ICE Futures U.S. Announces New Incentive Program for Chicago Exchange Members to Trade Fast-Growing Russell Index Products

Exchange News

May 6th, 2008 - ICE Futures U.S.(TM) today announced an incentive program for the Russell 2000 Index mini futures contract for members of Chicago exchanges in conjunction with growing participation in the Russell Index futures markets on ICE. read more

Atrium Network Offers Connectivity to Turquoise

Smart Order Routing News

May 6th, 2008 - Atrium Networks, providers of smarter connectivity for the financial community, announced today that it is offering connectivity to Turquoise, the multi-lateral trading facility established by nine leading European investment banks. read more

EFG Financial Products deploys Orc Trading to support advanced structured products offering

Exchange News

May 6th, 2008 – Orc Software today announced that EFG Financial Products has selected Orc to supply key technology for its structured products operations. read more

Low, low, latency from Skyler and 29West

Data Latency News

Chicago, 11.00 (GMT), 23rd April 2008: 29West and Skyler Technology have partnered to offer extreme low-latency messaging and trading solutions to banks, asset managers, hedge funds, exchanges and others. Steve Cooper, CEO of Skyler, told our reporter: "We believe this will give our clients an industry edge over their competitors," read more

Orc Software: Van der Moolen utilizes Orc Software’s Algorithmic Trading Solution

Automated Trading News

April 30th, 2008 - Orc Software (STO:ORC), announced the London-based business of global trading firm Van der Moolen is utilizing the Orc Algorithmic Trading solution for advanced trading capabilities. The deal was booked in Q3 2007. read more

IBM Acquires InfoDyne to Create World-Class Platform for Market Data Delivery

Algorithmic Trading News

April 29th, 2008 - IBM (NYSE: IBM) announced it has acquired InfoDyne Corporation, a privately held software company based in Park Ridge, Illinois. InfoDyne is a leader in high-speed platforms and data feed connectors which combined with IBM's WebSphere technology will help clients extend transactional integrity to low-latency environments. Financial details were not disclosed. read more

Liquidnet Europe Wins Best Overall Execution Venue at the TradeTech European Awards 2008

Automated Trading News

April 28th, 2008 - Liquidnet Europe Limited won Best Overall Execution Venue at the TradeTech European Awards 2008 this week in Paris, beating out six other finalists for the distinction. read more

DST International announces four new Australian appointments

Algo Appointments News

April 28th, 2008 - DST International (“DSTi”) has today announced four new appointments for its Australian operations. Ros Barnsley has been appointed to the role of Client Relations Manager; Brian Hamilton is confirmed as Business Solutions Manager; Steven Goddard has joined as Senior Sales Executive and Gwilym Box moves from DSTi Asia to become Australian AWD™ Solutions Manager. DSTi is a leader in providing business solutions for the financial services industry world-wide and has been operating in Australia for over a decade. read more

NYSE Arca Announces New Equities Pricing

Dark Pools News

April 28th, 2008 - NYSE Arca, a subsidiary of NYSE Euronext (NYX), announced new transaction pricing, effective May 1, 2008, that will feature rebates for non-displayed orders and a new "post/take" rate combination for active customers in NYSE-listed (Tape A) securities. read more

Goldman Sachs Electronic Trading Releases Rediplus Version 8.0

Direct Market Access News

April 22nd, 2008 - Goldman Sachs Electronic Trading (GSET) announced today the release of the latest version of REDIPlus, Goldman Sachs’ proprietary, award-winning execution management system. The release of v 8.0 marks the first of several major releases scheduled for 2008, and will provide clients with substantial product and performance enhancements. read more

FPGA Acceleration of European Options Pricing

Today, Monte Carlo (MC) methods are widely used in finance to price derivative securities. In this approach, the value of the option is expressed in terms of an integral of very high dimensionality. Monte Carlo methods are used to estimate the value of this integral by brute force. These calculations consume a significant portion of the run-time and energy of financial data centers. Therefore, we present a hardware accelerator that computes the price of a European call option via MC. In our approach, after some initial setup, the entire MC simulation is performed by the FPGA. We demonstrate performance in excess of 250× that of a modern 3 GHz multi-core processor. By Nathan Woods, XtremeData, Inc. read more

Hard and Fast?

