Invents the best numerical library and financial analytics.https://numericalmethod.com/https://numericalmethod.com/blog/2026/11/03/training-is-numerical-integration/https://numericalmethod.com/blog/2026/11/03/training-is-numerical-integration/Gradient descent is a numerical integrator, and the learning rate is a choice of model, not a speed. What that means for training and for finance.Tue, 03 Nov 2026 00:00:00 GMTY.Khttps://numericalmethod.com/blog/2026/10/20/precision-is-a-resource/https://numericalmethod.com/blog/2026/10/20/precision-is-a-resource/The floating-point precision a covariance solve needs is set by how much data you have, not by the size or conditioning of the problem.Tue, 20 Oct 2026 00:00:00 GMTY.Khttps://numericalmethod.com/blog/2017/11/18/qp-to-socp/https://numericalmethod.com/blog/2017/11/18/qp-to-socp/A Quadratic Programming problem (QP) in the form of … where …, can be transformed to a Second-Order Cone Programming (SOCP) problem in the form of … Consider …, and … As … is non-negative, minimizing … is equivalent to…Sat, 18 Nov 2017 00:00:00 GMTKen Yiuhttps://numericalmethod.com/blog/2015/08/07/accelerating-matrix-multiplication/https://numericalmethod.com/blog/2015/08/07/accelerating-matrix-multiplication/Introduction Matrix multiplication occupies a central role in scientific computing with an extremely wide range of applications. Many numerical procedures in linear algebra (e.g. solving linear systems, matrix…Fri, 07 Aug 2015 00:00:00 GMThenrymorcohttps://numericalmethod.com/blog/2015/01/06/using-returns-in-pairs-trading/https://numericalmethod.com/blog/2015/01/06/using-returns-in-pairs-trading/This blog article is taken from our book [1]. In most entry-level materials on pairs trading such as in [2], a mean reverting basket is usually constructed by this relationship: … , where … is the price of asset P at…Tue, 06 Jan 2015 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2014/07/23/suanshu-is-the-best-numerical-and-statistical-library-ever/https://numericalmethod.com/blog/2014/07/23/suanshu-is-the-best-numerical-and-statistical-library-ever/a picture is worth a thousand words… Check out the release notes here: http://numericalmethod.com/forums/topic/suanshu-3-0-0-is-now-released/ Happy birthday to me…Wed, 23 Jul 2014 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2014/04/23/on-some-practical-issues-when-using-algoquant-to-compute-the-markowitz-efficient-frontier/https://numericalmethod.com/blog/2014/04/23/on-some-practical-issues-when-using-algoquant-to-compute-the-markowitz-efficient-frontier/Markowitz suggests in his Nobel Prize-winning paper Markowitz(1952) that when one selects a portfolio, he/she should consider both the return and the risk of the portfolio. Most of us, if not all, are risk-averse.…Wed, 23 Apr 2014 00:00:00 GMThao.dinghttps://numericalmethod.com/blog/2013/07/15/certificate-in-quantitative-investment-cqi/https://numericalmethod.com/blog/2013/07/15/certificate-in-quantitative-investment-cqi/Numerical Method Inc. has the vision to promote rational investment and trading. Jointly organized with top universities, we are offering a 6-months 9-courses program that teach mathematics, programming and quantitative…Mon, 15 Jul 2013 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2013/06/19/solving-the-corner-solution-problem-of-portfolio-optimization/https://numericalmethod.com/blog/2013/06/19/solving-the-corner-solution-problem-of-portfolio-optimization/Many portfolio optimization methods (e.g., Markowitz/Modern Portfolio Theory in 1952) face the well-known predicament called the “corner portfolio problem”. When short selling is allowed, they usually give efficient…Wed, 19 Jun 2013 00:00:00 GMTKen Yiuhttps://numericalmethod.com/blog/2013/05/16/change-of-measuregirsanovs-theorem-explained/https://numericalmethod.com/blog/2013/05/16/change-of-measuregirsanovs-theorem-explained/Change of Measure or Girsanov’s Theorem is such an important theorem in Real Analysis or Quantitative Finance. Unfortunately, I never really understood it until much later after having left school. I blamed it to the…Thu, 