http://chrisdonnan.com/blog software, trading, family, fun Sat, 13 Feb 2010 10:49:08 +0000 http://backend.userland.com/rss092 en (Compiled from Yelp here) As a native New Yorker - I found this great chat series on Yelp comparing NY and London neighborhoods. IMO - VERY accurate! LONDON WEST Notting Hill = New York Soho/West Village Holland Park = Sutton Place Mayfair = Fifth Avenue on the Upper East Side Knightsbridge = Central Park South, the ... http://chrisdonnan.com/blog/2010/02/13/london-new-york-neighborhood-analogies/ 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 ... http://chrisdonnan.com/blog/2010/01/10/service-based-enterprise-trading-optimisation-is-in-the-wild/ So - 2009 was a great year for my continued sci-fi "reading". I actually read perpetually - and the actual reading that I do is usually of the technical sort (quant finance, trading, software, teams, leadership, etc.). In the walking commute and during my daily running - I listen to ... http://chrisdonnan.com/blog/2009/12/28/my-2009-mostly-science-fiction-reading/ There are several papers (and authors) that are referenced again and again in the algorithmic trading literature. 1st - the 'mother' of most papers in algo trading: Robert Almgren and Neil Chriss. Optimal execution of portfolio transactions. J. Risk, 3(2):5–39, 2000. This paper in particular is referenced by just about *every* paper ... http://chrisdonnan.com/blog/2009/12/22/seminal-algorithmic-trading-papers/ 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, ... http://chrisdonnan.com/blog/2009/12/09/hyde-park-global-bets-on-adaptive-models-to-trade-arbitrage-strategies-in-milliseconds/ I have been reading a few books that are related: Empirical Market Microstructure An Introduction to High Frequency Finance This paper gives a pretty good overview and meaningful conclusions from the space... Characterization of Financial Time Series http://chrisdonnan.com/blog/2009/12/06/good-paper-characterization-of-financial-time-series/ Google’s Go: A New Programming Language That’s Python Meets C++ [youtube]http://www.youtube.com/watch?v=wwoWei-GAPo[/youtube] Go site 1st blush looks nice. Types good, C like performance good. Built for multi-core etc. I will admit I wish it looked more functionally inspired. I am loving Erlang these days (and to a lesser extent Haskell) so going more imperative ... http://chrisdonnan.com/blog/2009/11/11/google-go/ Why blog about Erlang now? For me writing blog posts is often a therapeutic way to work out puzzles and clarify my own understanding of a concept. I have been writing Erlang on and off for around 1.5 years now. As of late I have also been typing a lot more ... http://chrisdonnan.com/blog/2009/08/09/intro-to-erlang-part-1/ 15 Scalability and Performance Best Practices The Joy of Rx: Building an Asynchronous API with Rx and IQueryable We are not doing this to beat the other guys (amazing Honda inspiration) Japan Lean Study Mission Day 4: Toyota Home, Norman Bodek, and Takeshi Kawabe (More amazing Honda inspiration) http://chrisdonnan.com/blog/2009/08/02/good-reads-me-skimping-on-a-real-blog-post/ So - I am deep into Erlang (still learning for > 1.5 years), Getting into Clojure (new) and getting into Haskell (a few months now). I have decided to spurn the OCaml/ F# branch of the world at least for a little while... Anyhow - Erlang is the functional language I ... http://chrisdonnan.com/blog/2009/07/28/monads-and-my-many-language-road-to-more-functional-programming/ I have been thinking quite a lot about a few programming topics: Correctness - how do we make it easy to write correct software Size - how do we curb growth in size of our software (characters - not just lines - it all counts!) Understandability - how do we keep our software ... http://chrisdonnan.com/blog/2009/07/12/high-performance-functional-languages/ LAgent : an agent framework in F# – Part I – Workers and ParallelWorkers LAgent : an agent framework in F# – Part II – Agents and control messages LAgent: an agent framework in F# – Part III – Default error management LAgent: an agent framework in F# – Part IV – Custom ... http://chrisdonnan.com/blog/2009/07/06/lagent-an-agent-framework-in-f-yes/