Tag Archives: Quant opinion

Quant Opinion: Can a Junk Bond Trader Build a Company?

Quant Opinion: Can a Junk Bond Trader Build a Company?

LightSquared, the company Phil Falcone has created to monetize a large block of spectrum he acquired through investments in satellite companies, is currently looking troubled. But there is value in the spectrum, and Falcone may still generate impressive returns with this latest big bet.

Many successful investors have proclaimed the wisdom of betting on the jockey rather than the horse when making their investment decisions. This is entirely sensible, as outstanding management has certainly proven its value…

http://www.businessinsider.com/lightsquared-style-drift-in-the-service-of-returns-is-no-vice-2011-12

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What return has this system produced vs risk… how is your Shape index???

free shopping .. what does that have to do with hedge funds???

 

well lets see. 2012, I’m a little more optimistic.

 

 

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Youtube video quant opinion: Is Manoj Narang of Tradeworx trying to be the unspoken official rock star of quant and HFT?

Youtube video quant opinion: Is Manoj Narang of Tradeworx trying to be the unspoken official rock star of quant and HFT?

Let me know what you think from this posting:

Is Manoj Narang of Tradeworx trying to be the unspoken official rock star of quant and HFT?

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Quant opinion: Why it could be hard to resell major stock exchange tick data from the likes of NYSE, NASDAQ, AMEX, LSE, etc?

Quant opinion: Why it could be hard to resell major stock exchange tick data from the likes of NYSE, NASDAQ, AMEX, LSE, etc?

This was a question someone asked about reselling stock exchange tick data from large providers:

hi: If you ever construct a quote or trades database ( the data that nyse sells ) for U.S equities, let me
know because what’s currently out there to buy is REALLY EXPENSIVE. tickdata sells 1 year
for I think 12 or 14K.  thanks.

My response:

I am sure a lot of the tick databases from large stock exchanges will not allow
people like me to resell. I am sure it is part of their end user agreements
 no different than Yahoo Finance. I would love to sell those but as said, it could be really hard.
Thanks for responding.
Bryan

 

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Quant opinion: Do you think Statistical Analysis work can be outsourced to expert statisticians?

Quant opinion: Do you think Statistical Analysis work can be outsourced to expert statisticians?

 

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It’s a big “it depends”. Give more info on your environment/study/conditions.

Yes, certainly, under the right conditions. We offer data management and statistics analysis as a service (www.symbolix.com.au) and have found that demand for detailed analytics and statistics has grown in the last few years, particularly in areas like environmental impact assessment, business analytics/optimisation and with big public data sets.

The challenge, when looking to outsource any technical requirement like this, is to ensure that the contractor/consultant has a strong technical knowledge (obviously) but also a sense of the business requirements that you have. Business/Industrial statistics often has to compile data from multiple sources and the outcomes are much more focussed around achieving real insight for decision making and relies on a lot of exploratory data analysis tools backed up by inferential rigour. Good technical communication and visualisation skills are really important too.

 

 

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Quant opinion: How to treat the losers?

Quant opinion: How to treat the losers?

Anyone care to dicuss some metrics for getting out of bad trades? I’m working on a directional scalping system. It trades 50-200 times per day, so it’s not UHFT. The success rate is north of 95%, but the problem with the other 5% is that the losers can potentially grow pretty large, and offset the profits. So I need to find a quantifiable way to either skip the big losers(or more likely) manage them better.

The entry logic is pretty close to random, so there’s no secret sauce here…

Anyone have any thoughts?

 

What do you mean specifically by “losers … can grow pretty large”.
You have already said they are capped, say, to a 5% of trades (if i got that part right).
So, by “grow ” do you mean that, in your model, position size of losers is increasing, or that distance from entry is increasing, or maybe both ?

PS. Note that since you said that entries are close to random, all the “strategy” reduces essentially to trade and risk management. Which is essentially what you are asking about… 😉

 

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right, the losers grow by way of distance from the entry. I’m not using any sizing models. All trades are sized equally at this point.

