/Mark_S._Joshi

I taught myself how to play tennis. Then I got a coach and he said "where did you learn tennis"?

Why do think that Cython is 'better' than Boost-Python?

Cython is good as well. It is not the only one. be sure 1. Call C++ from Python 2. Call Python from C++ (why? just asking)

Boost Python, for example.

It doesn't have to be.

PhD is probably a greater demonstration of research capabilities than an MS, For sure. Most MSc degree programs are not research in the strict sense of the word.

I was just kidding about the young ones; I started as Fortrn IV programmer. Apparently he does not want for loops in the code, everything must be algorithms and lambda functions for reasons of readability. And if he discovers you don't plan your code top-bottom, he is going to abruptly axe you...

yes, we wrote a production CAD system CADObject in C++ for mech enginering using design patterns to AutoCAD and Intergraph. Remember it was 1992 aka Dark Ages, no strings, just char* It was also used in C++ courses. Of courses, developers love to over-engineer things.. In the olde days, no...

Very important in real life. Legacy code(!) ... there are > 5 different string types in Windows COM, ATL (and Excel interfacing) :) There was a time C++ had no string class .. so I built my own .. it was a monster.

Unicode is fine https://en.wikipedia.org/wiki/Unicode

You mean, the minor in math? I do the topics you mention.

How about an Abacus in C++ https://en.wikipedia.org/wiki/Abacus

Chess is a niche; not to everyone's taste, perhaps. But it would be a crisp example of how to use OOP.

What aspects of C++ can be applied to this project? It's essentially file i/o etc.?

Forget the past. I would say, do the QN C++ course. It's best investment you will make, ever. https://quantnet.com/cpp/ I originated this course :)

Computational Finance and Machine Learning (ML) keywords: C++, Python, design patterns, pybind11, rough volatility (Heston) models. A talk at Thalesians August 5 2020 Daniel Duffy: Some Perspectives on Computational Finance and ML

It depends on which university you want to attend. ODE/PDE is kind of unique in its content. Overlap? Certain topics (e.g. Integration) can be approached from different viewpoints. There has to be a certain amount of overlap. If you really want to learn this stuff, these courses are useful.

I offer robust, hands on + supervision on most maths topics. Student discounts. Online Courses :: Datasim www.datasim.nl Testimonials :: Datasim www.datasim.nl

I offer robust, hands on + supervision on most maths topics Student discounts. https://www.datasim.nl/onlinecourses https://www.datasim.nl/testimonials

C is like a Bear Grylls survival weekend, Python a cruise in the Bahamas.

The tasking library (PPL, TBB, Actor model) usually has a Scheduler which does all that load-balancing stuff for you.

Mathematical Analysis is more than proving theorems,(which are neither necessary nor sufficient to say that you are dong analysis). Mathematical analysis is the branch of mathematics dealing with limits and related theories, such as differentiation, integration, measure, infinite series, and...

Taking the exact solution as "fallback" is a good test to see is the full assembled scheme is OK. I don't use \(F_{SS}=0\) myself (I use domain transformation or price a put) but I reckon it should work. In general, the matrix will no longer be tridiagonal. A possibly good option is Neumann BC...

Sorry for late reply. I have some ideas. I am contactable dduffy@datasim.nl @MichaelLewis

Just me! :) Anyways, how is it working out?

ExSan, On a desktop for me,is 64Gb >> 128 Gb memory is better? And 16 cores? I'm not exactly sure about GPUs .. one thing is I am not prepared to use is C++ dialects on the GPU.

why post the same question on 2 forums (btw I am Cuchulainn).

The classico Crank Nicolson scheme is A-stable and not L-stable, in general the solution is AU(n+1)=U(n) where A is ideally an M-matrix, making the scheme monotone. However, in the case of CN the matrix AA can have complex eigenvalues. Well-known at this stage. We get oscillations in the...

The answer has been posted on wilmott.com. Use Crank Nicolson or implicit Euler. No one use explicit Euler anymore. Better again is ADE. It's explicit and unconditionally stable AND 2nd order accurate in both directions...

You can easily learn SDE if you know ODE/PDE and good real analysis and a wee bit of Measure Theory (inflated importance).

Correlation is nor causation.

I have been external MSc supervisor at the University of Birmingahm since 2014 (~50 theses to date). My own focus is students with good grounding in finance, maths and C++. I am hands-on coach. It takes 3 months to get my students in top form :) In particular, the combination Maths/C++ is...

You're welcome. Not sure what the best pace is, maybe certificates? A lot of people here post it on LinkedIn as well. @APalley @Andy Nguyen

QN C++ if applicable. This proves that you have a good level!

