C++ Course: Algorithms in Quantitative Finance

Welcome to the C++ course focused on high-performance programming for quantitative finance. This repository contains all the materials, code examples, and exercises for the course.

Course Overview

This course explores C++ programming techniques essential for building high-performance financial applications, with a particular focus on sorting algorithms and their applications in quantitative finance. Throughout the course, we'll cover:

1. Sorting algorithms and their performance characteristics in financial contexts
2. Memory management techniques for high-frequency trading systems
3. Concurrency patterns for parallel financial calculations
4. Optimization strategies specific to financial workloads

Repository Structure

├── Week1/ # Week 1: Sorting Algorithms in Finance
│ ├── README.md # Week 1 overview and exercises
│ ├── Homework/ # Homework assignments
│ ├── order_book_sorting_exercise.cpp
│ └── sorting_benchmark.cpp
│
├── Week2/ # Week 2: Memory Management
│ └── README.md # Week 2 overview and exercises
│
├── Week3/ # Week 3: Concurrency and Parallelism
│ └── README.md # Week 3 overview and exercises
│
├── Resources/ # Shared resources for all weeks
│ ├── Slides/ # Presentation materials
│ │ └── Week1_Presentation.md
│ │
│ ├── Code_Examples/ # Example code and demonstrations
│ │ └── sorting_algorithms_manim.py
│ │
│ └── README.md # Resources overview
│
└── README.md # This file

Getting Started

Prerequisites

• C++17 compatible compiler (GCC 7+, Clang 5+, or MSVC 19.14+)
• Python 3.7+ (for Manim animations)
• Git

Setting Up the Environment

1. Clone this repository:

   git clone https://github.com/yourusername/cpp-finance-course.git
   cd cpp-finance-course

2. For C++ examples:

   # Compile a C++ example
   g++ -std=c++17 -O3 Week1/sorting_benchmark.cpp -o sorting_benchmark
   # Run the compiled program
   ./sorting_benchmark

3. For Manim animations:

   # Create a virtual environment
   python -m venv venv
   source venv/bin/activate # On Windows: venv\Scripts\activate# Install dependencies
   pip install manim numpy
   # Run an animation
   manim -pqh Resources/Code_Examples/sorting_algorithms_manim.py SortingAlgorithm

Course Schedule

Week 1: Sorting Algorithms in Quantitative Finance

• Introduction to C++ in finance
• Sorting algorithms comparison
• std::sort deep dive
• Order book sorting implementation

Week 2: Memory Management in C++ for Financial Applications

• Memory models and performance
• Custom allocators for financial data structures
• Memory pools and arenas
• Lock-free data structures

Week 3: Concurrency and Parallelism in C++ for Financial Applications

• Thread-safe financial data structures
• Parallel algorithms for financial calculations
• SIMD acceleration for vector operations
• Modern C++ concurrency features

Contributing

This repository is primarily for educational purposes. If you find errors or have suggestions for improvements:

1. Fork the repository
2. Create a new branch for your changes
3. Submit a pull request with a clear description of your additions

License

All materials in this repository are provided for educational purposes. Please respect the intellectual property rights and do not redistribute without permission.

Acknowledgments

• Thanks to all contributors and students who help improve these materials
• Special thanks to the C++ community for developing such a powerful language for financial applications