Tag Archives: market event

Various market event arbitrage example source code in Matlab including HFT Bitcoin quant uses

Various market event arbitrage example source code in Matlab including HFT Bitcoin quant uses

There are lots of examples but here are some highlights of the potential:

http://www.mathworks.com/help/econ/identify-cointegration.html <– usual pair trading stuff

http://www.capitalexchangeblog.com/arbitrage-between-an-etf-and-its-component-stocks/ <– some source code examples with high frequency data

http://www.stanford.edu/class/msande444/2009/2009Projects/2009-2/MSE444.pdf <– talk about matching engine and order book dynamics no different than Barry Johnson DMA book http://www.amazon.ca/Algorithmic-Trading-DMA-Introduction-Strategies/dp/0956399207 but not source code

http://www.ljmu.ac.uk/Images_Everyone/Jozef_1st(1).pdf <– could be some effective trading ideas with HFT in mind but never seen before

file:///C:/Users/i7-acer/Downloads/Caldeira_Moura_2013_Selecao-de-uma-carteira-de-par_10051%20(3).pdf <– no source code

http://epchan.blogspot.ca/2006/10/arbitrage-trade-between-energy-stocks.html <– no source examples

https://cs.uwaterloo.ca/~paforsyt/agon.pdf <– decent source code examples

http://www.reddit.com/r/BitcoinMarkets/comments/1rlb93/i_run_a_bitcoin_trading_bot_on_5_exchanges_ama/ <– people talk Bitcoin trading but no code

http://faculty.washington.edu/ezivot/econ584/notes/cointegration.pdf <–focuses on cointegration as we know but there are some examples

http://numericalmethod.com/papers/course1/lecture1.pdf<–talks about programming language disavantages but no code

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