Programming Language Choices for Algo Traders: The Case of Pairs Trading

Pedro Vergel Eleuterio () and Lovjit Thukral ()
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Pedro Vergel Eleuterio: Birkbeck, University of London
Lovjit Thukral: JP Morgan Asset Management

Computational Economics, 2019, vol. 53, issue 4, No 8, 1443-1449

Abstract: Abstract In the last 20 years, relative value strategies have increased in popularity in various asset classes, including equity and commodity markets. Due to an increase in market participants, more sophisticated algorithms than those used in the past are now required to generate excess returns in pairs trading strategies. Sophisticated algorithms can cause an increase in complexity which, in-turn, increases computational run time. In our pairs trading example, C++ provides the best performance, however, it is also the most time consuming to implement. Among the languages that allow for faster development, Cython provides the best balance between run times and ease of prototyping.

Keywords: Programming language; Performance; Pairs trading; Trading strategies (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G14 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10614-018-9813-x

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