Daily Archives: August 26, 2011

Alternative Investing Summit

Alternative Investing Summit http://tinyurl.com/3b9jn7mDecember 4-6, 2011 The Ritz-Carlton, Laguna Niguel, Dana Point CA

Register by October 21, 2011 and save $400
The Alternative Investing Summit will bring together trustees and representatives of institutions as well as money managers and consultants to explore the roles of alternative opportunities and strategies. Participants and delegates of this alternative investment conference will investigate a range of critical investment issues, including discussion of the risks and benefits involving private equity, investigating the risks and rewards involved with hedge funds, examining means of cutting costs associated with implementation of absolute returns strategies, reviewing the future of commodities and surveying the landscape of emerging international markets.
The label “alternative” describes a nebulous investment class to many investors, especially those in the institutional world who have strict ethical and fiduciary obligations to their organizations. However, pursuing alternative investments is essential to maximizing returns while maintaining proper asset allocation in plan portfolios of endowments, foundations, family offices, and public and corporate funds.
Opal Financial Group – Alternative Investing Summit opalgroup.netOpal Financial Group coordinates leading institutional investment and securitization events throughout the world.1 day agoLike CommentFollow Flag More1 comment Follow LouisLouis De Silva • For more Alternative Investment news:
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Programming Parallel Computers

Programming Parallel Computers

It’s a source of some frustration to me that we have made no real progress in understanding how to program parallel computers. I have some new ideas on why this is so (apart from the economics) but in the meantime want to bring to you attention a book that I wrote some time ago that seems to be relevant today.

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Amazon.com: Process Interaction Models amazon.com

Process Interaction Models (9781463777913): Dr Steven Ericsson-Zenith :…

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Interactions, spot on. Interaction optimization is definitely more important than computation optimization today, something that is hard to internalize and act upon in my experience. I usually speak about “communication” instead of using the word “interaction” – but when I say “communication” people think of MPI but not synchronization and shared memory (and many other things that cause communication activity). Interactions is more clear. Thanks for the pointer!

 

 

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2011 – 31.2% Return, 1.3 Sharpe, US Equities. We are a Trading system Development company looking for hedge fund partnership / seed capital.

2011 – 31.2% Return, 1.3 Sharpe, US Equities. We are a Trading system Development company looking for hedge fund partnership / seed capital.

We have developed a number of long / short US equity models which are based on non directional statistical modelling – volatility / volume based. Currently interested in speaking with hedge funds.

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how did it do in prior years
are signals based on daily closes or intraday
how much leverage is deployed

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The backtest stats for 2000-2010 were 499% return with 1.13 Sharpe, 48% Wins, 52% losses, Drawdown 4.2%. Non directional. Only looks at discrepancies in volatility movements and volume. The ratio then cross references high probabiity scenarios.

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Sorry forgot to add that the system is based on intraday profit and stop loss levels, with max holding period of 20 trade days. No leverage, but can adequately handle conservative levels

 

 

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Data Segmentation Technique – Financial Modeling


Data Segmentation Technique – Financial Modeling

There are 6 financial ratios which are to be used in order to predict the probability of liquidation for defaulted firm. Since the data set has only 239 records, i need some technique/methodology to predict the dependent variable using all the 6 financial ratios. I tried using logistic regression but as number of observation are less, the approach doesn’t works. I am thinking on segmenting the variables and then assign scores to each segment based on the historical liquidation rate in each segment. Can anyone suggest some statistical technique for segmenting the variables or a better approach to solve the problem.

1 day ago

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Looks like you got a rough problem with only 239 observations, but the logistic regression might not be a good fit for your job as it is used with discrete dependent variables, yours looks like being continuous so I would use Multiple Regression Analysis. Keep an eye on the ratios as using all might not be the best option, specially with only 239 obs.

 

 

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Any ones knows the papers or the scholar research about big data? I only know one paper ‘Starfish: A self-tuning system for big data analytics’ in CIDR2011!

Any ones knows the papers or the scholar research about big data? I only know one paper ‘Starfish: A self-tuning system for big data analytics’ in CIDR2011!

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quite lengthy paper from McKinsey but interessting.
Sorry if that is not what you are looking for, wasn’t sure but thought to post it in case you are also into surveys

http://www.mckinsey.com/mgi/publications/big_data/index.asp

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Don’t know how far back you want to go, but you checking out Google’s MapReduce and BigTable papers could be worthwhile.

 

The nosql summer reading group has a comprehensive list:http://nosqlsummer.org/papers

 

 

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Trading system UI refresh issue

Trading system UI refresh issue

I am new in the trading domain, and developing desktop trading system. Here we have to update the live data in grid. Since quotes can be changed with any number of time in a second. Does there is any standard design to address this issue? Which and how much trade should be update per second

 

 

 

This is your decision, there is no standard for this.
It depends highly on your programming skills and the features to be implemeted in the grid. For instance change of background colors or arrows at change/up/down og fading of the same in the cell.
Those features can be quite CPU expensive in the client application.

 

How is the data being used, for visual display only or in algos. If it is algo’s then all the data. For visual display, develop a combination of time and size. Set a default time say .5 second or 1 second, if quote size changes by x amount bid and ask and is less than default time then update. If quote price changes that is an automatic update.

 

Trading system UI refresh issue

I am new in the trading domain, and developing desktop trading system. Here we have to update the live data in grid. Since quotes can be changed with any number of time in a second. Does there is any standard design to address this issue? Which and how much trade should be update per second

 

 

 

This is your decision, there is no standard for this.
It depends highly on your programming skills and the features to be implemeted in the grid. For instance change of background colors or arrows at change/up/down og fading of the same in the cell.
Those features can be quite CPU expensive in the client application.

 

How is the data being used, for visual display only or in algos. If it is algo’s then all the data. For visual display, develop a combination of time and size. Set a default time say .5 second or 1 second, if quote size changes by x amount bid and ask and is less than default time then update. If quote price changes that is an automatic update.

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Algorithmic trend detection methods

Algorithmic trend detection methods

Trend detection is the corner-stone of many trading strategies. In my research I have found that accurate classification of the current trend (up, down, sideways) is as important as the entry/exit rules on which strategies are based. Currently I am using a naive approach to trend detection – the gradient (or 1-period change) in a 50 period simple moving average with surprising levels of success. What other methods have you used or where would you recommend I look for more advanced methods?

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Have a look at ADX + DMI

http://www.investopedia.com/articles/trading/07/adx-trend-indicator.asp#axzz1W83eJY83http://docs.mql4.com/indicators/iADX

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Thanks, that’s actually quite good. What I’m interested to do is test how well a trend indicator classifies a trend and then use a trend detector in various algorithms.

I suppose I could do one of two things.

1. Use ADX/DMI in a strategy and optimise for maximum PnL / drawdown by variing the the “trending” or “consolidating” threshold (25 in that article) as well as observing the crosses

2. Some other method to test how well ADX/DMI classifies a trend (up/down/sideways). Not sure how to do this at all but would be the most scientific method.

What do you think?

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check out http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=ChartScriptSearch.htm .

Make a code search for ADX and you should find over 100 scripts using ADX in the decision making process. There should be enough there to give you food for thought on the use of ADX.

Hope it helps.

 

 

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