This is an extended version of the Tech Forum that appeared in the Q1 2008 edition of Automated Trader. It includes an additional interviewee and expanded answers from all interviewees on the latest techniques for hardware and networking infrastructures. read more

Structural Models

Statistical Arbitrage: Algorithmic Trading Insights and Techniques Chapter 3 Structural Models read more

Statistical Arbitrage

Statistical Arbitrage: Algorithmic Trading Insights and Techniques Chapter 2 Statistical Arbitrage read more

Monte Carlo or Bust

Statistical Arbitrage: Algorithmic Trading Insights and Techniques Chapter 1 Monte Carlo or Bust read more

Data-Mining Bias: The Fool’s Gold of Objective TA

The following excerpt is from Chapter 6 of David Aronson's recently published book "Evidence-Based Technical Analysis". Together with Chapters 4 and 5 of the book it addresses aspects of statistics that are particularly relevant to evidence-based (as opposed to subjective) technical analysis. read more

Evidence-Based Technical Analysis: Hypothesis Tests and Confidence Intervals

The following excerpt is from Chapter 5 of David Aronson's recently published book "Evidence-Based Technical Analysis". Together with Chapters 4 and 6 of the book it addresses aspects of statistics that are particularly relevant to evidence-based (as opposed to subjective) technical analysis. read more

Evidence-Based Technical Analysis: Statistical Analysis

The following excerpt is from Chapter 4 of David Aronson's recently published book "Evidence-Based Technical Analysis". Together with Chapters 5 and 6 of the book (which will be available as excerpts later) it addresses aspects of statistics that are particularly relevant to evidence-based (as opposed to subjective) technical analysis. read more

Naked Option by Joe Kolman

Dave Ackerman, the narrator of Naked Option, is a brilliant trader but one day, recklessly trying to one-up his firm's superstar, he goes naked on an option trade and loses $112 million in two hours. His career is over. Then he hears about an auditing job at an investment bank. He knows within minutes that something is very wrong, but he's so desperate, he takes the job. read more

Financial Data Mining with Genetic Programming: a Survey and Look Forward

Genetic Programming (GP) is an appealing machine-learning technique for tackling financial engineering problems: it belongs to the family of evolutionary algorithms that have proven to be remarkably successful at handling complex optimization problems, and possesses the unique feature of producing solutions under a symbolic form that can be understood and analyzed by humans. Over the last decade, GP has been applied to generate financial trading strategies, forecast stocks and options prices, or grasp some insight into the dynamics of the markets and the behavior of the agents. In this paper, we first provide a brief survey of the existing studies, then highlight fields of investigations that, we believe, should lead to enhance the applicability and efficiency of GP in the financial domain. By Nicolas NAVET and Shu-Heng CHEN read more

Entropy Rate and Profitability of Technical Analysis: Experiments on the NYSE US 100 Stocks

The entropy rate of a dynamic process measures the uncertainty that remains in the next information produced by the process given complete knowledge of the past. It is thus a natural measure of the difficulty to predict the evolution of the process. The first question investigated here is whether stock price time series exhibit temporal dependencies that can be measured through entropy estimates. Then we study the extent to which the return of financial trading rules is correlated with the entropy rates of the price time series. Experiments are conducted on EOD data of the stocks composing the NYSE US 100 index during period 2000-2006, with the use of genetic programming to induce the trading rules. By Nicolas NAVET and Shu-Heng CHEN read more

Assessing the Risk and Return of Financial Trading Systems - a Large Deviation Approach

We apply large deviation theory to assess the probability that a trading system performs below or above a certain threshold. Our technique does not require that the distribution of the performance criterion obeys a closed-form equation, and can accept as input empirical distributions given under the form of frequency histograms obtained by backtesting or from prior use of the trading system. A nice property of the technique is that it can be easily automated and integrated into a trading platform. Furthermore, the approach is not limited to a single trading system but can be applied on portfolio of trading systems. By Nicolas NAVET and René SCHOTT read more