That is exactly what I’m looking for – some trade and risk management ideas…

 

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Quant opinion: Surpassing the Fear of the Losing Money

Quant opinion: Surpassing the Fear of the Losing Money

I was recently asked in an interview what I would say to a trader or investor who is fearful.  That is, what would I say to help them overcome their fears and trade without fear. There are a fe…

 

The best way to overcome fear is to automate trading imho… and to move all the physical infrastructure out of reach, for example to a leased server. And check it once a day only to make sure that everything still works.

 

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I think that’s a great idea. I firmly believe that looking at th he markets too much during the day for automated traders is highly destructive for most traders. Usually, the trader is tempted to deviate from his strategy as he see some chart pattern or news event that causes deviations. If you look at screen too much everyday, you eventually start seeing pink elephants.

By leased server, what exactly do you mean?

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Yes – you should have strict objective rules on when to enter, take profits, or stops for sure! Thanks for the comments gents!

I daytrade FX and I’m both fearless and respectful of the market. The only thing we “control” is our decision to enter a trade. After that, the market decides whether or not we succeed.

One policy I have is to stay OOTM (Out of the Market) unless I have at least 3 *compelling reasons* to enter a trade. Given those three, I have no fear of pulling the trigger. Staying in a trade requires the same thoughtfulness but whether I exit a trade for 3 pips or 130 pips, I count *any* profitable trade as a win.

 

http://revolutionarytrading.wordpress.com/2011/11/17/surpassing-the-fear-of-losing-money/

 

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Quant opinion: The New Einsteins Will Be Scientists Who Share

Quant opinion: The New Einsteins Will Be Scientists Who Share

online.wsj.com

From cancer to cosmology, researchers could race ahead by working together—online and in the open. Adapted from Reinventing Discovery: The New Era of Networked Science.

I couldn’t help but add to the interesting discussion over on WSJ: “For some, (scientific) data equates to intellectual property: MY data, MY IP. Although the Web (including Web 2.0) has had some impact, I believe that the most-effective approach for promoting the sharing of data is to ‘legislate it’ – i.e., ensure project sponsors (e.g., granting agencies) make the sharing of data a policy, as alluded to above. Also, as alluded to above, there needs to be some way of recognizing such efforts, so the merit of sharing data is seen to be of value in and of itself. With such efforts, the data-IP equation can be recontextualized as: OUR data, OUR IP.”

Let me play devil’s advocate for a moment here: when U. of Michigan copyrights the scanning of a book in the public domain written in 1898 and when Google (and others) gets to be co-copyright owner to everything you write online, it’s laudable but naive to think about wikis and open science, without thinking first about the server/hardware/place where that science sits.

 

It’s not about sharing, it’s about access to the data ! and who gets it. If it’s your tax money at work (i.e. gov’t grant) THEN it should be OPEN !

 

It won’t be open because the system promotes the ones who publish first. If you publish first you get a grant sooner than your opponents. This is what prevents from disclosing the data. Will the system be changed is a different topic for a different discussion.

 

We have a conflict of two or more competing concepts here. Yes, people thinking along similar lines can often come up with greater insights than a person working alone because they can bring more views and backgrounds to the forefront. But the public revealing of the ideas as they evolve doesn’t pay the bills, buy laboratory equipment, or pay the taxes. With the patent laws which allow “first to file” to own the rights, a lurker can run off and patent the “cooperative ideas” leaving the collective vulnerable to law suits if they attempt to commercialize their ideas. This is why most companies expect non-disclosure agreements to be signed before outsiders are allowed to be briefed on promising projects.

Research without hope of financial return is called a “hobby”, and if it requires substantial capital investment to advance it often will go nowhere. Commercialization or sales of “owned” IP or products are the only way to build the financial means to advance the ideas.

The solution is often a single company hiring the interested parties and assuring the IP ownership stays with the group. Find a way around the financial needs and incentives and we will get more than we see with “open source” software in other fields.

 

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I fully agree that nowadays securing IP rights is a prerequisite for a successful business.

On the other hand, take a historical trip to England in XIX/XX century and think how much innovations were created that time and how much striking ideas came up in electricity, physics, chemistry and biology. A bulb, electrical engine, radio are just a few examples of brakthrough innovations that still impact our daily life.

