Tuesday, March 29, 2011

Finances and the rise of machines

Last Friday March 25th I attended the Princeton University Conference on Quant Trading.

One of the most interesting talks was the analysis of the role of computers in trading
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

The conclusion is that computers are becoming more and more prevalent and actually dominate the Forex market already.

Friday, March 25, 2011

Inverse Matrix by the Exchange Method

After some time off, here I am again.

Here is an interesting implementation of the inverse of a matrix that I found useful when I was developing a CUDA program. This is the most efficient method to implement the inverse of a matrix in terms of memory usage, which is handy when we want to put everything in the fast but limited shared memory.

The Mathematica code is here


The cuda code is next