Better Models Through Metaprogramming
As a trading firm, Jane Street needs software that allows for collaborative work between many users defining, examining, and evaluating models. These systems must be equally adept at handling large generalized cases as well as individual one-off situations. We will discuss traditional approaches to this problem, as well as our solution: “webs.” Webs uses a graph- based computational model specified using OCaml as a metalanguage to allow for concise description of programs, while still permitting local customization. This is coupled with a parallel, incremental, evaluation engine for efficient, real-time results.
Tuesday, September 19th
MIT | Grier 34-401
Tuesday, September 26th
Waterloo | Davis Centre 1302