Tag Archives: highlights

Highlights of the “Quantitative and Algorithmic Trading Program”

Highlights of the “Quantitative and Algorithmic Trading Program”

We are starting with a specialized batch at convenient time for participants in USA / Canada / Latin America.

» Manage High Frequency Trading Data
» Learn Advanced Time Series Analysis
» Backtesting Low Latency Quant Strategies
» Option Pricing and Market Making
» Build Automated Trading Systems
» Integrate statistical software with trading systems
http://www.quantmaster.in/QuantitativeAndAlgorithmicTradingForUSA.aspx?goback=.gsm_3427378_1_*2_*2_*2_lna_PENDING_*2

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Google Guru Highlights “Data Imperative” also for quant analytics

Google Guru Highlights “Data Imperative” also for quant analytics datanami.com

Last week at the Strata conference, Google’s analytics guru discussed what hecalls the big data imperative and pointing to the ways that the it is not being met in constructive ways. In addition to providing a fewtidbits of…–I don’t know.
Lets define ‘big data’ as the digitization of the world around us. (That’s probably the best, all encompassing description)
At some point, there has to be a diminishing return on the value of some of the data.
As an example… who among us really cares about capturing the fact that certain people are left handed. Does capturing this data reallyjustify the expense in compute time, or storage costs, not to say the invasion of one’s privacy?
To most of us, the answer is no. To some who trace genetic mutations, or those who want to try and correlate being a lefty to theirbehavior (success/failure), maybe.
But there is no imperative.
At some point, the cost of retrival, storage, and computational effort to mine this data out weigh’s its [data’s] value.
Having said that, I wonder if there is a correlation between left handed moms and their choice of breakfast cereals that they purchase,maybe that will lead to better targeted ad campaigns…. 😉
–Take a look at SQLstream as a solution for combining diverse streaming data and performing the ETL on the fly using Standard SQLlanguage queries. Real time analytics, alerts and BI are then delivered to any device in any format desired. You don’t have to persist anyof the data to storage but if you must, there is little to no latency since the data arrives fully cooked.
In addition you can stream the historical data from storage and combine it with the real time streams to get predictive analytics andcomparatives.
The SQLstream stand-alone software application integrates seamlessly with current systems in place for low cost deployment and costsavings with regard to raw data storage.
–I think that in some cases its easy to spot data that you know will be uninteresting up-front (like capturing who are left-handed).However, there are several instances where you have large streams of data that could potentially have value, but you won’t know untilyou can analyze it (like Twitter streams or location-based data). The question is if the potential value of what you might discover worthmore than the effort to compute, retrieve and store the information?

 

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Details and highlights of Matlab secrets presentation

Details and highlights of Matlab secrets presentation
These will be presented with demos and highlighted talks:
1.MATLAB Coder Toolbox demo of HelloWorld.m script to C++
2.Import MATLAB HelloWorld Converted project into Visual Studio C++ Express and use it in a C# client application. Quick high light of use in Visual C++.
3.Discussion of a popular Open Source Trading platform in C#
4.List components of a C++ primitive trading platform.
5.MATLAB import of Yahoo Finance data
6.Export MATLAB data into MYSQL database.
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Highlights of how Infinium algo quant high frequency trading HFT ‘manipulated’ oil which went out of control within 5 seconds

Highlights of how Infinium algo quant high frequency trading HFT ‘manipulated’ oil which went out of control within 5 seconds

Here are some details from this article when oli plunged 4 per cent one day:

Five seconds after the firm turned it on, they had to turn it off. The algo “choked,” after it had already flooded the oil market with orders that made up 4 percent of average daily trading volume in the contract, and caused a brief 1.3 percent jump in oil prices, from $76.60 to $77.60.

The firm turned on the algo on February 3rd 2010 just before close. The following day, perhaps because the orders were unexplained, there was a 5 percent plunge in oil prices. And the day after that, crude fell further, to $71 a barrel, and volume touched a then-record high.