Transaction Cost Research

An excerpt from Kendall Kim's forthcoming book "Electronic and Algorithmic Trading Technology: The Complete Guide" Chapter 10: Transaction Cost Research read more

Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading - Part 2

Part 2 of Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading bootstrap paper. By Shu-Heng Chen and Nicolas Navet read more

Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading - Part 1

In this paper, we discuss a series of pretests, based on several variants of random search, aiming at giving more clearcut answers as to whether a GP scheme, or any other machine-learning technique, can be effective with the training data at hand. Precisely, pretesting allows us to distinguish between a failure due to the market being efficient of due to GP being inefficient. The analysis is illustrated with GP-evolved strategies for three stock exchanges exhibiting different trends. read more

Proximity Hosting: Plug’n’Trade or Pay’n’Wait?

Proximity and trading application hosting have been some of the fastest growing areas in the evolution of automated and algorithmic trading. Mark Thornberry, Managing Director at RTS Realtime Systems, London, discusses some of the main considerations for traders evaluating its various flavours.read more

Finding the Correct Path Through Market Turbulence

Recent months have seen financial markets experience more turbulence than perhaps ever before. Market corrections, war in the Middle East, sub-prime crisis, bulls and bears not sure which they are, and more recently the return of the 'big style' rogue trader have caused more volatility, I would suggest, than most have ever experienced.read more

The Blame Game

When things go wrong, the reflex reaction is to apportion blame. When things go wrong in the financial markets, who will the regulators be pointing their fingers at?read more

Cream Rising

BlackCat Trading Technologies’ Matthew Breakwell and John Reeve explain their distinctive approach to building a quantitative trading platform and outline their plans for exploiting it.read more

A Singular Vision

Its recent merger with the CBOT saw CME Group expand further the range of asset classes available on its Globex platform. Deputy CIO Kevin Kometer looks at the diverse challenges ahead.read more

Hard and Fast?

Hardware and networking infrastructures should be the building blocks of any market participant’s algorithmic and automated trading capabilities. AT asks leading providers to share their views on the latest techniques and technologies.read more

Rising to the Cross-Asset Challenge

How are automated traders exploiting cross- and multi-asset trading opportunities and how are suppliers supporting increased demand? These topics and more were discussed by our panel at the FIA’s Expo 2007, Chicago.read more

This Issue's Round-up of AT's Proprietary Alphability Metrics

Trend and Reversal Alphability data for stock index and bond futures and top/bottom five Dow stocks. read more

Buy Side Flocks to FX

Auto and algo trading techniques are being deployed by a wide range of buy-side firms in the increasingly crowded, but not always transparent, waters of the FX market. Chris Hall reports. read more

The Liquidity Seeker

Chris McConville, Executive Director, Equities at UBS Investment Bank, narrates the typical use of a liquidity-seeking algorithm to trade a fictitious investment trust.read more

All the News that’s Fit to Trade

News has been moving financial markets since before Julius Reuter released his first pigeon. Chris Hall asks whether machine-readable news will give traders an edge.read more

Do Your Testing Methods Deliver?

Much of the underperformance of messaging systems can be attributed to inadequate measuring tools and testing conditions, according to Barry Thompson, Founder and CTO, and Dave Lauer, Senior Systems Engineer, Tervela.read more

New Horizons for Complex Event Processing

Daniel Chait, Managing Director, Lab49, asserts that CEP has a wide range of applications beyond algo/auto trading.read more

Adapting Algorithms to Realities of Asian Markets

If execution algorithms are to be adopted widely in the Asian markets, both providers and users must be aware of the unique characteristics of trading in the region, says Dr Usman Malik of P. E. Lynch LLP.read more

The Role of Advanced Models in Performance Boosting

In the second part of a two-part article, David Aronson, President of Hood River Research, examines the modelling techniques used in arriving at a valuable predictor set for boosting ‘raw’ trading model performance.read more

The Middle East: A Region Rich in Opportunity

Gary King, Chief Executive Officer, Dubai Mercantile Exchange, explains why trading firms should look beyond Asia for new investment opportunities to a region whose financial markets are primed for an expansion in algorithmic and automated trading.read more