Portfolio Management course topics from MIT

Topics include MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013

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This seems to get a lot of attention in my Facebook programming group

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: http://ocw.mit.edu/18-S096F13

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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!

Python for Everybody – Full Course

If you are looking at for free video set to learn programming with Python from zero knowledge, you may be interested in this 13+ hour video. Crazy I know but it is free Check it out. Here is the description of this video

Like these topics, get some secret screener tech here

This Python 3 tutorial course aims to teach everyone the basics of programming computers using Python. The course has no pre-requisites and avoids all but the simplest mathematics.

This video is from 2014 but I am sure it is still relevant.

If you have not been reading these emails, I have done revamped the store to my old reactivated Shopify store. I am sure you are not interested in the benefits, so I will just post the the highlighted links:

Interative Brokers 4.5 hour Workshop Bootcamp

$37.00

Python Algo Trading Infrastructure with Crypto Currency

$297.00

Quant Analytics 3 months

$297.00

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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!

James H. Simons: Math, Common Sense and Good Luck

Here is another Jim Simons and Renaissance Technology related. Also, you will find the video description here:

Interested in these topics? Check out some free tech screeners here:

The American Mathematical Society and the Mathematical Sciences Research Institute present the 2014 AMS Einstein Public Lecture in Mathematics with James H. Simons, the president of the Simons Foundation. Simons is a philanthropist, mathematician, investor, and financier who supports basic research in the sciences through the foundation he created with his wife, Marilyn.

This video is from 2014 but I am sure it is still relevant.

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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!

Did this research paper kick off Renaissance Technologies?

From the research paper authored by Peter Brown and Robert Mercer while at the IBM Watson Research Center in the early 90s.

http://www.naxa.com/downloads/J93-2003.pdf

Interested in this type of topic? Check this out

Screen software topics
Learn how to build custom trading bots here

It seems the initial 5 models are based on Bayes Theorem for probability analysis.  They use a series of analysis to compare one against another (.e.g French vs English) to find patterns to see how connection relate with each other. This is for translation purposes.

P

Pg 7: We generally follow the common convention of using uppercase letters to denote random variables and the corresponding lowercase letters to denote specific values that the random variables may take. We have already used I and m to represent the lengths of the strings e and L and so we use L and M to denote the corresponding random variables.

As stated here by James Baker, https://www.quora.com/What-are-the-investment-strategies-of-James-Simons-Renaissance-Technologies-I-understand-he-employs-complex-mathematical-models-along-with-statistical-analyses-to-predict-non-equilibrium-changes

We need to understand the corresponding random variables. There is mention of Lagrange multipliers and normalizing predictive data.

Auxiliary functions are used as well to generate desirable parameters using extrema/maxima analysis. Conditional probabilities are used as well. On pg 276 there are translation, distortion and fertility probabilities.


Page 282: Model 5 is a powerful but unwieldy ally in the battle to align translations. It must be led to the battlefield by its weaker but more agile brethren Models 2, 3, and 4. In fact, this is the raison d’etre of these models. To keep them aware of the lay of the land, we adjust their parameters as we carry out iterations of the EM algorithm for Model 5. That is, we collect counts for Models 2, 3, and 4 by summing over alignments as determined by the abbreviated S described above, using Model 5 to compute Pr(ale, f). Although this appears to increase the storage necessary for maintaining counts as we proceed through the training data, the extra burden is small because the overwhelming majority of the storage is devoted to counts for t(fle ), and these are the same for Models 2, 3, 4, and 5.

Page 283 shows the number of translations done which goes into the millions to determine a small subset of useful words. EM algo used with maximum likelihood.

Pg 283 Although the entire t array has 2,437, 020,096 entries, and we need to store it twice, once as probabilities and once as counts, it is clear from the preceeding remarks that we need never deal with more than about 25 million counts or about 12 million probabilities. We store these two arrays using standard sparse matrix techniques. We 283 Computational Linguistics Volume 19, Number 2 keep counts as pairs of bytes, but allow for overflow into 4 bytes if necessary. In this way, it is possible to run the training program in less than 100 megabytes of memory. While this number would have seemed extravag…

Page 293 speaks of Viterbi algo training:

We have already used this algorithm successfully as a part of a system to assign senses to English and French words on the basis of the context in which they appear (…

Page 297 table of notation

Appendix B has summary of models. Note especially Log-Likelihood Objective Function.

Note page 300 iterative improvement.

In order to apply these algorithms, we need to solve the maximization problems of Steps 2 and 4. For the models that we consider, we can do this explicitly. T

Page 301: Parameter Reestimation Formulae: In order to apply these algorithms, we need to solve the maximization problems of Steps 2 and 4. For the models that we consider, we can do this explicitly.

Equation (73) is useful in computations since it involves only O(lm) arithmetic operations, whereas the original sum over alignments (72) involves 0(I m) operations.

Download entire collection including some old interview with Jim Simons and rare audio speech of Peter Brown and Bob Mercer

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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!

5 Lessons From the Greatest Traders Jim Simons book

Since the announcement of a book about the Renaissance Technology founder, It is a week about Jim Simons. The thing is that he is easily the most successful trader or investor of our time. Someone went out and wrote about some of the lessons learned  from this book.