This case is fascinating because the faulty algo’s strategy is explained in detail. Firms are very secretive about what strategies their algos are designed to execute. So we’re lucky to witness an open investigation like this in which an algo is dissected.
From Reuters:

[Infinium Capital Management used a brand new algo] to execute a “lead/lag” strategy between an exchange-traded fund called United States Oil Fund (USO.P), which tracks oil prices, and the U.S. crude benchmark future, West Texas Intermediate.

The algorithm was turned on at 2:26:28 p.m. (Eastern) on Feb. 3, less than four minutes before NYMEX closed floor trading and settled oil prices. It immediately started uncontrollably buying oil futures, according to the documents, which include letters from Infinium’s lawyer to the regulation unit of CME Group, and cite notes from a company developer.

Infinium placed 2,000 to 3,000 orders per second before its flooded order router “choked” and was “dead in the water” a few seconds later, the developer’s notes said. The algorithm was shut down five seconds after it was turned on.

By then, the documents show, the firm had sent 4,612 “buy limit” orders into the market. It quickly offset the position, mostly with large “block” trades in the next few minutes, leaving it with a $1.03-million loss. Infinium’s burst of buying and selling represented about 4 percent of average daily trading volume in the contract, and caused a brief 1.3 percent jump in oil prices, from $76.60 to $77.60, before settling at $76.98, Reuters data show.

Trading volume spiked nearly eight-fold in less than a minute — and the reverberations turned some heads.

The next day, Feb. 4, commodities traders struggled to explain a 5 percent plunge in oil prices, the biggest one-day drop in half a year. On Feb. 5, crude fell further, to $71 a barrel, and volume touched a then-record high.

Infinium’s mistake might be compared to just a fat finger, but they’re currently being investigated for market manipulation (although they probably won’t be found guilty of it). The person or people who designed the algo are no longer at Infinium.

Read more: http://www.financialpost.com/news/business-insider/Details+algo+gone+wild+that+caused+trading+mayhem/3442414/story.html?goback=.gde_2107793_member_29378681#ixzz159y59tSz

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My highlights on why quant HFT computer trading caused the last major stock market crash

My highlights on why HFT computer trading caused the last major stock market crash
These are quotes from:
http://www.marketwatch.com/story/high-speed-trading-led-to-flash-crash-survey-2010-08-10?reflink=MW_news_stmp&goback=.gde_2107793_member_26888252ember_26888252

Here we go:
More than 80% of advisers said use of computer systems and high-frequency trading contributed to the May 6 volatility, according to a poll of 380 U.S. retail advisers published Monday.
But more than 80% of advisers said their accounts were minimally impacted and did not see ETF or stock-trade reversals, according to iShares’ survey. In fact, 54% said ETFs were still the top investment product to use in volatile market, followed by bonds and mutual funds

The Securities and Exchange Commission on June 10 approved new circuit-breaker rules to prevent another crash, which halts trading of certain stocks if prices move 10% or more within a 5-minute period

Still, 75% of financial advisers said an event similar to what happened on May 6 is inevitable, and 36% said they expect market volatility to increase

Comments included:
Thing is, … these HFT were supposed to replace floor traders as market makers. In fact HFT gets paid to provide liquidity in the form of rebate from the exchange, which is in addition to profiteering from bid-ask spread. It is no wonder that some of these guys haven’t lost money in several years. So, if HFT is to truly become the market makers, SEC needs to put in a rule that says they can’t shut down their machine and go home if the market condition turns against them.
Time to stop this fractional price trading these computer programs use to cheat investors. That would stop some of their non-sense volume trading as they just can’t trade massive volumes spread over a fraction of a penny.

I have often thought that the real “Skynet” (the computer system that brings down the world) would be a Banking/Finance system gone rogue rather than a Military defense system. looks like we may be well on our way to “May 6, 2010 was the day that CashNet became aware”

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