Automated Trader Magazine Issue 42 Q1 2017
Please note that Quantology and How much is your zero collar worth? are not available in HTML at the moment. You can however access them through the Digital Edition.
- Regime changes in automated tradingThe term structure of interest rates provides many opportunities for systematic traders. The level, slope, curvature and volatility of interest rate markets are all heavily regime-dependent. Early identification of changes in regime is key for developing successful trading strategies.
- Trends in market share of derivatives clearingThe financial crisis led to the biggest overhaul of regulation since the Great Depression. We examine how the new rules have affected the market for derivatives clearing in the US.
- QuantologyQuanto payoffs are one of the oldest exotic features in finance. Yet, they only receive passing mention in the literature. This neglects that they offer some very intuitive insights into the concept of dynamic replication and make the topic accessible without having to resort to stochastic calculus techniques.
- Financial Programming Greatly AcceleratedFPGAs are about to become a lot more attractive as the technology of choice for cutting-edge application development. Pre-compiled numerical libraries and an integrated software stack, combined with a new class of closely-coupled silicon devices, are the drivers.
- The difficulty of identifying multi-broker spoofingTrading through multiple brokers has been used by spoofers to help avoid detection. New regulations for cash equity markets in the EU and US are designed to curtail the practice.
- How much is your zero collar worth?Hint: It's not zero. A widespread shortcut used in swaption pricing led to an opportunity for dealers to engage in model arbitrage and to buy cheap convexity.
- Developing a short-term machine learning strategyOpen-source software for machine learning is widely available for standard data analysis packages. We examine how a stack built on these can be used for time series prediction.
- The relationship between trading frequency and achievable alphaSome of the most successful investors have long holding periods and investors are often advised to "buy and hold". We investigate how the average holding period of an optimal trading strategy relates to the alpha it can generate. Is longer really better?
- No SignalNO SIGNAL is a regular column where we examine various snafus in the trading, particularly the automated trading world. We look at errors in application logic, mistakes by overzealous co-workers, failures in technology and temporary losses of power to both infrastructure as well as craniums. These all make for good stories that everyone can alternatively either learn from or be amused by - or both. If you have a story that you think makes for a valuable lesson or is simply funny in a facepalm moment kind of way, please get in touch with us at firstname.lastname@example.org. Naturally, we treat all submissions with the highest confidentiality. We are only interested in the lesson value, or in some cases the humour value, and not in identifying involved parties.