OpenMP is certainly good for the concepts but is getting a bit long in the tooth (VS only supports v 2.0). C++ 11 has thread and tasks/futures. Just saying. And a C++ developer who is afraid of pointer sounds a bit odd. Design Patterns == GOF https://en.wikipedia.org/wiki/Software_design_pattern

I have sent you an invitation :) Tung Dang

Tips: improving performance in VS2019 https://docs.microsoft.com/en-us/visualstudio/ide/visual-studio-performance-tips-and-tricks?view=vs-2019

18 years ago., not it was 4 months ago and it exposed a white lie. You obviously don't know what went on. A rally with 400,00 bikers is crazy, 200K people have died in USA. Next you'll be saying is it only a virus and only old people contract it. But it has been politicised, how did it get that...

@ApolloChariot I don't do straw man arguments as you seem to be inferring. As early as March 2002 I analysed the much-touted COVID-19 software from Neil Ferguson which was used by UK and US governments. It is discussed in excruciating detail...

What a great memory you have! 1918. I find the above reasoning in your post is quite logically fallacious, a bit like the No True Scotsman. It's what is not being said needs to be addressed.

Me condescending, never!! More like shoot-from-the-hip. Anyways, nice try.. If you really want to be constuctive you could review that article instead of attacking me. If this is how far you are, then there is little hope. Denial is not a river in Egypt.

HEALTH AND SCIENCE Fauci says a coronavirus vaccine is ‘unlikely’ by U.S. election https://www.cnbc.com/2020/09/08/coronavirus-vaccine-dr-fauci-says-its-unlikely-it-will-be-ready-by-us-election.html He called the coronavirus outbreak in the U.S. a “mixed bag” as new cases fall in the southern...

While programming in MATLAB, Python and C++ can be more of an art Not exactly. The scientific approach is to learn C++ as it is the basis for everything And program like crazy. In my undergrad, I have done basic programming algorithms like sorting, printing patterns, data structure. However...

So, which part is not 'fact' http://ftp.iza.org/dp13670.pdf Not a reason to say that large groupings _don't_ help spread COVID-19. Denial is not a river in Egypt.

?

There's no better C++ online course(s) than Quantnet/Baruch. At least, I haven't found one.

I was only quoting a fact. I do dispute that piece on NYP; the logic is somewhat flawed.

Really??? What about the second wave? And this? South Dakota 'super-spreader' biker rally could be linked to 250,000 coronavirus cases More than 400,000 people are thought to have attended this year's Sturgis Motorcycle Rally over the course of 10 days

Sounds like good value.

Of course, but when I ask you to loan me a fiver until next week (I'm expecting a check from Australia) you go all quiet.

Just don't lose your shirt.

"Calling Bullsh*t" by Bergstrom and West Highly recommended. "Algebraic Topology" by Fulton

Welcome, Gabriel.

Do you mean Jackie Onassis?

I was working as a student in NYC in summer of 1972 (Watergate, Fischer vs Spassky) . One of my most pleasant memories was the AIR_CONDITIONED New York Library where I could prepare for exams. The city was badly run down (Central Station looked awful and Times Square was seedy), but thanks to...

What are the topics in Applied Maths?

That's very debatable, especially if you are used to European cuisine. Certainly, the most expensive restaurants in the world.

QN C++ is based on many years or teaching in industry and academia, not to mention actually writing applications. Read the lectures few times and then jump into the all_so_important exercises.

Data structures are language-independent. 20 years ago there no libraries. Things have moved on. A full course on data structures is not what would do in 2020. It is an STL module in Baruch Adv C++ coiurse.

Here's the full video https://thalesians.com/videos/

Another great choice! QN/Baruch C++ It is a life skill.

I have just coined a new term: (Programming) Language Silo In many cases, developers and quants' monolog interiors seem to be driven by their fascination/obsession with a single programming language (Sapir-Whorf again). This is caused by idiosyncratic views 1) efficiency, 2) elegance, 3)...

candidate c: "I was caretaker on Blasket Island" and I studied, ODE,PDE, SDE, FDM, ML and AI. https://www.irishexaminer.com/news/arid-30976640.html

How 'remote"?

How many hours 'real' coding as percentage of the other activities?

This may not be to everyone's taste. Whatever works for you. Thee are many ways to learn.

Quantnet/Baruch is unique: the dedication of TAs.

Anyone can write a book. That's the easy part. 60% of my time in a book/courses is exercises A-Z. Don't just read it; fight it! Ask your own question, look for your own examples, discover your own proofs. Is the hypothesis necessary? Is the converse true? What happens in the classical...

Question: 1 hour a day but for how many days :-)

What are the prerequisites? I reckon it is useful after you have learned the compiler and a bit of C.

Here is the slide show corresponding to my talk tomorrow

Real and Functional Analysis are core skills.

Rumour has it that Python is also written in C.

I have a number of projects that might be useful. What's the goals etc.?

Ah, OK. Over here in Europe we call it 'Algebra'. My school teacher was PhD and I Iearned group theory at 17. It does not have may applications in finance AFAIK.

