Tag Archives: answer.

My question and answer part 2 on Strategies for those without servers at the exchanges

My question and answer part 2 on Strategies for those without servers at the exchanges

More answers for my Youtube viewer on this:

Hi,

When you say mid to low frequency, what time period would you define those as? Tradebot Systems was quoted in 2008 stating that their average hold time was 11 seconds which I would consider high frequency. Are you talking minutes, hours, or days?
–> I am talking subsecond like in tick data
What do you mean when you say stay away from platforms as they are limited to one data connection? If someone is trading an automated system using a datafeed like IQFeed or Nanex wouldn’t they be inputting the data into their trading platform via the databroker API, processing it and then sending the order to the broker via the broker API? What is the disadvantage of having only one data connection?
–> I will focus on multiple execution order routing services like LMAX, IB, etc. If you have a multi amount of execution choices within your platform, you can develop a way to get access to the broker’s order book to build more intelligence execution for your orders. Popular platforms like Metatrader or Tradestation cannot do this. Commercial black boxes fail as well. As for data, focus on better providers like Bloomberg or Reuters but they are pricey. I only use IQFeeds for now as they are affordable.
What specific strategies is your site focusing on (statistical arbitrage, pairs trading, technical analysis, fundamental analysis, event trading)? Ernie Chan’s Quantitative Finance book advocated running Matlab before the market opens and screening for setups using statistical arbitrage. He may have been using pairs trading (like GLD vs GDX) or basket trading and was using significant leverage via a proprietary trading firm.
Jane Cralle who wrote An Introduction to Algorithmic Trading recommended streaming tick data into excel on your home computer and trading based off of that. Her optimal algo target is 8 out of 10 winners with 2 stopped out at 40 basis points and her profit target was 25-50 basis points net of commission per trade.

 

–> See my survey to see what is popular. I will be focusing on those with propietary custom ones extended of the ones I focus. As those prove to be more profitable, I will be raising the membership rates exponentially because of this.

http://quantlabs.net/surveys/2012/06/29/what-financial-forecasting-model-type-do-you-focus-on-within-r-or-other-statistical-tool/

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Your Answer Will Make A Difference: 2 Important Surveys Posted for Scheduling of Future Webinars

Hi there,

I’ve just posted 2 surveys on the site. I’d really like your input, as your answers will help me serve you better.

Each is just 1 question long — you’ll be done in literally 1 minute.

The first one is about picking the time that works best for you to attend Quantlabs.net webinars (the listed times are in Eastern Standard Time — the same as in New York City, USA). This is for both the free webinars and those for Premium members too!

http://quantlabs.net/surveys/2012/06/19/what-time-works-best-for-quantlabs-net-webinars-for-members-and-public-visitors/

The other is more technical. As I’m now doing a lot of coding work using the R language, I’d like your input on which RDMS or NOSQL database you’d prefer to use with it. This survey helps me develop a future integrated trading platform with R analytics.

http://quantlabs.net/surveys/2012/06/19/what-rdms-or-nosql-database-should-a-r-user-focus-on/

And about the latest developments on the site …

I’m creating recorded code walkthrough videos right now which include all R code necessary to make each strategy work. Monte Carlo simulations … Stochastic Volatility … Markov Chain … Autoregressive (AR(1)) and GARCH forecasting … Bootstrapping … Dynamic Linear Modeling … and more!

All of these videos will be available to Premium members only. They’re full tutorials plus all the required source code. Perfect for HFT and other real-life trading strategies you have in mind!

Get them all as they’re posted:

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

Learn about the rest of Premium benefits including our HFT and Algo Development courses, software tool kits, and more!

–> http://quantlabs.net/quant-member-benefits/ <–

Good trading,

Bryan

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Blog with Case Studies for Quant Analytics: Big Data is the Answer – What was the Question?

Blog with Case Studies for Quant Analytics: Big Data is the Answer – What was the Question?

The Big Data Analytics promise: enable “data monetization” through more timely, more accurate, more complete, more granular, more frequent decisions. So, what exactly are the types of business problems big data analytics likely to solve? For this you need a mini-MBA in Big Data Use Cases.

