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Latest Articles

Monte Carlo Simulations In CUDA - Barrier Option Pricing

In this article, I will talk about how to write Monte Carlo simulations in CUDA. More specifically, I will explain how to carry it out step-by -step while writing the code for pricing a down-and-out barrier option, as its path dependency will make it a perfect example for us to learn Monte Carlo in CUDA. Also, I will show you how to efficiently generate random numbers with CUDA and how to measure performance with just a few lines of code. Read more...

Bayesian Statistics: A Beginner's Guide

Over the last few years we have spent a good deal of time on QuantStart considering option price models, time series analysis and quantitative trading. It has become clear to me that many of you are interested in learning about the modern mathematical techniques that underpin not only quantitative finance and algorithmic trading, but also the newly emerging fields of data science and statistical machine learning. Read more...

dev_array: A Useful Array Class for CUDA

In previous articles I explained how to get started with CUDA showing a simple vector addition example. This time we will code an array class, the purpose of which is to speed up the coding process. Read more...

Installing Nvidia CUDA on Ubuntu 14.04 for Linux GPU Computing

In this article I am going to discuss how to install the Nvidia CUDA toolkit for carrying out high-performance computing (HPC) with an Nvidia Graphics Processing Unit (GPU). CUDA is the industry standard for working with GPU-HPC. In a previous article Valerio Restocchi showed us how to install Nvidia CUDA on a Mac OS X system. In this article I am going to describe the same procedure but carry it out under the latest version of Ubuntu, namely 14.04. Read more...

Event-Driven Backtesting with Python - Part VIII

It's been a while since we've considered the event-driven backtester, which we began discussing in this article. In Part VI I described how to code a stand-in ExecutionHandler model that worked for a historical backtesting situation. In this article we are going to code the corresponding Interactive Brokers API handler in order to move towards a live trading system. Read more...