The maths you mention here cannot be learned alone.

Olympiad == learning tricks?

See my courses where all these topics are worked out. https://www.datasim.nl/onlinecourses What's 'abstract algebra'??

https://www.meetup.com/thalesians/events/272215702/

Very impressive list of programming languages. I used Prolog in 1987 when the world thought it was the future. At the time the West was scared of the Japanese 5th Gen that was fueled by Python .. a paper tiger. https://en.wikipedia.org/wiki/Fifth_generation_computer

Anonymous message Professor Duffy, just one question do you any chance offer possibility of buying some book concerning Python with code as for Financial Instrument Pricing. I am in desperate need of professional python code [..] @APalley @Andy Nguyen

Out of interest, which programming language do you use/learn/apply during your CS education?

This is 100% correct. After all these years Computer Science still does not understand that software development is more of an engineering+ design discipline. Anyone can write a program that prints '42'. And unfortunately, the situation is exacerbated in ML. The real risk in the future is...

That's the correct answer. The original question is incorrect.

An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.

An interesting follow-on remark is that all the numerical linear algebra code in Python is all Fortran. https://en.wikipedia.org/wiki/Fortran Standing on shoulders of giants.

Traditionally, "linear algebra" tends to be taught in academia without dealing with "numerical" part. A better name is Vector (or Linear) spaces. To this stuff into a computer we have "Numerical Linear Algebra" and has algorithms for a wide range of problems and applications all over the place...

PDEs 'use' calculus. https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations

Premature optimisation?

It takes years before you become any good at writing. Or any good at anything for that matter. And you need to know your readers. And take concrete examples that readers can check and generalise. Quite simple. actually. The source of all great mathematics is the special case, the concrete...

Congratulations!

I don't doubt that a lot of work is being done in this area. But my guess is it's not (yet) mainstream business.

I would say it's more in the CS academic sphere, in general. Complexity is (was?) about searching and sorting in data structures. Financial is more about maths + algorithms with data structures as side-kick.

I would round that number to 100% :cool:

The heart of mathematics (and C++, red.) consists of concrete examples and concrete problems. Big general theories are usually afterthoughts based on small but profound insights; the insights themselves come from concrete special cases.” — Paul Halmos

The books are a bit too CS and generic for my taste. Lots of syntax, very little design. No offence, but it's like reading the telephone book. Just my personal opinion. The best way to learn C++ is to write code, brick-by-brick. And the less copy-and-paste, the better. My videos have 80% of what...

In a sense, the best background is your brain + motivation. 90% is self-contained (I think), listen hard to the videos and do the exercises will bring you a long way. And the very helpful TAs!

A follow-on remark is that everything is built on C++, Fortran and COBOL. All (?) the Python libraries are C++ and Fortran wrappers.

Of course! C++ will be here at your retirement age (in the future == 85). Life-long learning! Who knows, may C++ will support Quantum Computing by then. https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0208073

You're welcome! Knowing C++ means you have a great headstart :)

There are lots! Here are two theses I supervised last year. https://www.datasim.nl/blogs/26/msc-theses-on-machine-learning-and-computational-finance Initially, you first need to walk (learn the design process on a generic/non nitty-gritty cases) before running (actually applying design...

Is that the same as 'data structure', likes dict, set, matrices, HDF5?

Will the course teach good software principles that are often neglected by Python users? 1. Not so much neglect, more like no one out there (yet) to tell them how. I have several Python books but most are anaemic at the design level IMHO. 2. Universities have their strengths for sure, but in...

Oops, sorry, I missed that. One of the ways I could think of now is to start learning to backtest a strategy from quant reports. I would say that the next skills are to independently design and implement a program from scratch based on some requirements document? This is not a skill that you...

I recommend Quantnet C++ and then you start being able to think about the next level, i.e. design. Design != coding.

In bocca al lupo! Forza.

C module 1 is like Ogham until syntax becomes clear. Having got the syntax under your belt the rests is learning C++ concepts.

How many students know the chain rule, let's say transforming from (x,t) to (z, tau) z = z(x,t) = x/s(t) tau = t Now transform heat equation u_t = u_xx for 0 < x < s(t) to a PDE in z and tau for 0 < z < 1. // 95% get it wrong first time. Hint; use the chain rule and z is a function of TWO...

Historically, the ex-Cold War quants tended to be physicists. Physics uses a lot of mathematical symbols (and a bit of PDE/FDM)l to be sure but that's not the same as mathematical insights and methodology. TBH, I'm not sure how useful it is in the ML/Data era..

The big jump from {Java, Python, Matlab, <whatever>} to C++ immersion is huge. Do some C first. Believe me, otherwise 2 steps forward and 1 step backwards. Someone on QN once wrote that they learned more from QN C++ than 4-year CS degree programme. Saw this random observation... If you do not...