Tag Archives: 2014

A SWEET walkthru of my new Microsoft SQL Server 2014 database on WIndows Server 2012

A SWEET walkthru of my new Microsoft SQL Server 2014 database on WIndows Server 2012

This one is exciting to see in action for lots of potential

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Microsoft

We choose the right technology, Microsoft now the second biggest company in the world in 2014

We choose the right technology, Microsoft now the second biggest company in the world in 2014

This was never said in many many years. Congrats to Mr Nadella getting them there. The technology will get better once they release Windows 10!

http://www.theglobeandmail.com/report-on-business/international-business/us-business/oil-drop-pushes-microsoft-ahead-of-exxon-as-second-biggest-company/article21573623/

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THE TRADING SHOW NYC -2014 review by Sholom

THE TRADING SHOW NYC -2014 review by Sholom

THE TRADING SHOW NYC -2014

 

This year the trading show was one day instead of two due to Sudden drop-offs in attendance on the second day. Terrapinn used some statistical analysis across all their events and detected this attendance pattern.

 

First up was Bruno Dupire – Bloomberg Quantitative Research.

 

Quantitative Volatility:

 

– Fair Value Skew (Curve) : , You always need to determine a fair value price before you can trade.

 

– Risk Premium = Market Value- Fair Value

 

– Delta Hedging Cost = Frequency of Hedging * Risk Premium

 

– Periodicity -> Path dependent volatility

 

– Mean reversion:

Over Time -> wait for the price to return to a specific price level.

Over Space -> multi-asset arbitrage with rebalancing.

Changing the weights of the asset allocation.

 

– Theoretical skew constructed from price history.

 

Long skewness not related to short skewness.

 

Mistakes:

 

1) Creating a frequency histogram of returns and then trying extrapolate these returns into future.

 

2) Monte Carlo on daily returns (assumes return independence)

gives you something very flat due to central limit theorem.

 

Backtest your delta hedging:

 

1) Discounted average of the intrinsic value from re-centered 3 month ATM option histogram.

 

2) Compute IV which makes delta hedging a Martingale.

 

Fair price is the average square of the price difference weighted by gammas.

 

Risk Premium = IV – HV

 

IV = Market Price

HV = Fair Price

 

Alternative risk premium:

 

HV10 – HV50

 

IV10 – IV50 (IV is much more volatile than HV)

 

For IV50 and HV50, remove all outliers:

 

Types of Outliers:

 

Explicit Exogenous Outliers –> White Swans (Macro Events)

Implicit Exogenous Outliers –> Gray Swans (Macro Events)

Hidden Exogenous Outliers -> Black Swans (Unknown)

Explicit Endogenous Outliers –> (Market Hedging /Operations)

Implicit Endogenous Outliers –> Dragon Kings (Market GARCH/Fat Tail Dynamics)

 

Quant Risk Roundtable:

 

-The Fed has become a bank that is highly political.

It is scared, highly reactive, and will never raise rates until

It is forced to.

 

– What forces the Fed to Act?

1) Inflation/Unemployment balancing mandate

(Inflation Target = 2%, Unemployment Target = 5%)

2) The Bond Market

3) Public pressure

 

—————

Bond ETF future crisis?

What happens when the bond market crashes?

Bond ETFs that were very liquid will have a very illiquid underlying. Will Bond ETFs get a government bail out?

That may NOT be too big to fail.

 

Thanks to him for doing this review

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Is the SPX the magic indicator to look for when the stock market is tanking in 2014?

Is the SPX the magic indicator to look for when the stock market is tanking in 2014?

This is from my NYC contact:

 

This is where the SPX normally turns around and stops falling and the VIX implodes, let’s see if the market follows its normal pattern.

 

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You’re Invited to MongoDB World 2014 but is Sql Server 2014 better?

You’re Invited to MongoDB World 2014 but is Sql Server 2014 better?


See what’s coming next. Join over 1,000 developers to get the latest insights on developing with MongoDB. MongoDB World will include over 80 sessions on MongoDB topics such as:

  • Schema Design Tips & Tricks
  • Performance Tuning
  • Security in MongoDB
  • Advanced Aggregation
  • Troubleshooting

Don’t miss out. Register now for MongoDB World 2014, and take advantage of a 20% Early Bird discount.

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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!

My Q and A on What will be the most profitable quant trading ideas for 2014

Hi there
These were some of the stories I have not emailed anyone this week on yet:

My Q&A on What will be the most profitable quant trading ideas for 2014 – See more at: https://quantlabs.net/blog/2014/01/my-qa-on-what-will-be-the-most-profitable-quant-trading-ideas-for-2014/#sthash.xI6GzwV6.dpuf

Open Source API for trading algorithms? best way the get in to it ? book? Examples? tutorial? – See more at: https://quantlabs.net/blog/2011/09/open-source-api-for-trading-algorithms-best-way-the-get-in-to-it-algorithms-trading-book-examples-tutorial/#sthash.HNR94bI0.dpuf

Here was a nice reference from a QuantLabs.net Premium Member:

“… a main reason why I am a member of your Quantlabs! If you give me the dot net or C++ source code functions to call for writing the indicators and strategies I will be happy, whether you write them yourself or draw help to write and test them using MC dot net. Keep up the good work, you are saving me years of hassles with the retail platform software with your researching and reviews…”
– See more at: https://quantlabs.net/blog/2014/01/quant-trader-agree-with-seeing-the-limits-of-tradestation-and-multicharts-but-freedom-with-dotnet-and-cplusplus-source-code/#sthash.RVhpBcze.dpuf

Yes I have not removed the access yet but a new pricier Members and Trading Platform course is coming!

