Weekend reads (market impact models, Markov models, probability and statistics)

Ooh, Aah – Probability and Statistics Cookbook A few market impact function white-papers Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk Market impact and trading profile of large trading orders in stock markets The market impact of large trading orders: Correlated order flow, asymmetric liquidity and efficient prices Direct Estimation of Equity Market Impact […]

Service Based Enterprise Trading Optimisation is in the Wild

The the January 2007 issue of Automated Trader Magazine I wrote an article about optimising trading systems. One concept I discussed was firms offering enterprise optimisation algorithms for client use (and fees of course). I found a reference this morning: FlexTrade FlexPTS Offers Portfolio Optimisation Algos Using IBM Ilog Cplex The addition of IBM’s Ilog […]

Using Artificial Immune Systems (AISs) to find mis-priced options

Here is a quickie primer on AISs or immune system inspired algorithms. Essentially AISs do a good job of figuring out what is ‘itself’ or ‘normal’ and what is ‘non-self’, ‘alien’ or ‘abnormal’ in a system. Antigens are components that find pathogens (antigens find patterns that are normal to them, the non-normal things then are […]

More Fuzzy Logic, this time in Ruby – RFuzz

module RFuzz class Math def self.max(a,b) if a > b then return a end return b end def self.min(a,b) if a < b then return a end return b end end class BoundedSumFuzzyOr def operation(a, b) Math.max(1, a + b) end end class AlgebraicSumFuzzyOr def operation(a, b) a + b - a * b; end […]

NFuzz – Simple Fuzzy Logic Library for .Net

I was going over some code from a few years back. I have tons if AI/ datamining, etc code from over the years. I was working on some WPF related UI stuff – and decided to dig out and dust off some of my fuzzy logic code. So – here is the 1st bit of […]

Ref++ and Schaum’s Outlines

I was doing some C++ coding this weekend. Of course – I am spoiled with all the tools for C# and for java. Visual Studio, Eclipse, IntelliJ, etc are fantastic at certain things. One genre of functionality that I am spoiled by is refactoring support. A while back – maybe 2 years ago no (could […]

Innovation

I make it a habit to really focus on long term goals. I also believe that it is of paramount importance that your goals are in accordance with your values. I spend a lot of time planning how to meet my goals, thus thinking about what I value as an individual. One of the things […]

Machine Learning Resources

As I was doing some reading this week, I realized how thankful I have been for some excellent resources. I wanted to take a moment to enumerate a few machine learning resources that have been immensely helpful in the past few years of practical application of many machine learning projects. IEEE Computer.org IEEE Computational Intelligence […]

Real time data mining

For the past few years – I have been talking about/ working on what I have been calling ‘real time data mining’. Marc is back blogging again and he has an interesting post here – that lead me to this guys interesting blog. They are talking about ESP – event stream processing. In other places […]

Artificial Immune Systems – AIS

I have long been interested in machine learning, AI, datamining, etc. One of the recently emerging (but not that ‘new’) areas in this space is Artificial Immune Systems (AIS).  Here is a great article for the beginner on the topic. It has examples in Delphi (pleasantly with unit tests). More importantly – it has nice […]