Those innovative ideas were created by a league of gentlemen who did science in their spare time. They were rich enough to found their laboratories on their own with a little help from leading universtiites such as Oxford or Cambridge. The ideas came up through unbiased discussions and interactions that happened mostly in the pub after working hours.
Do you think they have thought of IP protection or funding when making discoveries? No, they did it because they found it interesting. They did for a greater cause than just earning money. That’s why I called them “gentlemen”.

Second remark: what would happen if there was a patent for a semiconductor? How fast would the electronics develop ? What if there was a patent for the wikipedia?

My point is that perhaps funding policies, grants, experts deciding which projects will get funded are not obligatory for science to advance. I am from Europe (Poland) and I really cannot think of ANY innovation that was funded by EU Programms that affect my life as much as a bulb, engine, radio, internet and most of all WC 🙂

 

 

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Quant opinion: Why always there is some relation between bullion market and share market?

Quant opinion: Why always there is some relation between bullion market and share market?

I had experience many times that when share prices moves up the gold market is moving down…or vice-versa..

 

Not always there is relationship between bullion market and stock market . It is after 1995 onward rather after 9/11 . Reason
1) Weak droller
2) Emergence of BRIC economies
3) US and its allies foreign policies
4) Liquidity injected from US and European nations because of their various crises
The effect of above result in hedging of droller against precious metals ……

 

Ya agreed because earlier i was not too associated with each oher….

 

What about the effect of introducing Gold ETFs in the market? It is easier for investors to now liquidate their holdings and invest in ETFs

 

 

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Quant opinion: What is your latency on CME futures orders?

Quant opinion: What is your latency on CME futures orders?

I’m trading through an API provider (similar to TT X_Trader but someone else), and getting around 11ms between issuing an order and it appearing in the market. Personally I feel this is very slow, as I have a direct CME connection. What latency are other people able to get down to?

time between issuing an order and it appearing in the market should be easily less than 2ms.

 

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My last order took about 9 ms.

Should I yell at someone?

 

We see 4 – 8 ms but CME will not even discuss the range of internal latency. Does anyone know even a ballpark latency for the CME internal processing?

We are trying to determine the latency in different areas of our system and without the CME latency benchmark it is difficult to know what we are shooting for (lowest possible latency exclusive of CME).

 

 

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Quant opinion: Business Opportunities and the Financial Services Industry in the Gulf Cooperation Council GCC Region

Quant opinion: Business Opportunities and the Financial Services Industry in the Gulf Cooperation Council GCC Region

The Gulf Cooperation Council (GCC) region brings together the oil-rich states of Saudi Arabia, Oman, Qatar, Kuwait, Bahrain and the United Arab Emirates (UAE). The GCC economies have been growing rapidly on the back of rising energy prices and economic diversification that includes some $700 billion worth of development projects either under way or in the pipeline. The potential for international financial services groups is vast, in areas ranging from project finance to fast-expanding mortgage, consumer finance and private banking markets. Rapid economic growth and commercial diversification within the GCC region offer valuable opportunities for international financial services groups. GCC markets are increasingly being opened up to foreign investment and ownership. With $700 billion worth of developments either under way or in the pipeline, the GCC is now the world’s largest project finance market. The investment spans leisure, residential, infrastructure and industrial developments as the GCC seeks to forge a stronger and more diversified economic future. The real estate boom in Dubai and other emirates of the UAE is being increasingly mirrored across the GCC region. This includes Saudi Arabia, where the scale of new and planned developments is expected to overtake Dubai in the next five years. While some naturally question whether the boom is sustainable, demand continues to outstrip supply in most real estate sectors for now. Expatriates in most GCC countries can now own property, which is helping to open up a new mass market in mortgages. Owning property can also provide the right of abode and, from this, the attraction of low taxation and the right to set up businesses in the country of residence. Consumer finance is expanding as a relatively young and fast-growing population increasingly embraces consumerism. Key growth sectors include credit cards and vehicle financing. Islamic financial services are growing faster than the sector as a whole.

 

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