Blue Threads For C++

I continue my research work on this topic by constructing 3 working papers:

(1) Agent Strategies for Automated Stock Market Trading
(2) Automated Trading Algorithms in C++.Net
(3) FRACNET: The Conditional Simulation of Cascade Models

and reviewing the content at cplusplus.com. I also viewed the seven part series of "Threading in .NET" on the Intel Software Network:

http://software.intel.com/en-us/videos/threading-in-net-best-practices-1-of-7-series

and led to the work by Intel on Threading Building Blocks at

http://www.threadingbuildingblocks.org/

I downloaded the 2.1 version to use with their tutorial and the Reinders (2007) book. In addition, at Developers.net the following case study on risk management and compliance

http://www.developers.net/intelisdshowcase/view/2534

discussed the 64 bit Intel Itanium 2 processors for Monte Calo credit risk modeling. This permits banks to base their credit risk profiles and capital investment strategies on more complex simulations.

Some more good articles:

(1) Primer: Developing Multithreaded Applications

http://www.developers.net/intelisnshowcase/view/544

(2) Developing Multithreaded Applications: A Platform Consistent Approach

http://cache-www.intel.com/cd/00/00/05/15/51534_developing_multithreaded_applications.pdf

(3) Multithreaded Game Programming and Hyper-Threading Technology

http://software.intel.com/en-us/articles/multithreaded-game-programming-and-hyper-threading-technology

Since most of the transformations for trading is done on matrices, we have

(4) Matrix Vector Mulitiplication and Multi-threading Benefits

http://software.intel.com/en-us/articles/matrix-vector-multiplication-and-multi-threading-benefits

(5) Three Methods for Speeding up Matrix-Vector Multiplication

http://www.developers.net/intelisnshowcase/view/152

Finally, we have

(6) Multi-Threading for Experts: Inside a Parallel Application

http://www.developers.net/intelisnshowcase/view/474

References

Reinders, James (2007, July). Intel Threading Building Blocks: Outfitting C++ for Multi-core Processor Parallelism (Paperback) Sebastopol: O'Reilly Media, ISBN 978-0-596-51480-8.