Use cases described in this posting are meant to stimulate ideas of how to apply iterative big data analytics in your own organization and enable your own analytics center of innovation.

Read more http://bit.ly/uy5ptS

 

saama.com

Big Data Analytics promise:  enable “data monetization” through more timely, more accurate, more complete, more granular, more frequent…

 

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Great article. The chart showing data velocity and structured-ness is brilliant.

 

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Indeed a very good article with great illustration of use cases.

 

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good summation … although maybe you should include the new products / services made possible by big data analytics (think Facebook, Google advertising revenue streams) in addition to the ability to perform better within your existing business model

 

 

 

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!

Blog with Case Studies: Big Data is the Answer for Quant Analytics – What was the Question?

Blog with Case Studies: Big Data is the Answer for Quant Analytics – What was the Question?

The Big Data Analytics promise: enable “data monetization” through more timely, more accurate, more complete, more granular, more frequent decisions. So, what exactly are the types of business problems big data analytics likely to solve? For this you need a mini-MBA in Big Data Use Cases.

Use cases described in this posting are meant to stimulate ideas of how to apply iterative big data analytics in your own organization and enable your own analytics center of innovation.

Read more http://bit.ly/uy5ptS

 

Big Data Analytics promise:  enable “data monetization” through more timely, more accurate, more complete, more granular, more frequent…

 

Great article. The chart showing data velocity and structured-ness is brilliant.

 

Indeed a very good article with great illustration of use cases.

 

 

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!

2 Questions and Answers from Youtube demo video on Matlab Coder M scipt conversion to Visual C++ and Qt

2 Questions and Answers from Youtube demo video on Matlab Coder M scipt conversion to Visual C++ and Qt

A question came up on a Youtube video.

http://www.youtube.com/watch?v=7FhtqcpAE5o&feature=email&email=comment_received

this is very interesting, I am trying to get Matlab m files converted to C/C++ in order to call them from QT creator. Can you tell about excution speed (not compilation). Is it the same as in Matab? or faster may be as the code gets converted into c++?

my second question is about the converted cpp functions (from m files). Can you access the functions and modify them from Visual C++? Or do you have to go back into Matlab to do it?
thanks in advance man.
Mohamed

I cannot really comment on QT but played with it. I was not a fan but in terms of speed, I would THINK it would be a little slower as there is one more layer to deal with. Your compiled C++ should be much faster as compared to running in Matlab. It depends on how much code you minimize when generated from the Matlab Coder Toolbox Settings.

As for the second question, if the generated C++ code is small to maintain go for it otherwise you will need to modify  the M script file and have Matlab Coder regenerate your C++. The nice thing is you have complete 100% control on your source code at both ends.

Hope that helps and thanks for asking


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Help Please with Math Question! I was asked this question in an interview and struggled to find an immediate answer

Help Please with Math Question! I was asked this question (see description) in an interview and struggled to find an immediate answer, so I was hoping someone in this group could help me.

You want to tell your manager which site is more worth continuing to place your online advertisements. You advertised on two sites, Google vs. Facebook. You know the following. Google resulted in 700 clicks and you earned $1500, whereas Facebook resulted in 500 clicks and earned $1200.

I was hesitant to compare $/user ratios because the sample size is different for each site. I figured you’d have to weight each sample size properly in order to have a fair comparison. For example, let’s say I ended up with 700 clicks for Facebook and resulted in $1700. Then, it would be easy to conclude that Facebook is more worth investing in online ads.

What techniques/methods would you utilize to conclude which site is more cost efficient at producing the higher number of sales?

Any help is appreciated. Thank you!

—–

Interesting question — the interviewer gave you one piece of information you didn’t need, and omitted one piece of information you did.

I believe the number of clicks is irrelevant… a “win a free iPod!!!!” banner ad might generate a lot of clicks, but when they arrive at the website of, say, an architectural design firm, probably not a lot of them are going to opt for a new addition to be built on their house.

So you should focus on the profit of Google = $1,500 vs. Facebook = $1,200.

The omitted piece of information is how much the advertisement cost — because money spent in one place is not money spent in another. Let’s say the Google ad cost $10,000 and the Facebook ad cost $4,000.