Out of all the articles I have seen over the last few weeks, this is easily the most useful.

If you have not been reading these emails, I have done revamped the store to my old reactivated Shopify store. I am sure you are not interested in the benefits, so I will just post the the highlighted links:





Interative Brokers 4.5 hour Workshop Bootcamp

$37.00

https://quantlabs.net/interactivebrokers/

Python Algo Trading Infrastructure with Crypto Currency

$297.00

Quant Analytics 3 months

$297.00

Thanks Bryan

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

Goldman Sachs lose top traders to hedge funds

I have put together some articles on what is happening with Goldman Sachs as more people are leaving. Here are some reasons from the first article:

Junior traders have been complaining of a new approach at Goldman Sachs. As the firm focuses on developing stable streams of income from ‘platform’ businesses, volatile trading revenues have gone out of fashion. Insiders complain there’s less interest in generating alpha and more of a focus on pure market making, meaning alpha-generating traders feel they’re better off on the buy-side.

https://news.efinancialcareers.com/uk-en/3002624/goldman-top-traders-leaving-for-hedge-funds

Many seem to be going to Bluecrest but never ask me why. Here are the other articles leading into Goldman is moving into platform based businesses which make sense:

https://news.efinancialcareers.com/us-en/311902/real-reasons-junior-traders-leaving-goldman-sachs

https://news.efinancialcareers.com/uk-en/3002409/goldman-sachs-technology-jobs

I am still looking for feedback from people on this new physical book I am thinking of self publishing. As said, a darft is in place but I am not willing to move forward unless people comment on what more they would like to see in it. This book proposes to speak about 4 main topics:

  1. Your retirement and future taxes
  2. How to hire a coder
  3. Rise of Bitcoin and crypto currency

It generally will speak of why the benefits of algo trading can help secure your unclear future.

As said, let me know by commenting or responding about this. I will simply quash the idea if I just see clicks and social media likes.

Thanks Bryan

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

Book of the benefit algo trading for your financial security

How many of you would be interested in a book about how algo trading can help secure your financial future? As we move into a recession, I am polling to see if there would be a market demand for a book on such a topic. Please let me know as I already got a full draft written up.

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

Learn how to use Interactive Brokers or Dukascopy brokers

I am planning to replace the current online store. I am sending you this email to see if you are interested in some cheap video product. Here are some sample product. These are listed below and are active if interested. 

The new Shopify shopping page will be at https://quantlabsnet.myshopify.com/

Thanks Bryan

P.S. I will replace all product and services to this shopping account later today. 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

China futures marketing trading vs US markets

A query came in about China vs the US markets like CME. How would you respond? 

Hi Bryan, we could know enough information before we judge a market. You are right the CME /US marketing is well regulated for a long time. Now, China futures marketing trading volume is the biggest one in this planet. Also, the regulation is well now. In stock market, maybe some price control still occur, but in future market, I think it’s a fair trading place and there are many opportunities. Later you could know more about this.

For me, I wanna to know more international trading strategies, I had traded in CME of the gold/oil, but it sounds more difficult than China future market. Thanks.

My response:

I cannot really comment on the Chinese market since I don’t know. I am intending to grow an account on Interactive Brokers. Whatever they give me a access to I am willing trade if there is enough liquidity for decent fills. That is all I can say at this point. 

Question:

Hi Bryan, we could know enough information before we judge a market. You are right the CME /US marketing is well regulated for a long time. Now, China futures marketing trading volume is the biggest one in this planet. Also, the regulation is well now. In stock market, maybe some price control still occur, but in future market, I think it’s a fair trading place and there are many opportunities. Later you could know more about this.

My response:

For me, I wanna to know more international trading strategies, I had traded in CME of the gold/oil, but it sounds more difficult than China future market. Thanks.

How would you respond to this ? 

Also, in case you missed this:

FAQ: Algo trading in C++ or Java vs Python

Question I know you recommend testing in Python and recoding in C++/Java. But what if your trading strategy can afford some delay, like a pair trade on the 1 minute chart. I typically trade like this can last 20 minutes to a several hours. Is it ok every to use Python as your main language for execution?

Video response below

Thanks Bryan 

P.S. Don’t forget about custom building bot course for crypto or forex

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

Summary from today’s 2 hour of Emini Micro vs Cryptocurrency

Here is the Summary from today’s 2 hour webinar video on Emini micros vs crypto

  1. XLQ for screen in anything to trigger signals
  2. Crypto moves fast but you could do sub minute analusis with Binance
  3. EMini Micros move slowly but are more stable in percent changes
  4. Different strategy development with Emini Micro using MotiveWave platform
  5. So much more I kind of forget

A note about the Barchart.com API request. You can up 400 requests for free with it.

https://www.barchart.com/ondemand/free-market-data-api

https://www.barchart.com/ondemand/api/getLeaders

The cost to get IQFeed CME Emini service add on is $46/month. Cheap!

As for Interactive Brokersm the CME Floor Trade may get you access to the Emini Micros ? I need to confirm. It is:

CME Floor Based*United StatesUSD 35.00

https://www.interactivebrokers.ca/en/accounts/fees/marketData.php?ib_entity=ca

This would be for those that do not meet the standard mimimum for free data on IB

This is just one sample of many weekly webinar sessions we do.

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!