‘First Person’ Algorithmic Trading Articles & Financial Insight
- Praising the Modern Markets
SUBSCRIBERS ONLYQuantlab set up shop as a long-short statistical arbitrage hedge fund in 1998. Regulatory changes such as decimalisation in the early 2000s adversely impacted the firm's implementation costs and new execution strategies had to be found. That exploration led to Quantlab becoming one of the top HFT firms in the US.
- Critical thinking
SUBSCRIBERS ONLYSal Arnuk started electronic trading some 20 years ago at Instinet, where he met Joe Saluzzi. The pair have since started their own brokerage, Themis Trading, and become big voices in the market structure debate - attracting praise and criticism alike for taking a stance against increasing complexity in the equities markets.
- Riding the momentum. Trials and joys of setting up a systematic trading shop
SUBSCRIBERS ONLYSince starting in the securities industry almost 20 years ago, Lars Wind has seen a number of crises come and go - the Asian crisis, dot.com bust and the global financial crisis notably. He's worked all over the world developing bespoke strategies, ultimately coming to London to start up his own fund QLO Capital.
- Ferdinand's Legacy - The Alpine adventures of Pecora Capital
SUBSCRIBERS ONLYIn the 1930s, an Italian immigrant-made-good named Ferdinand Pecora went up against some very powerful financial institutions. Having battled against the odds to obtain a law degree, he eventually became counsel to a US Senate committee, where he took on the most famous bankers of the day -- and came out on top. More than 80 years later, Aaron Smith was so inspired by the manís rags-to-reform story he named his fund Pecora Capital. From his Zurich office, he tells Adam Cox how he aims to emulate the firmís namesake using systematic trading techniques to duke it out against the big players in the FX market.
- The accidental quant
SUBSCRIBERS ONLYErnie Chan says it was not by design but by chance that he ended up in the market. As accidents go, it turned out to be a happy one. A theoretical physicist by training, he's also that rarest of traders who likes to talk openly about his ideas rather than keeping them secret. Ernie tells Automated Trader Editor Adam Cox about his research into mean reversion and momentum strategies and his journey from science to finance.
- Financial wanderlust
SUBSCRIBERS ONLYAndrew Auerbach began trading at university and soon realised he'd found his calling. Starting with simple long-only blue chip positions, his strategies became progressively more sophisticated. Now head of Auerbach Group, this young American fund manager is embarking on his most adventurous journey yet as he starts an algorithmic trading fund in Brazil.
- The Campaigner
SUBSCRIBERS ONLYHaim Bodek, founder of Decimus Capital, talks to Automated Trader Editor Adam Cox about his campaign to shed light on the relationship between exchanges and a number of HFT firms.
- Running man: HTG's Chris Hehmeyer
SUBSCRIBERS ONLYIt seems somehow fitting that Chris Hehmeyer got his start as a runner on the floor of the Chicago Board of Trade. That was in 1978 and over the next 35 years he has kept on running. Hehmeyer now runs HTG, a company that embraces all manner of traders. When he's not doing that, he also serves as the chairman of the National Futures Association. Automated Trader caught up with him to hear his thoughts on the value of diversity and what he thinks of some of the impending changes in the marketplace.
- At home in the City of Big Shoulders: XR Trading's Matt Haraburda
SUBSCRIBERS ONLYFrom the floor of the world's oldest futures and options exchange to a high-rise, high-speed trading firm, Matt Haraburda has watched electronic trading come of age. Automated Trader caught up with the head of Chicago-based XR Trading and got to ask him about the challenges of taking on new asset classes, the possibility of volumes returning and what he thinks are the most interesting markets to trade.
- From rural Pennsylvania, Brandywine takes on the world
SUBSCRIBERS ONLYThe old mill on this scenic New England road looks like something straight out of a Norman Rockwell painting. But make no mistake, there's nothing old-fashioned about this place. It's where Mike Dever runs the newly revived Brandywine Asset Management. He began trading more than 30 years ago before spending a decade in the dot com world. Now, back in the markets full time, Mike tells Andy Webb about his twin penchants for diversity and automation.
