Mechanical Sympathy in Quant Finance: Optimizing Monte Carlo Post-Processing
Mechanical Sympathy in Quant Finance: Optimizing Monte Carlo Post-Processing The Hook: The Latency of Decision In quantitative finance, the difference between a simulation that takes 10 minutes and one that takes 30 seconds isn’t just “convenience”—it’s a competitive edge. When processing millions of Monte Carlo paths to calculate Sharpe Ratios and volatility, you quickly hit the “Memory Wall.” The CPU is so fast that it spends most of its time idling, waiting for data to arrive from RAM. ...