Access here

More info

Thanks Bryan

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So What Are The Best Penny Stocks To Buy & Short Sell in 2014?

So What Are The Best Penny Stocks To Buy & Short Sell in 2014?

This was hinted from my NYS souce again so thanks to him

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My Q and A on What will be the most profitable quant trading ideas and INSIDER SECRETS revealed for 2014

HI there

This is what I will call an epic email for you.

1. This is an interesting question from a subscriber who wanted to know how I plan to attack the available trading strategies and instruments I now have at my disposal after reading the last two books.

My Q&A on What will be the most profitable quant trading ideas for 2014
– See more at: https://quantlabs.net/blog/2014/01/my-qa-on-what-will-be-the-most-profitable-quant-trading-ideas-for-2014/#sthash.KxLvERyJ.dpuf

2. I am now offering this as an extra bonus to those who are smart in wanting to know the TRUE insider secrets on what makes prop shop, hedge fund, quant, algo, HFT and automated traders:

What are the TRUE insider SECRETS to LUCRATIVE profit with high speed trading, potential HFT, and even quant – See more at: https://quantlabs.net/blog/2014/01/what-are-the-true-insider-secrets-to-lucrative-profit-with-high-speed-trading-potential-hft-and-even-quant/#sthash.jYdhdWEK.dpuf

There are 2 videos out there I just posted on this exact topic!

3. Lastly,

Learn how quant Euan SInclaire what being financial trader tech geek don’t get –
See more at: https://quantlabs.net/blog/2014/01/learn-how-quant-euan-sinclaire-what-being-financial-trader-tech-geek-dont-get/#sthash.HY2zZFAt.dpuf

Want more ? Stay tuned as I am just getting started for 2014.

Thanks for reading

Bryan

P.S. As people kept asking me, I have extended the the QuantLabs.net Premium Member access point still opt in.

GIVE ME ACCESS IMMEDIATELY

Further info here.
 

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My Q&A on What will be the most profitable quant trading ideas for 2014

My  Q&A on What will be the most profitable trading ideas for 2014

I follow up these questions up with my –>

This came in from a newsletter member:

I am struggling with something and maybe you know the answer.

 

I am a developing discretionary trader and I know enough to know the markets are nowhere near Gaussian.

As a result, correlations, volatility, risk management, etc based on this normality assumption is nonsense.

In fact it is not me saying it but even academics who tackle real problems.

 

When learning for quant skills I find either knowledge (books) based on the normality assumption which I can follow (the material book I mean), or

sophisticated stuff by quants like Sinclair, Nasim Taleb and a … see “Advanced Trading Rules”, for example, which I cannot follow because I need my foundation.

By foundation I mean stuff like GARCH, ARIMA and the like.

 

–> I have studied some of this but I intend to do a wide set of experiments with various components I have built and showcased in my workshop in late 2013

 

But, when trying to learn about those I end up in the books with normality assumption… !!

BTW, in regards to “Advanced Trading Rules” in particular I can point to you some cool stuff they are doing (by I can barely follow).

 

–> YOU cannot follow due to it is complex?

 

Tests like Dickie Fuller and things like that seem too basic and with unrealistic assumptions…

 

–> Simple seems to works best as you can understand it easier

 

Also, any of those model built from historical distributions that are simply fit to data cannot work.

 

–> In your mind these don’t work because?

 

Curve fitting is fool’s gold in trading….

 

–? WIll do a book review on this very very soon

 

Are you mastering this?

Any thoughts?

 

–>I plan to focus on those experimental models which shows potential profit but each one crossed with certain types of assets works. This is my goal for the first number of months this year

 

In terms of making progress towards strategies this is what I need to crack.

Are you interested to discuss this directly?

 

–> Are you able tocome out to a local Meetup

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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!

DOTNET C# sample code on how to call SQL Server 2014 OLTP in-memory database or table for potential HFT

DOTNET C# sample code on how to call SQL Server 2014 OLTP in-memory database or table

As I dig further into this SQL Server 2014 OLTP (in memory database) functionality, I am starting to realize it removes the need of StreamInsight as well simplifies the queries to call large data tables with market data. This could get interesting as my brain is coming up with some interesting ideas.

The basic idea is to create your database and table with In Memory feature associated, create a new native store procedure which you call within your C#. I don’t think there would much performance difference if you called from Visual C++ but C# would be much easier.

Basically, SQL Server will translate the stored procedure into C files which then creates a DLL. I found some examples on how to access this through Interop resources which can be done through ADO.NET, ODBC, or OLE DB. You choose but which one is more efficient so let me know your thoughts there by commenting.

If this is the case on what I assume, it is quite possible it will remove the need of complex event processing (CEP) or at least simplify it.

Here are some articles on this.

C# Code samples:

http://msdn.microsoft.com/en-us/library/dn247642%28v=sql.120%29.aspx

http://www.qumio.com/Blog/Lists/Posts/Post.aspx?ID=20

Interop services:

http://msdn.microsoft.com/en-us/library/dn247642%28v=sql.120%29.aspx

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