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Automated Trading and OCaml with Yaron Minsky

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“Anyone who is really concerned about correctness should think twice about programming in a kind of free-thread model where everyone has to be very disciplined and put all the locks in the right place to make things work well.”

Jane Street Capital is a quantitative trading firm known for its emphasis on technology and specifically functional programming. OCaml is the main programming language used at Jane Street, chosen for its performance, correctness and dynamism.

Yaron Minsky is the Head of Technology at Jane Street and was responsible for introducing OCaml to the company and transitioning its architecture.

Questions
  • Jane Street is a trading company – how does that drive the technological requirements?
  • Why is OCaml an appealing language for Jane Street’s use cases?
  • What is the concurrency support for OCaml?
  • What is the difference between a macro and a function?
  • What are some unique principles at Jane Street?
  • How has your definition of money changed?
    • Links
    • Jane Street Tech Blog
    • Yaron’s talk on Caml Trading
    • Yaron on Twitter
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