Tag Archives: high frequency

HFT – High frequency risk drivers

 I would recommend ARPM for anything risk

 
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MathFinance Conference 2017

20-21April 2017, Frankfurt

MathFinance Conference is one of the top quant events of the year. The conference is designed for practitioners in the areas of trading, quantitative and derivatives research, risk and asset management, insurance, as well as academics.

[ Brochure ] [ Agenda ] [ Registration ]

2. ARPM Pointers
2.1 “Did you know?”

  • AR, MA, ARMA, ARIMA processes and their multivariate counterparts can be reduced to, or approximated as, a VAR(1) process [Comment]
  • Hidden Markov models are the hidden-factor generalization of Markov chains and mixture models  [Comment]
  • Unlike stock prices, bond prices cannot be used as risk drivers, because their convergence to the face value disrupts any econometric analysis [Comment]
  • Minimum Relative Entropy generalizes Maximum Likelihood estimation [Comment]
2.2 Featured white papers

The Advanced Risk and Portfolio Management Research Paper Series on SSRN collects rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us.
Featured white papers:
2.3 Quant discussions

View our technical discussions on the Advanced Risk and Portfolio Management Group on LinkedIn. Join to contribute papers, code, or thoughts. We have a no-advertisement policy.
Featured quant discussions:

Advanced Risk and Portfolio Management Bootcamp
6-day intensive course – 14-19 Aug 2017 – New York University 
Registrations for the ARPM Bootcamp are open: 6 days, 9 hours/day (+1 day pre-conference).
Topics include portfolio construction, factor modeling, liquidity and execution, estimation/data mining, risk modeling, optimization, and much more.
The program is delivered as theory, live simulations, review sessions and exercises. Plus…

  • Gala dinner and other networking opportunities
  • Renowned guest speakers. Past speakers included Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Alex Lipton, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, and more
  • Access to the ARPM Lab, with with cross-referenced theory, examples, case studies, solved exercises, interactive code, videos, slides.
  • Certifications: 40 GARP CPD, 40 CFA Institute CE credits, academic credit, ARPM Certificate®
  • (optional, free) pre-Bootcamp ARPM Open Source Conference with focus on technology.

[ Program ] [ Testimonials ] [ Register ]
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Top 3 programming items for edge in high frequency trading

Top 3 computer science items for edge in high frequency trading

Somebody ask me the top three items that would give them edge if they were ever to do high-frequency trading. My answers were fairly straightforward but I do think innovation is a key as well. Why trade dumb money or “sheeple”?

 

See what my answers were here

 

Quant developer need to know multi threading

Actually I lied or no I didn’t. Inside you need to understand multithreading in multicore programming at the C++ lower level in your fancy no frills Linux target system. Why do you think HFT shops pay literally hundreds of thousands of dollars to their developers? Why do you think algorithms need to operate faster than the blink of an eye?

 

Go here to understand the rationale behind this.

 

Hopefully my last two emails will open your eyes on how to do automated trading. I have only been talking about technology as usual but the trading ideas is where it’s at. As I’ve mentioned about innovation, imagine the trading ideas I will unleashed forr this new upcoming AK-47 version 2 trading system?

 

As usual, only my Quant Elite members will be able to partake in it.

 

Go here for immediate access is interested

 

As usual thanks for reading

Your online pal,

Bryan

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!

HFT architecture considerations with Fastflow in C++

HFT architecture considerations with Fastflow in C++


I just made a video on the considerations for a new open source architecture of a high-speed system for Interactive Brokers. The highlights to take away from this video include:

Possibly similar performances of an FPGA or GPU board thanks to this software accelerator feature

How Goldman Sachs uses an internal risk management database called secDB.

Check out this detailed video here

Hardware considerations for server with C++ Fastflow architecture

A few months ago I posted a potential server that could be great to use this new architecture on a bare-bones Linux system. I have listed what I think are the important features for any server that you would need for a high-speed trading system. 

Check out that list here.

Meetup: Message queue demos with NOSQL Redis C++ Java and Interactive Brokers

As a reminder, I will be doing demos on my chosen NOSQL in-memory fast database with Interactive Brokers TWS. This video will not be having any public access after the live session on Monday night.