- Sharekhan shows how a small Indian fund can reap big returns
SUBSCRIBERS ONLYIn this edition of Automated Trader's regular look at smaller players in the automated trading space, Andy Webb talks to Rohit Srivastava in Mumbai, whose firm Sharekhan Limited is the only long-short fund in India. The firm's trend-following tactics have helped it generate a return of 146 percent for the $20 million under management during the six years from early 2006.
- Accentuate the positive
SUBSCRIBERS ONLYPhilippe Bonnefoy is the co-founder of Eleuthera Capital AG, where the investment philosophy is to make profits on capital when markets are not trending, and the belief is that this aim can be most effectively achieved by the use of automation. Larry Levy went to find out more.
- Brain training
SUBSCRIBERS ONLYPeter Wiesing is founder and CEO of Global Arbitrage Group. He has a background in brain research, a track record in the successful application of machine learning to futures markets, and ambitions to get into hedge funds and HFT. Andy Webb went to meet him.
- Perfect Asymmetry?
SUBSCRIBERS ONLYDalton H Mota runs Asymmetrica, a research consultancy in Brazil. He’s a trader as well as a researcher, and finds time to hold down a professorship too. An engineer by (early) training, he’s consulted by global investors and corporations, and he got his start trading popcorn futures. David Dungay went to meet him.
- Enough with the Footsie!
SUBSCRIBERS ONLYIs it break-out time for Osman Latif? After building up a track record by trading FTSE100 futures, the film buff, martial artist and former technical analyst behind K2 London is ready to bring his model to new markets. Larry Levy went to meet him.
- Local knowledge
FREE ARTICLEBernard Orenstein leads the ten-strong team behind the automated high-frequency eStats Revolution Fund, based in Sydney. They‚Äôve been managing their own money for 31‚ĀĄ2 years, and in 2009, they managed a return of 182.73%. The fund‚Äôs leveraged, the drawdowns would also get your attention, and from November, if you happen to have US$1 million to invest, they‚Äôd like to hear from you. Larry Levy went to speak Bernard Orenstein about risk management, volatility and the evolution of an interestingly idiosyncratic automated strategy.
- Lab in a box
SUBSCRIBERS ONLYIn London, in late April 2010, in the bleak but soon-to-be-Olympic surroundings of the Docklands, an experiment took place that could significantly alter our understanding of how humans and machines interact in a trading environment. Six veteran traders and two scientists met in a small room above a trade show to re-enact IBM’s 2001 contest between human traders and adaptive trading technologies. But that was not all. The scientists were also planning to test something else on the human traders involved. Something new... John Howard, Automated Trader’s CEO, was one of those traders. Here, he tells his story.
- Now what?
SUBSCRIBERS ONLYIf you’re stuck for an idea, buy one. Simon Tizard is Executive Director of Trade Ideas Limited (TIL), where the product is exactly as specified on the corporate letterhead. Automated Trader editor William Essex went to find out how well the ideas business has been coping in these troubled times.
- Flying with Kyte
SUBSCRIBERS ONLYHere’s an interesting development. The Kyte Group is offering its expertise in trading technology to other trading groups. It is providing DMA, to multiple trading venues, to algorithmic trading groups, traders with automated trading strategies and traders using FIX connectivity. William Essex speaks to Peter Green, CEO of The Kyte Group, to find out why.
- Short Selling and Risky Margin
SUBSCRIBERS ONLYSince Automated Trader’s Q3 issue hit your desktops, we have been living in interesting times. In our conversations with you in the last few weeks before going to press, two things have been top of your agendas: The short selling ban on financial stocks The security of margin deposits in the event of a clearer’s failure. This issue’s First People feature showcases some of these conversations.
- A basket of abstractions
First person in the Q3 issue is South Africa-based subscriber Schalk Myburgh, Business Analyst, Nedbank Equity Capital Markets, who shares his experience of automated and algorithmic trading on the Johannesburg Stock Exchange with editor William Essex.