Introduction to Julia

Julia is a high-level, high-performance programming language that is designed for numerical analysis and computational science. Nature describes it as the “best of both worlds” - a language that combines the interactivity and syntax of ‘scripting’ languages, such as Python, Matlab and R, with the speed of ‘compiled’ languages such as Fortran and C.

Why use Julia

Julia is designed for speed, performance and scalability. Here are some highlights about the best features of Julia:

• It has a legible syntax and is easy to learn.
• It incorporates vector notations and DataFrames as part of the language.
• It compiles codes in advance and thus is designed to be fast.

Many financial firms including BlackRock and State Street are using Julia as their primary development language. With the belief that the community for Julia will continue to grow, here we would like to introduce some examples of using Julia to write algorithmic trading strategies.

Getting started

The official repo and installation instructions could be found here.

Here are some good tutorials for picking up the language:

• Julia By Example
• Julia Tutorials (from official website)

References

• Is Julia the best language for quantitave finance?
• Why Julia for Finance?

Attention

All investments entail inherent risk. This repository seeks to solely educate people on methodologies to build and evaluate algorithmic trading strategies. All final investment decisions are yours and as a result you could make or lose money.