Tag Archives: White paper

White Paper on Alpha Stream Optimization

White Paper on Alpha Stream Optimization

New research paper that is trending

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2446328

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Top 12 investing white papers for Oct 2015

Top 12 investing white papers for Oct 2015

Not quant-y math-y type of papers but more industry related. Here are the highlights of interest:

Investing in illiquid assets: A review (Robeco)

Low Volatility Investing – Theory and Practice (Research Affiliates)

https://www.savvyinvestor.net/blog/top-investment-white-papers-october-2015

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FIX white paper research demo with FPGA deployment with potential Matlab authoring

FIX white paper research demo with FPGA deployment with potential Matlab authoring

This is from ym Youtube channel subscriber so thanks to them

Here’s a white paper on a real FPGA trading system:

It’s all based on tcp/ip data streams and a hosted Fix Server (Quickfix, in this case).

http://web.archive.org/web/20120425104129/http://www.wallstreetfpga.com/WallStreetFPGA_FIX_CANCEL_FPGA.pdf

Even if Simulink doesn’t work out, you can still use it as a modelling tool. So, it can possibly save time since you can visually build complex models, but for actual execution code, you’re still going to need to write matlab m-scripts a la ernie chan.

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White Paper: Parallelising QuantLib using Map-Reduce for HFT and quant development purposes

White Paper: Parallelising QuantLib using Map-Reduce for HFT and quant development purposes

Although Map Reduce technologies are normally associated with “big data” they can also be used to simply but effectively parallelise QuantLib so that it runs on grid or cloud infrastructures. Attached is a link to a short white paper which describes more the motivation for doing this, the advantages that it brings and the technology that we’ve been developing to use this approach.

http://www.bnikolic.co.uk/ql/20120606-quantlib-parallelisation.pdf bnikolic.co.uk

http://www.bnikolic.co.uk/ql/20120606-quantlib-parallelisation.pdf

 

 

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anyone know of a method for determining market impact of a strategy? maybe a white paper?

anyone know of a method for determining market impact of a strategy? maybe a white paper?

 

Please see Algorithmic Trade Execution and Market Impact post on this page:
http://www.algotradinggroup.com/cgi-bin/yabb2/YaBB.pl?num=1214230287/15

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White Paper – Building A Low-Latency Infrastructure For Electronic Trading – A Sun Microsystems Blueprint

White Paper – Building A Low-Latency Infrastructure For Electronic Trading – A Sun Microsystems Blueprint

This White Paper is a few years old, but still is good read, nonetheless.

http://www.gigaspaces.com/files/main/Presentations/ByCustomers/white_papers/CustomersWP/SunLowLatencyWP.pdf

Just want to share with you folks.

 

Great white paper written by A-Team for more check out Low-Latency.com

 

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Cisco White Paper: High-Performance Automated Trading Network Architectures Performance Without Loss—Performance When It Counts

Anyone interested in Cisco White Paper: High-Performance Automated Trading Network Architectures Performance Without Loss—Performance When It Counts

Introduction

Firms in the automated trading business recognize that having a low-latency infrastructure can improve the profits of the business. In this paper, we explore the key considerations to implementing an ultra- low-latency network and highlight some key misconceptions when evaluating the suitability of network platforms for automated trading businesses.

High-Frequency Trading Market
Trading in financial markets is increasingly being performed by software programs. These programs run a variety of businesses including proprietary trading for a firm and services such as best execution for the firm’s customers. In particular, the term “high-frequency trading,” or HFT, has gained popularity to describe the most intensive of the automated trading businesses.
A competitive advantage in all these businesses is to be able to access the liquidity pool faster than the competition. To this end, firms are focused on lowering the latency of the end-to-end trade flow.

 

 

Here is the document –

http://www.cisco.com/web/strategy/docs/finance/c11-600126_wp.pdf

 

 

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Free White Paper – Execution Analytics: Real-Time Challenges and Directions in Institutional Trading

Free White Paper – Execution Analytics: Real-Time Challenges and Directions in Institutional Trading

Overview: This TowerGroup paper, sponsored by Sybase, looks at real-time analytics and CEP in securities trading in the context of the critical roles they play in the management of diverse data sets and other inputs in the institutional trading process. It describes some of the data analysis challenges traders face in the evolving high frequency, multi-asset, global trading world, and then offers a view of the expected future state of the business. Lastly, it offers prescriptions and lessons from leading firms regarding the means they are employing to successfully master an increasingly fast-paced and complex trading environment.

 

 

This TowerGroup paper, looks at real-time analytics and CEP in securities trading and the critical roles they play in the management of diverse data sets and other inputs in the institutional trading process.

http://www.wallstreetandtech.com/whitepaper/Data-Latency/Complex-Event-Processing-CEP/execution-analytics-real-time-challenges-and-dire-wp1318276878?articleID=191703542&cid=well1_wp_null

The importance of complex event processing (CEP) in securities trading is rapidly expanding. New use cases for real-time analysis of multiple,

 

For more information on complex event processing (CEP) in securities trading, please visit our new subgroup –

Complex Event Processing (CEP) Technology, Algo Trading

http://www.linkedin.com/groups?about=&gid=3892946&trk=anet_ug_grppro

 

 

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Quant development: Real-Time Risk Monitoring – Free White Paper pdf from Sybase

Quant development: Real-Time Risk Monitoring – Free White Paper pdf from Sybase

Real-Time Risk Monitoring

Using a Visual Data Analytics Platform to Monitor and Manage
Positions/Exposures in Real-Time

Credit Risk • Market Risk • Compliance • Liquidity Risk

m.sybase.com

 

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For more interesting discussions on Real-Time Risk Monitoring Solutions, please visit our new subgroup –

Real-Time Risk Monitoring Solutions

http://www.linkedin.com/groups?about=&gid=3883989&trk=anet_ug_grppro

 

 

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White paper on the pros and / or cons of high frequency trading for hedge funds or a piece of litterature covering the subject

Could someone guide me to a white paper on the pros and / or cons of high frequency trading for hedge funds or a piece of litterature covering the subject

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http://www.cis.upenn.edu/~mkearns/papers/hft_arxiv.pdf
Good paper, conclusion is that hype is bigger than profit.

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With respect to your specific question, I don’t think HFT is a good match for hedge funds. Hedge funds provide investment capital, but HFT really doesn’t require much capital as the positions are held for only a short amount of time. HFT is more suitable for prop firms that are willing to make a significant investment in technology, very fast DMA, low latency data and most importantly good man power to generate strategies/algorithms that can consistently compete in a tight market place.

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many hft strategies only work at institutions with a large retail customer base an they make money by front running the customers. It has to be worrying when every bank and hf in the world is moving into the space usually signals that the party is coming to an end

 

 

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