Then Google’s return is: (10,000 + 1,500) / 10,000 = 1.15. In other words, for every $1 invested in the Google ad, you will receive $1.15 in return.

Likewise, Facebook’s return is (4,000 + 1,200) / 4,000 = 1.30 (earning $1.30 for every dollar invested).

Of course if you have other goals in terms of needing a particular volume of sales, improving brand recognition, or gaining a presence in a particular new market you might use other metrics to gauge your success.

Hope this helps and good luck with the job search!

 

 

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What is a derivative? Can anyone answer this question clearly?

What is a derivative? Can anyone answer this question clearly?
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People use two different definitions of derivatives, and they don’t mean exactly the same thing. This is why there is so much confusion on the subject.

The most general definition is that a derivative is a financial instrument that “derives” its value from the value of some underlying asset or market price. Using this definition, everything from a mortgage-backed security to a wheat futures contract is a derivative.

Instruments such as futures contracts, interest rate swaps, and credit default swaps can be described with a more precise definition: a risk-shifting contract. A wheat futures contract shifts the risk of a rise in wheat prices from one party to another. Similarly, an interest rate swap shifts the risk of rising short-term interest rates, a credit default swap shifts the credit risk of a bond or loan.

A lot of people use the term “derivative securities” to describe instruments such as interest rate swaps and credit default swaps. Used in this context, the term is an oxymoron. A security is a funding instrument: one party pays another a sum of money to receive eithe a share of ownership in a company or an acknowledgement of indebtedness or some other evidence of a claim against an asset.

So a mortgage-backed security is a “security” because it is a funding instrument: one party pays another for ownership of an asset. Futures contracts and OTC derivatives, even credit default swaps, are not securities. They are pure risk-shifting contracts.

That’s probably more than you wanted to know. I hope it helps.
—–
A simple answer: A derivative is a financial instrument, the value of which is based on the performance of another financial instrument.

www.iacapitalstructures.com
2 days ago
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a derivative is the right, but not the obligation, to buy or sell the underlying at a specified price and time….
—-
I believe that is the definition of an option, which is one type of derivative

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Interested in commodoties, equity, fixed income, for ex, futures, options? Answer our question!!

Interested in commodoties, equity, fixed income, for ex, futures, options? Answer our question!!
Poll is on the right of this!

This will help guide us in FREE future products and services for you!

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!

Citi Bank Java interview questions with answers. Pays primo with no onsite interview!

SO I have a local recruiter submit my resume to Citibank in Canada. The same day they want to talk to me while I am doing this deadly Bloomberg c++ online test. So, I was able to buy time for Monday. That gives me one day to prepare for this Java based interview. It also includes Swing and Hibernate with JMS. Can it be done? I am not sure but here are some typical Java based questions . Sources are included.
There are some questions with answers at the link below.
http://www.allinterview.com/companyqa/Mind-Tree/interview-questions/Core-Java/page1.html
how a marker interface gets its functionality and when we implements a marker interface how it got invoked
How many objects are created when we create String class object using new operator?
What are the two major components of JDBC?
what is webservices
More tips from http://www.wallstreetoasis.com/forums/help-citi-interview-coming-up-but-i-dont-know-a-thing
damodaran.com
http://www.glassdoor.com/Interview/Citigroup-Interview-Questions-E8843_P5.htm
Interviewed Jul 2009 in New York, NY (took a day)
I went to the interview and met with one java developer. He immedicately started asking java questions, the questions were average questions that any good java developer should haven’t a problem with. such as difference between linked list and array list
write code to reverse a string
write code to override the equals method
what does the final keyword does, etc.
The developer did not know anything about calypso therefore couldn’t interview me on the subject. I have not heard back from citi since.
Interview Questions
reverse a string
Answer QuestionQQ
override the equals method
Answer Question
There is not a whole lot out there for Citibank. Man, I need help here.
It sounds like they pay premium over their local competitors including Bank of Nova Scotia and Bank of Montreal. Also, their screening process is much easier than Morgan Stanley, Bloomberg, and Goldman Sachs. They may do one or two phone screeners without any on site interviews. Pretty cool huh? I hope I get this one.

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!