Programming Language Choices for Algo Traders: The Case of Pairs Trading View Full Text


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Article Info

DATE

2019-04

AUTHORS

Pedro Vergel Eleuterio, Lovjit Thukral

ABSTRACT

In the last 20 years, relative value strategies have increased in popularity in various asset classes, including equity and commodity markets. Due to an increase in market participants, more sophisticated algorithms than those used in the past are now required to generate excess returns in pairs trading strategies. Sophisticated algorithms can cause an increase in complexity which, in-turn, increases computational run time. In our pairs trading example, C++ provides the best performance, however, it is also the most time consuming to implement. Among the languages that allow for faster development, Cython provides the best balance between run times and ease of prototyping. More... »

PAGES

1443-1449

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10614-018-9813-x

DOI

http://dx.doi.org/10.1007/s10614-018-9813-x

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1103747257


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