Jane Street: OCaml and Python; Getting the Best of Both Worlds

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• Laurent Mazare, Quantitative Researcher, Jane Street
• Tuesday 26 October 2021, 13:05-13:55
• Online.

If you have a question about this talk, please contact Ben Karniely.

Jane Street works differently. We are a quantitative trading firm active on more than 200 trading venues across 45 countries. As a liquidity provider and market maker, we help form the backbone of global markets. Our approach is rooted in technology and rigorous quantitative analysis, but our success is driven by our people.

At Jane Street, we rely on OCaml to build industrial strength systems that handle terabytes of information per day. However in the last few years Python has proven to be a tool of choice for data analysis. In this talk we present how we expose a wide variety of OCaml libraries and services so that they can be accessed from Python giving us the best of both worlds. End users can use Python notebooks and their favorite libraries to manipulate huge datasets, and OCaml is used behind the hood for the heavy lifting.

About Laurent: Laurent first joined Jane Street as a developer in 2013, working on various trading systems. After a short stint in the world of AI in 2017, he came back a year later and has since been working as a researcher on the London equities desk. His current projects involve some strategy research and development as well as working on python-ocaml integration.

Zoom link to join: https://janestreet.zoom.us/j/85243725494?pwd=VkxlaXZtOHk2M2JJaVVMbVR0N0NGZz09

This talk is part of the Technical Talks - Department of Computer Science and Technology series.

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