Daily Archives: May 24, 2012

Twitter Updates for 2012-05-24

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!

Hedge Fund & Private Equity Discussions, Jobs & Careers Group

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Posted By Alex Baranpuria

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!

Quant analytics: Now coding up potentially lucrative trading models for HFT in free open source R

Quant analytics: Now coding up potentially lucrative trading models for HFT in free open source R

If you have seen the agenda < http://quantlabs.net/blog/2012/04/introductory-video-on-youtube-for-my-high-frequency-trading-hft-algorithm-model-and-strategy-course-agenda-details/>of my Algorithm and Strategy Development courses for my QuantLabs.net Premium Members, you will find a broad range of algorithm types both for both quant and high frequency trading environments. As I have an updated FREE open source trading infrastructure, I am now in position to focus on the different algorithms for potentially lucrative profitable live trading.

As I have switched over to R from Matlab, I can now code up these algorithms in a free open source platform with amazing scalability. I am excited to see this in action with live market tick data. As a result,  I will be focusing on initial algorithms for forecasting potential movements in any market asset. I will also be ensuring they are highly profitable.

If you are a current Premium member, consider yourself very lucky to get the locked in very low and affordable rates. If any of these new coded up algorithms prove to be lucrative, I can guarantee the low rates will be EXPONENTIALLY going up. Why would I keep rates this low as institutional traders are very interested in what I do? These algorithms and strategies could be highly prized if they prove themselves.

Get in the action now:

–> http://quantlabs.net/dlg/sell.php?prodData=m%2C3 <–

Want more than HFT and algorithms? No problem. Just click here to find out more about everything available to Premium members

–> http://quantlabs.net/quant-member-benefits/slash-your-quant-learning-curve/ <–

Good trading,

Bryan

Quantlabs.net

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!

Why you can’t ignore HFT and stay competitive today …

Hi there,

I know I’ve been sounding the trumpet on the importance of High Frequency Trading (HFT) lately.

That’s because the evidence of its profitability is undeniable. Here are some key facts you might not know:

* Boston Consulting Group found that in the USA, HFT is now 56% of all equity volume (in 2010) as compared to 15% in 2006. That’s phenomenal growth and it wouldn’t be happening if it wasn’t making HFT practitioners boatloads of money.

* The average daily number of trades has risen 662% to 22.1 million (in 2009) from 2.9 million in 2005. What’s more, the average trade size has plunged 63% to 288 shares per trade from 724 shares in 2005. That’s a massive increase!

* Instead of paying brokerage fees, a high-frequency trader can actually make money on each transaction and therefore pay a negative brokerage fee. That’s because NASDAQ pays up to $0.00295 per share to provide liquidity. That’s quite a rebate for a standard 100-share lot! Provide liquidity for millions of shares a day, and the payoff can be substantial.

There’s also the undeniable fact that HFT can make money in any market. Up, down, flat … it doesn’t matter. With the future so uncertain right now (translation = the Eurozone crisis) that kind of profitability is golden.

Let me show you how to make the most of your opportunities in HFT today. I’ve created a red-hot HFT course that includes 72 key algorithms and 13 separate lessons covering all aspects of HFT.

And you can get it right now:

–>

http://quantlabs.net/dlg/sell.php?prodData=m%2C3
<–

Want more than HFT? No problem. Just click here to find out more about everything available to Premium members

–>

http://quantlabs.net/quant-member-benefits/slash-your-quant-learning-curve/

<–

Good trading,

Bryan
Quantlabs.net

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!

If you don’t have a set plan, a strategy, then you WILL lose money!!!

If you don’t have a set plan, a strategy, then you WILL lose money!!!

THE primary reason that traders/speculators/investors fail. How many times have you watched someone place a trade with no plan whatsoever, and then they are legitimately shocked when it doesn’t profit for them…

If you don’t have a set plan, a strategy, then you WILL lose money. A good strategy includes three basic principles:
1. Where do I get in?
2. Where do I get out when I’m winning?
3. Where go I get out when I’m losing?

