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Links 27 Apr
Algorithms, Sedgewick and Wayne, 4th Edition, here. They’re covering the online free course trend starting in Aug 2012, here . They are going to sell some books, I think. First, they have the Princeton...
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Agner Fog
SD Times, Fog Around Intel Compilers, here. Agner Fog is a computer science professor at the University of Copenhagen‘s college of engineering. As he puts it, “I have done research on microprocessors...
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Xilinx References Apr 2012
Xilinx, High Performance Computing Using FPGAs, Sep 2010, here. The shift to multicore CPUs forces application developers to adopt a parallel programming model to exploit CPU performance. Even using...
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Write Latency for HFT Logging
Jones, Evan, Write Latency and Block Size, here. Don’t know him; like the data; I’ll read the blog for a bit. Let’s play I’m not going to pay a lot for this muffler. I’m thinking, just for a target,...
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Check in with Agner Fog
Agner’s CPU Blog, New C++ Vector Class Library, here. I’m interested in the AVX2 side of this Great news. I have made a new vector class library that makes it easier to use the vector instruction sets...
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Econ Coding Notes
Econ Coding Notes, Chicago Booth, RA Manual: Notes on Writing Code, here. For research assistants. Interested to see the notes on 1. Data and 2. Users. I would imagine the only thing worse than data...
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Undocumented Features, Dark Pools, and Dark Liquidity
Zerohedge, The Dark (Pool) Truth About What Really Goes On In The Stock Market, here. Uh oh, now I have to read the binary specs again. This is a EL Wisty kind of problem – what is the least amount...
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Recruiter List
Bunch of folks telling the Pink I they are going to be checking in with the recruiters soon. Who’s out there? Kornbluth, Scott @ Revolution … the Elvis of IT recruiters Issacson, Robin @ Issacson...
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Vectorizing AVX/SSE Links
Walking Randomly, Vectorizing code to take advantage of modern CPUs, here. I’ve been playing with AVX vectorisation on Sandy Bridge CPUs off and on for a while now and thought that I’d write up a...
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Code to Verify Cache Size
Coding the Markets, CPU cache size, here. Cute, maybe I should read this more. Seen similar code to verify the number of FP units per core, processor clock speed, etc. I don’t know off the top of my...
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Generalized Two Exchange Latency Model
Got some time before I have to go tend the fantasy bball team mired in the middle of the dogpile. This a generalized two exchange trade crossing model. The generalization to more than two exchanges is...
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Trading Floor
Brian DeChesare, Business Insider, The Truth About Working On A Wall Street Trading Floor, here. You … yeah you with the nose, which spreadsheet cells switch the debug version of the FPGA on? … So,...
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Tips
Ariel Procaccia, Turing’s Invisible Hand, Tips on job market interviews, here. General tips: As a candidate I discovered an earlier edition of these incredibly useful (albeit slightly intimidating)...
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Reasons to be Cheerful, Part 3
Matthew Phillips, Blommberg Business Week, High Drama at CFTC: The Battle Over Swaps and Futures, here. Ian Dury & The Blockheads - 1. $300 trillion swap market up for grabs. First, some...
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C code on FPGAs
Nadav Rotem, C to Verilog, here. C-to-Verilog is a free and open sourced on-line C to Verilog compiler. You can copy-and-paste your existing C code and our on-line compiler will synthesize it into...
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The Federal Reserve and FPGA/C Paranoia
Roger Lowenstein, NYT, The Federal Resrve’s Framers Would Be Shocked, here. ONE hundred years ago today,President Woodrow Wilson went before Congress and demanded that it “act now” to create the...
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Vectorized Black Scholes Code from Intel
Intel Corporation, Overview of Vector Mathematics in Intel Math Kernel Library, 2012, here. I assume these are the Moscow Intel folks. We can back out the number cycles per Black Scholes element on a...
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12 Monkeys and More LEH
Matt Levine, Bloomberg, Regulators Ask Humans How to Deal With Robot Traders, here. Fast programming dudes(ettes), I think you have emotional intelligence, don’t listen to Levine about that. This is a...
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Recruiter List
Bunch of folks telling the Pink I they are going to be checking in with the recruiters soon. Who’s out there? Kornbluth, Scott @ Revolution … the Elvis of IT recruiters Issacson, Robin @ Issacson...
View ArticleClik here to view.
Undocumented Features, Dark Pools, and Dark Liquidity
Zerohedge, The Dark (Pool) Truth About What Really Goes On In The Stock Market, here. Uh oh, now I have to read the binary specs again. This is a EL Wisty kind of problem – what is the least amount...
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