Wednesday 9:15 AM–10:00 AM in Central Park West (#6501), Central Park East (#6501a)

Beginner’s guide to being open (source) in the traditionally secretive field of quantitative finance

Jess Stauth

Audience level:
Novice

Description

This talk reviews some of the context and history surrounding the relationship of the quant finance industry to open source software, followed by an overview of the evolution of a modern quant finance workflow which today is a mosaic of open sourced, third party, and proprietary components.

Abstract

The field of quantitative finance is intensely competitive and maniacally secretive as a rule. The tendency toward secrecy is perhaps unsurprising given that the smallest of competitive advantages can translate to substantial profits. Indeed, over the past decade a growing list of legal prosecutions for alleged code theft or misuse have underscored how high the stakes can be for developers looking to leverage and contribute to open source projects. Notable exceptions to this approach include work from Wes McKinney and Travis Oliphant, whose work on open source projects like pandas and numpy, which have gained widespread adoption. In this talk we will review some of the costs and benefits of engaging with open source as a “two way street” and frame the modern quant workflow as a mosaic of open sourced, third party, and proprietary components.

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