Numerical Recipes in C

Rating:
Summary: Great compilation of numerical algorithms for C programmers
Review: I found this book indispensible in my effort to develop profitable trading systems for futures and options and in my research in factor analysis and, more recently, in chronic fatigue syndrome and fibromyalgia. Anyone who programs in C or C++ and works with mathematics must have this book. It covers a surprisingly wide range of algorithms: routines are included for everything from handling Julian dates and solving systems of linear equations to determining eigenvectors and singular value decompositions, solving differential equations, doing numerical integration (quadrature), not to mention calculating fast fourier transforms, lomb periodograms and maximum entropy spectral analyses. While not always state-of-the-art, the routines are quite reliable (when used correctly), clearly-written, and easy to understand and use. I would strongly recommend this book (and the companion software) to anyone who programs in C and is literate in mathematics. I always keep a copy nearby.

Jeffrey Owen Katz, Ph.D.
Author: "The Encyclopedia of Trading Strategies" (McGraw Hill, 2000)