16 May 2013 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2013/02/16/mean-variance-portfolio-optimization-when-means-and-covariances-are-unknown/https://numericalmethod.com/blog/2013/02/16/mean-variance-portfolio-optimization-when-means-and-covariances-are-unknown/[Lai, Xing and Chen, 2010], in the paper “Mean-Variance Portfolio Optimization When Means And Covariances Are Unknown”, proposed a ground breaking method to do portfolio optimization. In what follows we summarize their…Sat, 16 Feb 2013 00:00:00 GMTKen Yiuhttps://numericalmethod.com/blog/2012/12/25/dotnet-csharp-numerical-math-library/https://numericalmethod.com/blog/2012/12/25/dotnet-csharp-numerical-math-library/On this Christmas Day, we are happy to announce that SuanShu.net is FREE for all! SuanShu.net has all the features as its Java sibling as well as has undergone the same many thousands of test cases daily. There are a…Tue, 25 Dec 2012 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2012/12/21/bloomberg-tick-by-tick-data-download/https://numericalmethod.com/blog/2012/12/21/bloomberg-tick-by-tick-data-download/Bloomberg maintains tick-by-tick historical data for only 140 days. However, you may want to backtest your strategies with a longer history. In this case, you can archive these tickdata by yourself and do backtesting…Fri, 21 Dec 2012 00:00:00 GMTKen Yiuhttps://numericalmethod.com/blog/2012/12/13/suanshu-2-0/https://numericalmethod.com/blog/2012/12/13/suanshu-2-0/We are proud to announce the release of SuanShu 2.0! This release is the accumulation of customer feedbacks and our experience learnt in the last three years coding numerical computation algorithms. SuanShu 2.0 is a…Thu, 13 Dec 2012 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2012/09/03/trading-and-investment-as-a-science/https://numericalmethod.com/blog/2012/09/03/trading-and-investment-as-a-science/Here is the synopsis of my presentation at HKSFA, September 2012. The presentation can be downloaded from here. 1. Many people lose money playing the stock market. The strategies they use are nothing but superstitions.…Mon, 03 Sep 2012 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2012/06/08/order-book-based-hft-trading-for-nse-india/https://numericalmethod.com/blog/2012/06/08/order-book-based-hft-trading-for-nse-india/Introduction Classic asset pricing theory assumes prices will eventually adjust to and reflect the fair value,the route and speed of transition is not specified. Market Microstructure studies how prices adjust to…Fri, 08 Jun 2012 00:00:00 GMTlokeshmadanhttps://numericalmethod.com/blog/2012/06/06/high-frequency-trading-using-tbt-tick-by-tick-data/https://numericalmethod.com/blog/2012/06/06/high-frequency-trading-using-tbt-tick-by-tick-data/In this article, we discuss the state of the art of high-frequency trading (HFT) and important issues related to the econometric analysis of high TBTD data and the impact of HFT on financial markets. The econometrics of…Wed, 06 Jun 2012 00:00:00 GMTlokeshmadanhttps://numericalmethod.com/blog/2012/06/06/money-making-black-box-machines-in-financial-markets-in-depth-study/https://numericalmethod.com/blog/2012/06/06/money-making-black-box-machines-in-financial-markets-in-depth-study/Introduction. In today’s highly electronic age, virtually everything in society— including communications, music, television, and financial transactions— have gone digital. Today, many trades on the stock markets are…Wed, 06 Jun 2012 00:00:00 GMTlokeshmadanhttps://numericalmethod.com/blog/2012/05/21/using-suanshu-on-amazon-ec2/https://numericalmethod.com/blog/2012/05/21/using-suanshu-on-amazon-ec2/Cloud computing is very popular nowadays. Delegating your CPU-intensive computation (or simulation) to the cloud seems to be a smart choice. Many of our users asked if SuanShu can be run on Amazon’s Elastic Compute…Mon, 21 May 2012 00:00:00 GMTKen Yiuhttps://numericalmethod.com/blog/2012/02/12/data-mining/https://numericalmethod.com/blog/2012/02/12/data-mining/The good quant trading models reveal the nature of the market; the bad ones are merely statistical artifacts. One most