Go here to get the details
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How to get started in quant finance, hft high frequency trading, automated algorithmic trading

How to get started in quant finance, hft high frequency trading, automated algorithmic trading

This is my most popular video on my Youtube channel

Join my FREE newsletter to learn more about my 800+ videos

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My HFT aka High Frequency Trading Story by LOKESH MADAN

My HFT aka High Frequency Trading Story by LOKESH MADAN

From someone on Facebook

http://algotradingindia.blogspot.in/2014/12/my-hft-trading-story-lokesh-madan.html

Join my FREE newsletter to learn more about more

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Why is Bank of Canada releasing High – Frequency Trading aka HFT Competition research paper?

Why is Bank of Canada releasing High – Frequency Trading aka HFT Competition research paper?

I find this strange coming from one of the most conservative federal banks out there

This came from a member via Twitter so thanks to him.

http://www.bankofcanada.ca/wp-content/uploads/2014/05/wp2014-19.pdf?utm_content=buffere190a&utm_medium=social&utm_source=twitter.com&utm_campaign=buffer

Join my FREEN newsletter to see what other HFT papers we identfy?

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Why Erlang is used high frequency trading environment? Best message queuing server! Goldman Sachs uses it

Why Erlang is used high frequency trading environment?  Best message queuing server! Goldman Sachs uses it

Check out this Erlang binding to one of the best open source mesage queeing http://zeromq.org/bindings:erlang
Check out: http://en.wikipedia.org/wiki/Erlang_%28programming_language%29

Trading

  • Goldman Sachs, high-frequency trading program

Join my FREE newsletter to learn more about this language

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!

Is DotNET FSharp could be the ultimate environment for all your quant and high frequency trading HFT needs

Here are the latest development for my custom high speed automated trading platform. F# is ready to deliver that

Why DotNET FSharp could be the ultimate environment for all your quant and high frequency trading HFT needs

Provocative statement maybe but watch this video to allow yourself to be overwhelmed with the FREE offers abd benefits this technology brings!

Here is how I envision the future of any indie future trading with all the URLS in the link with my EXCUSIVE video:

https://quantlabs.net/blog/2014/11/why-dotnet-fsharp-could-be-the-ultimate-environment-for-all-your-quant-and-high-frequency-trading-hft-needs/

Some private topics with custom videos for my members:

Reminder: XXX looks to be the best charting software for my needs:

Demo of XXX to capture IQFeed real time date like options or forex data

–> JOIN NOW FOR THESE SECRET GOLD NUGGETS <–

You know what? These are secrets compiled together in one space where you will not get anywhere else. This is the only software engineering tips you will ever get from the highly secretive hedge fund and prop shop industries that are trading in the billions unregulated.

Need proof of some awesome discoveries you probably never knew. Check this out:

Video shows how this hedge fund uses FSharp but also developed a bridge to R and Python Pandas equivelant package

In other words, any Python or R should be able to make that flip over really quickly!

https://quantlabs.net/blog/2014/11/video-shows-how-this-hedge-fund-uses-fsharp-but-also-developed-a-bridge-to-r-and-python-pandas-equivelant-package/

Again:

–> JOIN NOW FOR THESE SECRET GOLD NUGGETS <–

Just remember I will never have this at the lowest cost which is at 50%. It will never be this low again EVER! Prices go back up on Monday Dec 1.

Here are some other EXCLUSIVE benefits:

http://quantlabs.net/academy/introduction-quant-elite-membership/

Thanks for reading

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 DotNET FSharp could be the ultimate environment for all your quant and high frequency trading HFT needs

Why DotNET FSharp could be the ultimate environment for all your quant and high frequency trading HFT needs

Here are all the links so you can cream your pants in excitement like I did:

Holy crap Batman. Is it bye bye Python as these 2 videos will welcome you to the world best envioronment for quant trading with FSharp R Matab Excel DotNET?

How you can apply DotNet Fsharp for machine learning with forecasting trading models

DotNet FSharp madness videos but these advances for the enterprise programming language used in FInance banks Is Python like this?

Just like Quandl, here is a FSharp data provider to Freebase to go nuts with your data exploration for econometrics research

Hold onto your hats: I introduce with best market tick capture with a FREE open source FSharp data provider

http://www.xenomorph.com/solutions/data-management/tick-capture/

http://www.xenomorph.com/partners/

http://www.quantmod.com/gallery/

Video shows how this hedge fund uses FSharp but also developed a bridge to R and Python Pandas equivelant package

FREE intro tutorials to get you started learning DotNet FSharp from high quality Microsoft Channel 9

For anyone who needs an open source DOTNET Math libary, here it is Math.net as suggested by many

http://www.mathdotnet.com/

http://fsharp.github.io/FSharp.Data/library/Freebase.html

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My video:

 

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