Rust for Quantitative Finance | Rust Me Up

Rust for Quantitative Finance: Rust Me Up

Quantitative finance encompasses mathematical, statistical, and computational methods used in investment and risk management. Traditional languages like Python, R, and MATLAB dominate the field. However, a new language, Rust, has entered the scene, showing potential for a variety of use-cases in quantitative finance.

What is Rust?

Rust is a systems programming language that runs extremely fast, prevents segmentation faults, and guarantees thread safety. It is positioned to take over C++, providing high-level syntax ease with low-level efficient control of system resources. Rust’s zero-cost abstractions, C++ bindings, and rich type system have made it increasingly popular among developers.

Why Rust in Quantitative Finance?

Quantitative finance applications need pragmatic software to perform complex computations, statistical analyses, numerical linear algebra, optimizations, etc. Languages like Python, although easy to write, may be slow. C++, while fast, can be difficult to write and maintain.

Here’s where Rust comes in. Rust provides the speed of C++ and safety and concurrency features that are essential in quantitative finance applications due to the following reasons:

Safety without Garbage Collection

Rust ensures memory safety without needing garbage collection, delivering improved efficiency, particularly relevant in quantitative finance where requirements for speed and resources are intense.

Concurrency without Data Races

In finance, concurrent computation is regularly employed to process large volumes of data. Rust guarantees thread safety, allowing safe concurrent programming, significantly improving performance.

Zero-Cost Abstractions

Rust supports advanced compile-time expression evaluation, offering an exact balance between high-level abstractions and low-level control. This is conducive to building complex quantitative models without losing performance.

Examples of Using Rust in Quantitative Finance

Here are a few hypothetical use-cases where Rust could offer significant advantages in the field of quantitative finance:

High-Frequency Trading

In a domain where microseconds can make significant differences, using Rust's computational capabilities could provide a competitive edge.

Risk Modelling

Quantitative models often require tight control over computational resources and high-precision mathematics. Rust facilitates this level of control and precision for accurate risk modelling.

Complex Derivatives Pricing

Calculation of pricing for complex derivatives demands significant computation. Leveraging Rust can lead to increased efficiency and precision in these computations.

Rust Libraries for Quantitative Finance

Several Rust libraries can aid in quantitative finance:


The ndArray crate provides an n-dimensional container for general elements and for numerical computing.


Statrs provides statistical computation and distribution traits and types. It supports standard statistical functions and various types of distributions.


Gnuplot allows rendering charts for Rust applications, useful for plotting graphs and figures in financial analysis.


Peroxide is a scientific computational library, ideal for linear algebra, numerical analysis, statistics, and data frame.

Learning Rust for Quantitative Finance

Starting with Rust can be challenging, however, various resources can help:

Official Rust Book

This is an in-depth guide to the Rust programming language. It is one of the best ways to learn Rust from scratch.

Rust by Example

Rust by Example is an interactive tutorial style of learning Rust. It provides hands-on examples for different Rust functionalities.

Rust documentation for Financial Applications

The Rust documentation has in-depth pages on topics relevant to financial computations. These include the application of threads, complex mathematics and precision controls.

In summary, Rust offers a winning combination of speed, safety and concurrency. It is gaining traction as a potential future primary tool of quantitative finance professionals and developers. While it is still in its early days, the potential for Rust to revolutionize this field is substantial.

Frequently Asked Questions

1. What is Rust? Rust is a systems programming language that is known for its speed, memory safety, and concurrency without data races.

2. How is Rust useful in Quantitative Finance? Rust provides safety, speed, and concurrency, which are vital in financial applications. It allows for efficient and advanced computations, facilitating tasks like high-frequency trading, risk modelling, and derivatives pricing.

3. Are there specific Rust libraries for Quantitative Finance? Yes, several, including ndarray for numerical computing, statrs for statistical computation, gnuplot for chart rendering, and peroxide for scientific computation.

4. How can I learn Rust for financial applications? Resources available include the Official Rust Book and Rust by Example tutorial, along with Rust documentation.