popular way to create spurious trading model is data snooping or data mining. Suppose we want to…Sun, 12 Feb 2012 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/10/27/numerical-method-inc-selected-as-a-red-herring-top-100-asia-tech-startup/https://numericalmethod.com/blog/2011/10/27/numerical-method-inc-selected-as-a-red-herring-top-100-asia-tech-startup/Hong Kong, China – Numerical Method Incorporation Limited has won the Top 100 Asia award. Numerical Method Inc. publishes SuanShu, a Java math library, and AlgoQuant, an algorithmic/quantitative trading strategy…Thu, 27 Oct 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/10/27/the-role-of-technology-in-quantitative-trading-research/https://numericalmethod.com/blog/2011/10/27/the-role-of-technology-in-quantitative-trading-research/I posted my presentation titled “The Role of Technology in Quantitative Trading Research” presented in HKU-HKUST-Stanford Conference in Quantitative Finance. Dec 9, 2011. Workshop On Recent Developments Of Financial…Thu, 27 Oct 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/09/10/simple-return-for-short-position/https://numericalmethod.com/blog/2011/09/10/simple-return-for-short-position/It is trivial to compute a simple return (or arithmetic return) for a long position. For example, a share of stock A is bought at $10 and sold at $12. The profit is $2 (=$12 – $10) and the simple return of the long…Sat, 10 Sep 2011 00:00:00 GMTKen Yiuhttps://numericalmethod.com/blog/2011/08/11/mean-reversion-vs-trend-following/https://numericalmethod.com/blog/2011/08/11/mean-reversion-vs-trend-following/AlgoQuant 0.0.5 just got released! This release is particularly exciting because you no longer need a license to use AlgoQuant. AlgoQuantCore now disappears forever. The source of the entire AlgoQuant project is now…Thu, 11 Aug 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/07/28/on-whites-2000-reality-check/https://numericalmethod.com/blog/2011/07/28/on-whites-2000-reality-check/I was asked the following question the other day on White’s reality check. QUESTION: I was reading White’s (2000) paper (http://www.ssc.wisc.edu/~bhansen/718/White2000.pdf). It seems to suggest that to examine the pnl…Thu, 28 Jul 2011 00:00:00 GMTkevinsunhttps://numericalmethod.com/blog/2011/07/27/quantitative-trading-economist-approach-vs-mathematician-approach/https://numericalmethod.com/blog/2011/07/27/quantitative-trading-economist-approach-vs-mathematician-approach/Thank you Lewis for introducing me to the field of “Quantitative Equity Portfolio Management”. It opens my eyes to the other spectrum of “Quantitative Trading.” Apparently what Lewis considers quantitative trading is…Wed, 27 Jul 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/07/09/java-vs-c-performance/https://numericalmethod.com/blog/2011/07/09/java-vs-c-performance/It is very unfortunate that some people are still not aware of the fact that Java performance is comparable to that of C++. This blog piece collects the evidence to support this claim. The wrong perception about Java…Sat, 09 Jul 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/06/01/open-source-trading-software-or-not/https://numericalmethod.com/blog/2011/06/01/open-source-trading-software-or-not/I have built a few trading systems from scratch during my years with investment banks. So, I have learnt from the many mistakes made. I am recently reviewing some open source system, and would like to share some…Wed, 01 Jun 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/05/31/strategy-optimization/https://numericalmethod.com/blog/2011/05/31/strategy-optimization/Trading strategy optimization is an important aspect and a challenging problem in algorithmic trading. It requires determining a set of optimal solutions with respect to multiple objectives, where the objective…Tue, 31 May 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/05/27/algorithmic-trading-courses/https://numericalmethod.com/blog/2011/05/27/algorithmic-trading-courses/For those who would like some organized introductory materials to algorithmic trading, I have designed an