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Caml trading – experiences with functional programming on Wall Street

Published online by Cambridge University Press:  24 April 2008

YARON MINSKY
Affiliation:
Jane Street Capital, New York Plaza, New York, NY 10004 (e-mail: yminsky@janestcapital.com, sweeks@janestcapital.com)
STEPHEN WEEKS
Affiliation:
Jane Street Capital, New York Plaza, New York, NY 10004 (e-mail: yminsky@janestcapital.com, sweeks@janestcapital.com)
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Abstract

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Jane Street Capital is a successful proprietary trading company that uses OCaml as its primary development language. We have over twenty OCaml programmers and hundreds of thousands of lines of OCaml code. We use OCaml for a wide range of tasks: critical trading systems, quantitative research, systems software, and system administration. We value OCaml because it allows us to rapidly produce readable, correct, efficient code to solve complex problems, and to change that code quickly to adapt to a changing world. We believe that using OCaml gives us a significant advantage over competitors that use languages like VB, Perl, C++, C#, or Java. It also makes finding and hiring high-quality software developers easier than with mainstream languages. We have invested deeply in OCaml and intend to use OCaml and grow our team of functional programmers for the foreseeable future.

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Copyright
Copyright © Cambridge University Press 2008

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