Market Data Trader » CEP

High-Frequency Trading Models Workshop

Alpha — Wed, 06 Apr 2011 20:31:05 +0000

Irene Aldridge will be giving a couple day workshop on HFT models, tools, etc. It’s targeted for Quant Desk Traders, Research Analysts, and PhD students in Finance, Economics, and of course… Math and Physics.

I am most curious about the content on the “reading ticker tape with the machines / what information is accessible from HFT ticker-tape reading.” Personally, being trained by someone who traded only from Time and Sales data alone for years, I have a lot of personal intuition about the space. It would be interesting to hear where my intuitions line up with common industry understandings.

I can save you time if you are curious about cutting edge technologies… build vs. buy. Of course, buy if you can… and have nothing… and start with Streambase if you can afford it. For those of you who are interested, more information can be found out here.

Misc Comments From Yesterday

Alpha — Wed, 28 Jul 2010 13:44:31 +0000

Did I mention I’m in the process of wrapping up a white paper on the quantitative finance industry. White papers are fun to start and tedious to finish. The conversations around the paper have been interesting. Yesterday I discussed with a Quant, how often individuals use factor models to value equities. From our perspective, the answer was not very often. This is interesting, considering how common factor models are. But, all the Quants that I know would prefer to do some custom statistical pattern recognition. That’s not to say we are hacks. We’ll still use a Monte Carlo or bootstrap to add a layer of rigor around what we are doing. One exception that was brought up was Arrowstreet Capital. I’m pretty sure they don’t qualify as “Quant.” But, rumor has it that they ARE on the record for using factor models in this fashion.

…noteworthy from yesterday, the Tech Tock blog posting on RX that surfaces through lab49. That was my first introduction to RX – the reactive framework by Microsoft, which is focused on programming patterns that can make your program “react” to it’s environment. Very cool / interesting… beautiful to see patterns for marrying Complex Event Processing (CEP) type streams with LINQ. I think you’ll quite like it.

…spent a little time looking at CPLEX. Not sure how commonly used that is. But, because it’s on my radar, I’d argue it is a contender in the Quant optimization space.

Morning Readings & Comments

Alpha — Wed, 21 Jul 2010 14:25:04 +0000

Just back from Vegas. Some morning reading and comments:

Aspen Graphics – small Colorado company specializing in trading software moves to Silverlight
Last week I was working on a white paper on the Quant Finance Industry and was scrambling to come up with a good section on Portfolio Attribution. I was surprised to find ClariFI has some nice portfolio attribution functionality built in.
Team Foundation Studio 2010 introduces User Stories as a basic work item in the Microsoft Agile 5.0 template! Now, the pressure is on development teams to start from the scenarios and really work their way down to the individual features. This page has a very literal, screen first, approach to the user story.

After catching up with some colleagues who returned from WPC in Washington, D.C. last week, the story remains: Azure, WP7, Dallas, OData. I was surprised there wasn’t more on the SQL Server 2008 R2 Parallel Data Warehouse or Stream Insight.

CEP, Streambase, and HFT

admin — Fri, 16 Jul 2010 06:48:17 +0000

If you are interested in High Frequency Trading (HFT), you better get to know Complex Event Processing (CEP). I suggest taking a look at Streambase’s site. They have some good recorded web casts and white papers. They’ve been at it much longer than anyone else that I’ve come across. If you have the dollars to spend, they seem like the premium solution.

Very cool space emerging there. I’m looking forward to watching the CEP industry mature. As time allows, I will explore regressions on High Frequency data sets. Fun!