Answer these questions and your trading plan will be better than 95% of the people in the market. We give traders around the globe a place to connect, share ideas and stay on top of the latest financial news via live news feeds. come and be part of our world, Get us on http://ksoc.tk/1fk

 

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Where I’m from we call that “gambling” if your not doing basic analysis or crafting your thesis using any technicals or at least common sense. Your account will be in trouble.

Did any of you trade Facebook? Here’s an analysis on FB vs AAPL on youtube.

http://youtu.be/uBc1sndH1f4

 

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!

Quant analytics: PCA for alpha generation

Quant analytics: PCA for alpha generation

I am curious if anyone has had success applying principal component analysis in the context of alpha generation (and not in the context of risk, as PCA is typically applied). For instance, I like the straightforward “absorption ratio” introduced by Kritzman, et al. here:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1633027

I suspect that tracking the evolution of portfolio risk concentration may yield forward-looking clues on the portfolio’s performance. For instance, perhaps a factor mimicking portfolio may lose efficacy if its risk becomes highly concentrated during the life of the trade (in this hypothetical context, the “absorption ratio” is used as a timing parameter for factor rotation).

As an aside, outside of alpha generation, I think any “real-time” systemic risk metrics are highly relevant in today’s market. Particularly in the US equity space, where investors have enjoyed a respite (of sorts) from macro-driven Eurozone news since mid-Dec (coinciding with the ECB’s 3-yr LTRO announcement). The abrupt declines over the last hour of trading on May 22 (purportedly driven by comments from the former Greece PM regarding the country’s potential exit from the euro) is a sharp reminder to me just how quickly the market can switch back to the high correlation environments of 2H11. Monitoring systematic risk may give active investors sufficient time to adjust their level of activeness/leverage in open positions.

 

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!

Quant analytics: Filtering signals for portfolio construction

Quant analytics: Filtering signals for portfolio construction

When processing signals for portfolio construction people do a lot of exponentially weighted smoothing and z-scoring.
Exponentially weighted smoothing is a linear filter. Is there any connection between linear filtering and z-scoring?
More in general, is there a reference that reviews the main practical filters, possibly discussing computational issues?

 

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I’d like to address how one may use linear filters to compute the z-score.

Denote as _n_ the index that, in discrete time, represents a time-point. Say an input series is x[n] and the z-score series is z[n]. I will not address initial conditions.

The z-score is

z[n] = (x[n] – Ex[n]) / sqrt(var(x[n]))

The z-score series may be computed with two recursion equations.

The expected value Ex[n] series may be computed with an ema. Using a finite-difference equation the ema series is generated by the recursion

Ex[n] = p Ex[n-1] + (1-p) x[n]

where the parameter coefficient p = Neff / (Neff + 1), and where Neff is N-effective, the length-scale of the ema. Note that p + (1-p) = 1, so the gain of the ema is unity, which is correct.

Regarding the denominator, sqrt(var(x[n])), let’s forget the sqrt() for a moment. Var(x[n]), in sample form, is

var(x[n]) = 1/(Nb-1) sum_{k=n-Nb+1}^n (x[n] – Ex[n])^2

This equation represents a box-shaped filter on the series (x[n] – Ex[n]). Data for n < n-N is completely dropped, data within the window is uniformly weighted by 1/(N-1).

The recursion for a box B[n] of length Nb is written

B[n] = 1/N b[n] – B[n-Nb]

For variance the b[n] coefficient is 1/(N-1), and b[n] = (x[n] – Ex[n])^2.

The box-length and ema effective lengths need to have similar scales. They cannot be the same because the shapes differ, and the ema is an infinite-impulse response while the box is finite-impulse response. Nonetheless Neff ~ Nb needs to be upheld.

