Wilmott – Why Julia Matters for Computational Finance

In the November 2016 issue of Wilmott
Magazine, Julia Computing’s Viral
Shah and Simon Byrne explain why Julia is taking the field of
quantitative finance by storm.

Why are so many quants from investment banking,
insurance,
asset
management,
fund
management,
foreign exchange
analytics,
commodity trading, energy trading, central
banking and risk
analysis switching to Julia?

Finance quants find Julia the optimal finance solution for a number of
reasons:

  • Julia is the fastest modern language for financial, mathematical,
    statistical and scientific computing

  • Julia delivers lightning fast speed – speed improvements up to 11x
    for macroeconomic
    modeling    , 225x
    for parallel
    supercomputing
    and 1,000x for insurance risk model
    estimation

  • Julia is the only modern financial, mathematical, statistical or
    scientific language that can handle massive datasets updated in real
    time, such as financial tick data

  • Julia runs on your desktop, laptop, enterprise server, private or
    public cloud

  • Julia is optimized for supercomputers with
    accelerators     and
    parallel
    computing

  • JuliaFin is fully integrated with Excel and Bloomberg

  • JuliaFin includes Miletus, a custom finance package to design and
    execute real-time trading strategies

  • Julia is easy to learn with flexible syntax that is familiar to
    users of Python, R and Matlab

  • Julia integrates well with existing code and platforms

  • Julia code is elegant – advanced libraries make coding simple and
    reduce the number of lines of code – in some cases, by 90% or more –
    resulting in a solution that is faster, easier to code, analyze and
    debug

  • Julia solves the two language problem – because Julia combines the
    ease of use and familiar syntax of Python, R, Matlab, or Stata with
    the speed of C, C++ or Java, programmers no longer need to estimate
    models in one language and reproduce them in a faster
    production language. With Julia, these steps can be performed in a
    single high-level, high-capacity, high-speed environment.

No wonder users such as
BlackRock, the
Federal Reserve Bank of New
York, Nobel
Laureate Thomas J.
Sargent,
and the world’s largest investment banks,
insurers,
risk managers, fund
managers, asset
managers, foreign exchange
analysts, energy
traders, commodity traders and others are switching to Julia.