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.
Ad Hoc inference, a lot of talk about boosting, bagging etc.
Time Series shops ( inefficiency/prediction from time series):
AHL (ManGrp, oxford based, stats, time series),
Winston (ex AHL stats, trending follow, old people)
Transtrend( Robeco grp. Netherland based systematic 7b AUM), QIM(2b AUM)
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)