Tag Archives: value

Is Ethereum going to reach the value of Bitcoin?

Is Ethereum going to reach the value of Bitcoin?

I think it will be something new as in a forked version of the either

https://www.quora.com/Is-Ethereum-going-to-reach-the-value-of-Bitcoin

 

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OECD Measure a way to value forex curency value

OECD Measure a way to value forex currency value

Just found this on my Bloomberg News consumption

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https://data.oecd.org/conversion/exchange-rates.htm

https://data.oecd.org/conversion/purchasing-power-parities-ppp.htm

https://www.oecd.org/std/prices-ppp/purchasingpowerparitiespppsdata.htm

https://www.bloomberg.com/news/articles/2017-01-31/euro-is-g-10-s-most-undervalued-currency-by-oecd-measure-chart

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#Value lags behind #Growth

lags behind

[igp-video src=”https://quantlabs.net/blog/wp-content/uploads/2016/02/Value-lags-behind-Growth.mp4″ poster=”https://quantlabs.net/blog/wp-content/uploads/2016/02/Value-lags-behind-Growth.jpg” size=”large”]
#Value lags behind #Growth

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We lost two years of global #Stock #value due to recent tumble

We lost two years of global due to recent tumble

[igp-video src=”” poster=”https://quantlabs.net/blog/wp-content/uploads/2016/01/We-lost-two-years-of-global-Stock-value-due-to-recent-tumble.jpg” size=”large”]
We lost two years of global #Stock #value due to recent tumble

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Would you value private profitable trading chat group?

Would you value private profitable trading chat group?

After joining a private highly successful trading group, you get to see the pulse of these powerful and successful guys/gals work. There is a lot of chatter but it seems many are quite profitabe in small doses but many trades per day. Imagine if you could automate that and scale it up? I am planning to put this type of functionality into this high speed automated trading system. I hope to have more videos later today to demo.

So would you value these types of services? You cuold deploy using something like Wickr.com chat service which is secure and private. It was recommended by Captain Crunch the original hacker from the 70s.

Let me know what you think on Facebook or my Twitter

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Ever heard of the Free Lunch Effect? Value of Decoupling Diversification and Risk

Ever heard of the Free Lunch Effect? Value of Decoupling Diversification and Risk

This came via Morningstar but there is this PDF

http://www.salientpartners.com/static/pdfs/The%20Free%20Lunch%20Effect_8.2014.pdf

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Meetup Webinar Tues Jun 10 at 6 PM EST: Use of R core scripting to eliminate ‘NA’ (“and other common recycled value problems”?)

Meetup Webinar Tues Jun 10 at 6 PM EST: Use of R core scripting to eliminate ‘NA’ (“and other common recycled value problems”?)

Body of presentation:
I Use of rm() inside of source code

This following portion is still under construction as I haven’t gotten as much feedback as would be helpful from core R team yet…

II Manually coding a ‘divisor procedure’ to help eliminate recycling issues when machine level precision is approached

Tuesday June 10 at 6PM EST

 

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Quant Analytics Algorithm Question: Is there value to an algorithmic approach that works out-of-sample regardless of market success?

Quant Analytics Algorithm Question: Is there value to an algorithmic approach that works out-of-sample regardless of market success?

In looking for the easiest to capture low hanging fruit of the High Frequency Trading world, I build an elegant algorithm that could be applicable to general purpose instruments. It works well on high volume NASDAQ stocks in the sense that it would make a profit in out-of-sample simulated trading. If you assume the ability to capture some reasonable percentage of rebates then it becomes very profitable (~200%/year). This seemed to be the type of results that I was looking for so I went live with this strategy for around 6 months. However, market dynamics (slippage, game theoretic behavior, market impact, etc) made the strategy unprofitable in live trading.

If I had another 2 years I might be able to learn enough market dynamic information to make the strategy profitable. However, after working on a poker startup and an algorithmic trading strategy for 3 years, I didn’t really have that luxury. I’ve been wondering if there is anything useful that I could do with this strategy. I believe that in the right hands with a firm that understands market dynamics, then this algorithmic approach could be useful.

So, here is the question. Does an algorithm that generates out-of-sample profits have any value regardless of success when it is crudely deployed to the market? Presumably, my out-of-sample profits are somewhat dependent on flaws in my simulation but to some extent that just means that my training runs also needed to better reflect market realities. The piece that I seemed to be most missing was game theoretic behavior of other market participants and a better understanding of how to deploy orders across a fragmented market.

I’d love to hear any opinions out there. Contact me privately if you see some value in this algorithm.

 

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what platform did you use to do the back test? HFT algorithms are notoriously difficult to back test without a specialized back test engine.

 

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One of my own creation. It seemed to use reasonable rules but …

 

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fill assumptions in HFT are very tricky. I cannot count the number of HFT algorithms I have had work all the way through forward testing in simulation with what I thought were conservative fill estimates but when actually deployed live did not work.

The algorithms often missed by only a few milliseconds but there is no prize for 2nd place in that world.

You may want to consider something I have found to work; take the basic HFT algorithm and move up a time frame. If you were trading on milliseconds, consider seconds, etc. Many of the same techniques work if tweaked a bit.

 

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The MBA’s Value? Debatable!

The MBA’s Value? Debatable!

The MBA’s Value? Debatable!
http://goo.gl/Fsuim

quantfinancial.blogspot.com

The MBA’s Value? Debatable ” The P&Q story is about the latest research from the Graduate Management Admission Council, which surveyed 4,135 business school alumni who received their degrees since 2000. The GMAC report paints a…

 

I thought about that same thing for years. I’ve seen many people rise to the top with or without it. I know some people with an MBA, a huge debt, and can’t find decent work. Its too much of a financial burden, unless your sure that it will prove its worth. Frankly, if you want to work for someone else, in a traditional MBA-led profession like investment banking, then it can be valuable. If your an entrepeneur, then it may be a waste of time as experience trumps the degree in most cases. Top tier MBA’s have value, but there’s a flood of random online MBA programs popping up that don’t have many admissions standards, which dilutes some of the value. The country wants people to get out of debt and get better with their money, but many are pushed into these expensive programs and graduate with $60,000+ in debt and cant find decent work or better yet, they realize that their desired job only needed someone with a bachelors and 5-10 years experience.

Some of the most successful people out there, don’t have or need one. They’ve proven themselves through hard work, business savvy, and hands-on experience.

If you want the pedigree and get into a top tier program and can afford it…then go for it. Harvard, Stanford, Kellogg, Chicago, Dartmouth, etc, etc speak volumes for traditional sectors, but then again in the investment world a CFA is just as valuable

 

See too many bright young kids with a BS in finance/accounting and then a year later an MBA from the same school. These schools should be held accountable for giving bad advice to kids who can’t find a job – all an MBA does for someone with no work experience and a finance degree already is make them less employable.

 

Agreed. Schools just want the money and convince students they need it. These college presidents/chancellors are getting loads of bonuses from these students hikes, from students flooding these programs in search for a competitive edge that may not be there.

 

 

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