Link Feast 3-1-10!

February 28, 2010

Unscented Particle Filter Talk

Option MM Baird

General direction: Liquidity – Arbitrage – Understand details.

Elwyn Berlekamp, i’m late to the story but Misha Malyshev(ex-citadal HFT, Teza technology LLC & the guy behind Aleynikov GS saga(similar story at UBS, and this interesting post)had similar track/background with a few authors in previous post (MIPT, Princton, hedgefund etc. etc.) Tactical (Turtle trend following fund The System incorporates mathematical market models that integrate key elements of modern portfolio theory, chaos theory, and proprietary money management concepts. sounds like snake oil, no?)

Detection of security fraud would be an interesting topic. e.g. how can madoff return being detect? not just suspicsion but quantifiable measurement of likelihood.

Poker Bot, RL  Go, U Alberta Grp,

bank algo: CS AES, GS GSET, JPM Kissel ’05, DB Mkt Impact ’08.

Ad Hoc inference, a lot of talk about boosting, bagging etc.

given a set of timing model space, how to separate over fit/snooping with genuine prediction, regime shift how? 1 2 3 4 5

Time Series shops ( inefficiency/prediction from time series):

AHL (ManGrp, oxford based, stats, time series),

Winston (ex AHL stats, trending follow, old people)

Lynx( Brumer grp Stockholm based, seems v good performance since 01)

Transtrend( Robeco grp. Netherland based systematic 7b AUM), QIM(2b AUM)

Amplitude (people, bunch of IBankers, investor relationship guy is SOM ’00)

Cantab Capital (ex GS quant strategy euro head, Cambridge based)

Crabel(Milwaukee based Toby Crabel had a short stint with Niederhoffer)

John Locke(french fix-income arbitrage)


DFarmer team up with Lillo working of order flow model, here is information content in Volumne data, from northwestern again 1.


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