order driven market

March 2, 2010

Multi-agent based order book  model -> paper

Simulation of limit order driven market -> paper (JOT), (check reference as well)

double auction simulation market -> paper, and this

Matlab code -> here

Complex Event Processing(CEP), with application to P2P network, senor network, exchange etc. Event Processing Industry

Matt Welsh->SEDA->Lime (messaging, concurrent system)

Harvard senor network Lab(robotBee, Mercury). There is really some interesting thoughts, hardware implementation of financial data processing application (analogue to Soundblast and GPU). and Tito Ingagiola point out this, apparently ICAP is using this. Tervala (switch technology, option MM case) is backed by GS, Sigma(database VC), Acartha(financial tech PE), Nothhill( financial tech VC).  Tervala using ( Arista switch technology(cisco, stanford cs guys), Celoxica( system design, UK based, former INSTINET, IB IT, HF Operation), Fix Flyer(process automation, courant math, nasa software engineer, IB op engineer), Portware (trading app design, former trader and IT), softModule(grid computing), Volante (sys integration).

on hardware side, it’s ASICs, FPGAs, network processors, GPU etc. etc.

even valuation and risk guys has interest in GPU, for monte carlos?

this two webinar about algo trading and infrastructure.

Yahoo Pipes, graphic programming. this is an awesome application!

one stock trading agent idea came out from Peter Stone(autonomous bidding agent, RL, robotCup).

Exchange simulator JessX

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)

Quantmatrix(nothingness)

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

quant prop shop.

February 28, 2010

RGM(Austin based)

Tower Research(Lime)

QuantLab v.s. Shi Jingpu (developer), Xu Yongzhong(worked in prediction). co-founder.

Two Sigma: D.E.Shaw math + Tudor IT

EWT: ex-nymex CEO

Jump Trading / Spot Trading(Robert Merrilee trading equity options)

Getco (Chi market making), Forbes on Getco, WSJ, Bloomberg story, the prophet is being fulfilled, and market kept on evolving. with different player join the arena, the natural question is: What’s NEXT?

Sun Trading(SnP option pit trader); Matlock Trading (market maker, system sold to GS in 99); Ronin Capital(prop, affiliation to exchange)

Ikos London based HF shop. they are not even hedge fund<what’s the point to be a fund?? dilute return??>

Allston Trading: interesting JD and requiremet

Chopper Trading, Chicago based, said nothing

Trade Link, very old.  option focused. TransMarket, again exchanged based, early arber.

World Quant, igor Tulchinsky, Upenn/Millennium stat arb.

Capstone, (organizer+ ex-pit trader+ finanical engineer+???)

links 2-27-10

February 27, 2010

Mark Spitznagel (Universa)

Klipp’s saying was “You have to love to lose money, to take small losses, and hate to make money to be successful. There’s no other way.”

The hard and stiff will be broken, the soft and supple will prevail.

In July 2009, Spitznagel opened a fund betting on hyperinflation

Alpha Clone

Clone of low turn over value focused fund actually make sense(?)

Kaching: another Clone.

SharePost: private company research and exchange.

Second Market: illiquid asset market place(?)

Portfolio Solution, diversified(?) index fund ETF portfolio charging 0.25% management fee.

IASG: many listed CTA, the strategy description could be interesting.

Global Debt problem:  Forbes article,  Hayman advisor letters,  Bloomberg story about mortgage

An intersting presentation tools: prezi, Vimeo’s top 25 video of 2009. blublu wall painting

Investment outlook for 2010: 立此存照

Buffet letters, bridgewater, firstQ(currency)

Swensen, IhcanSchwarzmanRedleaf lecture.

Mebane Faber’s idea for 2009, all seems reasonably good idea with hindersight.

ETF related resources: T Herzfeld, Close End Fund Center (CEF), Claymore

link feast 2-27-10

February 27, 2010

http://alphaclone.com/

Bill Harts’ company

Chapman University Economics Science Institute: Vernon Smith/Experimental economics -> here is an intro

Paul Rowady join Tabb Group (Tabb CEO here, who’s a regular contributor to WS&Tech) associated with this type of bogus


I just finished re-reading Tasy’s Finanical Time series analysis, here is a list of points worth taking notes of:

  • What time series analysis is trying to model here is f(x_t|F_t-1), so what we are trying to understand here is how mean and variance related to the past, through ACF.
  • portmanteau Test Q(m) (Ljung-Box stats for testing sufficiency of model) i.e. residue of dynamics, i.e. no series correlation no conditional heteroscedasticity). Q(m) ~ X^2(m) link to p stats to reject null hypothesis( no series corr in residue, no CH in residue square etc.)
  • model identification( PACF or Akaike Information Criteria) ->  parameter estimation (OLS with significant level of parameter estimated)-> model checking ( check if residue series is close to white noise, using Ljung-box Q(m) ~X^2(m-order(AR model used))->conditional forcast with model(i.e. error in model is not taken into account).
  • unit-root nonstationary, long memory, ARIFIMA(d), ARIMA(1), dicky fuller test for unit root. Ljung-box test, look at ACF, same effect.
  • seasonality model, ACF contains information for AR and seasonality. (i.e. a tool to detect seasonality & predict shape of futures curve).
  • nonlinearity test( Q, BDS, F, Threshold Test), parametric( TAR, Markov switch model), nonparametric( NN, kernel, MCMC etc.
  • nonsynchronize trading, var(r_o) v.s. var(r). bid ask bounce, and high frequency dynamics(negative lag-1 AR)
  • order prohibit model(lo et. al.),A Decomposition Model(ADS)* ( using partition I(i) indicative function and MLE to estimate parameters) ; duration model( using combination of quadratic function to remove duriual effect), using ACR model with exponential or generalized gamma innovation; non-linear duration model with two regime. bivariate model for both price change and duration( with method similar to ADS, this is close to what altreva is doing, i.e. simulate the market)
  • cross-correlation matrix contains linear dependency information( couple, direct, independent) .
  • VAR model able to absorb all dynamic dependency and concurrent dependency information into transition matrix, with cholesky decomposition. stationary condition, how to test for cointegration in real applicaton, Tasy mentioned about difficulty. And erro correction form( still fuzzy about this concept).
  • PCA, FA,  MCMC