algorithmic trading course using materials from published papers. The course has been successfully conducted in…Fri, 27 May 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/05/20/the-right-and-wrong-way-to-run-an-algorithmic-trading-group/https://numericalmethod.com/blog/2011/05/20/the-right-and-wrong-way-to-run-an-algorithmic-trading-group/I would like to share with you the unique vision that Numerical Method Inc. has about running an algorithmic trading group. To get an edge over competing funds, we emphasize on 1) the research process and 2) technology…Fri, 20 May 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/05/01/gain-capital-fx-rate-data/https://numericalmethod.com/blog/2011/05/01/gain-capital-fx-rate-data/For most non-professional FX traders, one hurdle to start your own algorithmic trading research is tick-by-tick data. Gain Capital Group has been very kind and does the community a very good service by providing…Sun, 01 May 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2011/04/30/suanshu-introduction/https://numericalmethod.com/blog/2011/04/30/suanshu-introduction/Numerical Method Inc. publishes SuanShu, a Java numerical and statistical library. The objective of SuanShu is to enable very easy programming of engineering applications. Programmers are able to program mathematics in…Sat, 30 Apr 2011 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2010/11/03/the-demand-of-good-financial-engineers/https://numericalmethod.com/blog/2010/11/03/the-demand-of-good-financial-engineers/It is very difficult to find people who can produce effective code for mathematical models. In general, mathematicians do not write good code and computer programmers do not understand the (advanced) mathematics. Yet,…Wed, 03 Nov 2010 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2010/11/03/what-is-missing-in-our-computer-science-curriculum/https://numericalmethod.com/blog/2010/11/03/what-is-missing-in-our-computer-science-curriculum/From my years of experience of recruiting computer science students, it seems that universities fail to train students who can build good software. When I hire freshly graduated students, I often need to rewrite their…Wed, 03 Nov 2010 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2010/10/23/class-parsimony/https://numericalmethod.com/blog/2010/10/23/class-parsimony/Hello World! Today I have my first post ever on the Numerical Method blog. I’d like to discuss a design decision when writing our library. This is to give our friends some insight into how the SuanShu library works.…Sat, 23 Oct 2010 00:00:00 GMTHaksun Lihttps://numericalmethod.com/blog/2010/07/18/china-etfs-anyone/https://numericalmethod.com/blog/2010/07/18/china-etfs-anyone/Actually, I struggle to decide the title of this post. In fact, at one point I believe the more appropriate title will be “Will China long funds disappear like penguins?” However, I decide to send a more positive…Sun, 18 Jul 2010 00:00:00 GMTstephenmcwonghttps://numericalmethod.com/blog/2010/07/05/creative-retailing/https://numericalmethod.com/blog/2010/07/05/creative-retailing/All right, I may bore my readers as my focus has been always on the consumer sector in China. But I do find a lot of interesting subplots going on in this sector, as I am spending my weekend shopping in Hong Kong. You…Mon, 05 Jul 2010 00:00:00 GMTstephenmcwonghttps://numericalmethod.com/blog/2010/06/26/chinas-beauty-contest/https://numericalmethod.com/blog/2010/06/26/chinas-beauty-contest/Don’t know if the development of the cosmetic chain stores is related to the recent wage raise of China’s factory workers, but lately there are a couple of companies want to make ambitious move to expand their chain…Sat, 26 Jun 2010 00:00:00 GMTstephenmcwonghttps://numericalmethod.com/blog/2010/06/22/opening/https://numericalmethod.com/blog/2010/06/22/opening/Dear all, This is my first diary article for Numerical Method. First of all, I would like to thank the blog owner to provide me a platform to write about the interesting aspects that I find out as I am exploring in the…Tue, 22 Jun 2010 00:00:00 GMTstephenmcwong