A couple of notes about the recursions:

* both are linear
* both require only two operations for an update
* the ema requires only 1 register for memory, independent of Neff
* the box requires a buffer Nb long to persist the window.

The z-score is then

z[n] = (x[n] – Ex[n]) / sqrt(B[n])

For the very particular, a convexity adjustment can be made to the square-root of the variance.

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Every time I tried to filter a price series, it disgruntled me. What exactly are we trying to filter? Filters are there to filter noise and reveal the underlying state. Of course you can look at everything and try to see them in

y[n] = x[n] + e[n]

format. Nevertheless I recently concluded that this is not a good way of looking at price series (The only thing to my mind that e[n] can represent is perhaps market intraday micro-structure effects).

Suppose there is such thing as x[n] (a level) and we filtered it successfully. What are we going to with it when PNL is measured in terms of y[n]? My comment applies to any type of filter as basic as simple moving average.

That’s why I am using filters only for unobservable things. For example online beta estimation.

I believe all practical linear filters can be represented in state-space representation by increasing the state space dimension. Result is that the filter becomes recursive, hence you don’t need to reprocess the old data as new data comes. EWMA is in such format (An interesting feature of EWMA is that it is optimal for ARIMA(0,1,1) and local level model at the same time).

I don’t know if I have repeated very basic stuff or managed to provide some insight.

 

I believe that is relevant only when you would consider deviation from ordinary as a certain muliple of z-score.
There is more rigorous treatment of how deviation of model estimation from observed data in bayesian time series filtering literature.
Please see below (I think) are quite instructive and have further references on the subject for linear (like kalman) or nonlinear filtering problem.

Time Series: Modelling, Computation and Inference, R Prado, M West (2010)
Bayesian Forecasting and Dynamic Models. M West, J Harrison (1997)
A Tutorial on Particle Filtering and Smoothing: Fifteen years later. A Doucet, A Johansen (2008)
Particle Filters and Bayesian Inference in Financial Econometrics. H. Lopes, R Tsay (2011)

 

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!

Real-time datafeed for US Equites for quant analytics

Real-time datafeed for US Equites for quant analytics

Im looking for reliable datafeed provider for US equites. I need direct .NET or similar API access
to receive real-time level2 data.

Are you still looking for a datafeed? We could help you here.

Regards

Yes, Im still looking for solution.
BTW, i have emailed Morningstar last week but nobody answered

 

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!

Carlyle assets rise, performance fees fall in 1st earnings statement

Carlyle assets rise, performance fees fall in 1st earnings statement

pionline.com

Carlyle Group on Tuesday reported fee-earning assets under management of $117 billion as of March 31, up 5% from three months earlier and 8.8% higher than a year earlier, while total AUM was $159 billion, up 8% for the quarter…

 

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I Trade CG and it’s brothers based on 30 minute moving averages

 

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!

Family Office & Private Wealth Management Forum for Hedge Fund Managers

Family Office & Private Wealth Management Forum for Hedge Fund Managers

As part of the Private Wealth Series, the Family Office/Private Wealth Management Forum is Opal’s premier conference and the preeminent event in North America for high net worth individuals and family offices from around the world. Some of the most well established and senior Family offices, Private investors, money managers, and private wealth service providers from around the globe will return to this picturesque setting for three days of engaging discussions on the latest investment trends and soft issues surrounding this generation and future generations of families. The event will take place in historic Newport, Rhode Island, which is rich in history and wealth alike.

The Private Wealth Conference will explore the challenges and opportunities associated with investing in emerging markets, alternative investments, real estate, direct energy, numerous other asset classes and will also address many of the softer issues related to the family office such as tax and regulation, asset protection, philanthropy, structuring a family office, and many more.

Opal will kick off the event with its Piaget Regatta Cup, in which attendees will have the opportunity to work with a professional sailing charter crew while competing against industry peers.

 

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Family Offices, Non Discretionary Consultants or Endowments and Foundations Registration

 

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!