Automated Trader Magazine Issue 11 Q4 2008
Okay, so that was the collapse of western capitalism. But were you thinking what we were thinking? Every time a bank collapsed, a market hit the floor (and fell through to the sub-basement) and a hedge fund … proved not to be a hedge after all, we thought: it’s news, yes, but is it machine-readable? You’ll find our search for an answer here . And as we look up from the valley of the crash towards the sunlit uplands of next year, you might want to click here , where Ben Van Vliet, Carl Ververs and Phil Perkins of the Institute for Market Technology talk about speeding up the development of new trading models. Even if that really is sunlight, and not another bonfire of the valuations, let’s be ready for it sooner rather than later.
For our Buyside Profile here , we spoke to Brad Preston, Quantitative Analyst at Mergence in Cape Town, about the firm’s evolving use of algorithms and automation across its mix of absolute-return fund, multi-strategy hedge fund and long-only fund. Then, back in London, we spoke to Miles Kumaresan, Head of Quantitative Trading at TransMarket Group, about the development of the company’s High Frequency Quantitative Trading Group. Click here to find Mr Kumaresan.
As you might guess, our strategy recently has been to stay close to the experts. So here , in our Anatomy of an Algo regular feature, you will find a fascinating account of how a buyside trader might use a specialised implementation shortfall algorithm to buy into an illiquid stock, and here , you’ll find some strongly expressed views on the short-selling bans and the security of margin deposits in the event of a clearer’s failure. There’s an investigation into post-MiFID Europe here , and here , you’ll find one BRIC that certainly doesn’t seem to be crumbling.
There’s light at the end of the tunnel. And it’s getting closer …
Enjoy the issue.
Editor Issue 11
- Short Selling and Risky Margin
Since 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.
- The Buyside Profile: Mergence, Cape Town, South Africa
Headquartered in Cape Town, Mergence is an interesting mix of investment businesses; part absolute return fund, part multi-strategy hedge fund, and part long-only fund. Automated Trader talks to Brad Preston, Mergence’s Quantitative Analyst, about the firm’s evolving use of algorithms and automation across its business units.
- Saved by the bells?
It’s not every MTF in Europe that has its own bell to sound the start of trading, but much of the comment on MiFID’s first year does have a celebratory ring to it. William Essex goes in search of harmony in a fragmented market.
- Me and My Machine: The Automated Trader Interview
Miles Kumaresan, Head of Quantitative Trading at TransMarket Group Ltd, talks to Automated Trader’s Editor, William Essex, about the development of the company’s High Frequency Quantitative Trading Group.
- The Shock of the News
Machines can read the news now, but can they be trusted to act on it? There’s been a lot of talk about machine-readable news since our Q1 2008 feature*, but does that go any further than adding bells, whistles and meta-tags to the text streaming across the bottom of the screen? Spurred on by recent events, William Essex has returned to the search for a genuinely machine-usable news solution.
- Building a better autoBRIC
Automated Trader spoke to a range of market participants in Brazil, to gauge the take-up of automated and algorithmic trading in the ﬁrst of the BRIC economies.
- Rapid Model Deployment (RMD): The new race for speed in systematic ﬁnance
These days, speed is of the essence in more than just order routing. Phil Perkins, Ben Van Vliet and Carl Ververs of the Institute for Market Technology explain how a rigorous process for rapid trading model development is becoming an absolute necessity.
- Implementation shortfall algorithm for illiquid stocks
Scott Bradley, Head of Electronic Client Solutions Sales EMEA and Chris Andrew, Head of Product Development for EMEA, Electronic Client Solutions at J.P. Morgan outline the use of an implementation shortfall algorithm designed for illiquid stocks to acquire a position in Victrex.
One of the major headaches with institutional automated and systematic trading is ensuring security of intellectual property (IP). As our “Me and My Machine” interviewee, Miles Kumaresan, points out (on page 36), while it is possible to identify another trader’s strategy from its market footprint, a far greater risk of IP loss lies in it physically walking out of the office door. However, an offshoot of mobile phone technology may just have the answer…
- Trend Alphability
Automated Trader’s proprietary tradability metrics are environmental statistics intended to assist those building trading models/systems in determining which markets and timeframes are most favourably responsive to which generic types of model.
- What do we know?
You couldn’t make it up – or could you? Maybe it’s time to stop thinking outside the box and start watching it instead.