The Gateway to Algorithmic and Automated Trading

Automated Trader Magazine Issue 32 Q1 2014

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Who likes scrubbing up? Some people like cooking and pretty much everyone likes dining, but the prospect of scouring dishes and cutlery is generally not high on most people’s list. And yet, at the risk of food poisoning, it simply has to be done. It’s not a bad metaphor for the business of dealing with data. Quantitative analysts, traders and fund managers seem to love performing research, building models, and ultimately testing and implementing strategies. But what about that tedious chore of making sure the data is clean in the first place?

As we learned during a visit to a hedge fund office some time ago, data cleansing is one of the most fundamental and underappreciated aspects of running a good trading operation. So we decided to devote this issue to the theme of data hygiene and data quality.

In Eternal Sunshine of the Spotless Data (p 18), we speak to data experts, consultants, vendors and users to get a rounded picture of some of the pitfalls involved in the all-important task of making sure your data is as pristine as possible. Along the way, we get the insight of an author who has written a book about data cleansing and discovered something ironic -- the act of data cleansing itself can make your data dirty.

We also have a separate in-depth look at data standards, as we delve into an initiative that could be transformative: Market Model Typology (p 28). Inspired by a regulatory push, this is a truly industry-led solution to a vexing data issue. And it looks like it could have a huge impact on the consolidation, normalisation and provision of market data.

In our regular look at algorithmic trading in different locations around the world, we venture over to Sweden this time (p 36). It’s a country that both embraces and takes a cautious view towards high-frequency trading. We speak to the main exchange, the local regulator, an academic and several others to understand the business of high-speed trading, Swedish-style.

Our two main in-depth Q&A articles with prominent buy-side players both have a scientific theme. 

In First Person (p 10), we hear from Ernie Chan, a man who trained as a scientist but for an unusual reason -- his distaste for commuting -- decided to become a quant. And he now has a devoted following eager to hear about his ideas for momentum trading versus mean reversion.

Meanwhile, in Me and My Machine (p 44), the men behind Systematic Alpha Management tell us how scientific techniques such as understanding wind turbulence can help them make money in today’s markets. 

It’s another issue chock full of insights you won’t find anywhere else, and we certainly had fun putting it together. We hope you have just as much fun reading it.

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