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Quant analytics: How to model this pattern to improve intra-day executions?

Quant analytics: How to model this pattern to improve intra-day executions? I am trying to improve the intra-day executions. For example, I wanna sell a stock but its mid price keeps monotone decreasing/increasing/unchanging at most of time (the small graph). occasionally, it has abrupt price fluctuation (the big graph). imbalance=ask depth – bid depth of …

Quant analytics: How to model this pattern to improve intra-day executions? Read More »

How LMAX uses standard Java Hotspot compiler and vanilla Java code using Disruptor pattern making their HFT lightening fast!

How LMAX uses standard Java Hotspot compiler and vanilla Java code using Disruptor pattern making their HFT lightening fast! This was part of a Linked In discussion: No, we use the standard hotspot compiler. We just looked hard at how it worked and then wrote standard Java that we knew would compile down to high …

How LMAX uses standard Java Hotspot compiler and vanilla Java code using Disruptor pattern making their HFT lightening fast! Read More »

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