Good picture categorising kinds of traders

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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 […]

Hyde Park Global Bets on Adaptive Models to Trade Arbitrage Strategies in Milliseconds

Hyde Park Global Bets on Adaptive Models to Trade Arbitrage Strategies in Milliseconds Because no formula is going to work all the time, Hyde Park Global develops adaptive models, using a genetic algorithm (i.e, such as mutations and crossover), which are designed to respond to changing market conditions in real time, Afshar explains. While he […]

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 […]