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Strategies: Optimisation Algorithms for Automated Trading
FREE ARTICLEAutomation opens up the possibility of trading multiple models or the same/similar model with multiple parameter sets. However, that raises the question of how best to optimise those parameter sets. Chris Donnan, who works in equity derivatives trad read this
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Peek Ahead: DIY Disaster
FREE ARTICLEHow one fund house's attempt to build its own algos proved a rocky road to reality. read this
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Portware, Random Walk and IBM Elevate Algorithmic Trading to the Next Level
FREE ARTICLEPortware, Random Walk Computing and IBM has announced Portware on POWER, a new solution for algorithmic trading that combines Portware's Strategy Server and IBM System p entry-level servers with Random Walk?s consulting and integration services. The sys read this
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Investec goes live with the Fidessa ? algorithmic tools
FREE ARTICLERoyalblue (LSE:RYB), provider of Fidessa, has announced that Investec Securities (UK) has gone live with Fidessa's Pairs and VWAP algorithmic trading modules. Investec, a specialist banking group providing financial services in the London, South African a read this
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Technology Workshop: Java - Your High-Frequency Friend
FREE ARTICLEAn article in the April issue of AT (“You’re using what?!”) questioned the suitability of Java for high frequency automated trading. Matt Schruben, Principal Consultant, Random Walk Computing and Jim Levey, Director of Marketing, Random Walk Computing pro read this
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Market heterogeneities and the causal structure of volatility - Part 1
FREE ARTICLEThe correlation between historical and realized volatilities is studied empirically for a large range of time intervals. Similarly, the correlation between the volatility changes and the realized volatilities is studied. Both quantities measure the respon read this
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FPGA's - Parallel Perfection?
FREE ARTICLEFPGAs (Field Programmable Gate Arrays) may not be new technology, but as the data crunching race in automated/algorithmic trading continues to intensify, could they be an idea whose time has finally come? AT talks to Alistair MacArthur, Senior Resear read this
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Market heterogeneities and the causal structure of volatility - Part 2
FREE ARTICLEPart two of the paper exploring the correlation between historical and realized volatilities. By Paul Lynch and Gilles Zumbach read this
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Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading - Part 1
FREE ARTICLEIn 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. Precise read this
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Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading - Part 2
FREE ARTICLEPart 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 this
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Algorithmic trading: fact or fiction?
FREE ARTICLEThe rise in the popularity of algorithmic trading has been accompanied by a commensurate increase in the amount of marketing material that relates to algorithmic trading. Unfortunately a significant proportion of this material has a tendency to confuse ra read this
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Assessing the Risk and Return of Financial Trading Systems - a Large Deviation Approach
FREE ARTICLEWe 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 a read this
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Entropy Rate and Profitability of Technical Analysis: Experiments on the NYSE US 100 Stocks
FREE ARTICLE 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. T read this
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Financial Data Mining with Genetic Programming: a Survey and Look Forward
REGISTERED VIEWERS 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 read this
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Speed to Market
QUALIFIED REGISTRANTS & SUBSCRIBERSHow is the latest technology accelerating the development and implementation of algorithms and automated trading systems? AT asks leading solutions providers to share their views. read this
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Plimsoll Takes the Plunge
QUALIFIED REGISTRANTS & SUBSCRIBERSTo offer greater diversification to investors, US-based Plimsoll Capital introduced Armada, a portfolio of automated strategies. Tom Parry, Director of Algorithmic Trading, tells AT how the FX-focused asset manager built the platform on which Armada now s read this
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Evidence-Based Technical Analysis: Statistical Analysis
REGISTERED VIEWERSThe 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 part read this
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Evidence-Based Technical Analysis: Hypothesis Tests and Confidence Intervals
REGISTERED VIEWERSThe 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 oppo read this
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Data-Mining Bias: The Fool’s Gold of Objective TA
REGISTERED VIEWERSThe 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 oppo read this
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Statistical Arbitrage
REGISTERED VIEWERSStatistical Arbitrage: Algorithmic Trading Insights and Techniques Chapter 2 Statistical Arbitrage read this
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The Role of Advanced Models in Performance Boosting
SUBSCRIBERS ONLYIn 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 this
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Cream Rising
SUBSCRIBERS ONLYBlackCat 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 this
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Teak Technologies Raises 10GE Performance Bar to Unmatched Level
STILL EDITINGMarch 28th 2008 - Focused Squarely at Building Switching Solutions to Accelerate Data Center Applications, Teak's AZ-10GE Technology Enables 10GE Links to Operate at Line Rate Without Packet Loss Across All Traffic Loads Including Those With Random Arriva read this
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XtremeData and Altera Demonstrate the Power of Intel® QuickAssist Technology and the XtremeRNG Library at the Spring Intel Developer Forum.
STILL EDITINGApril 2nd 2008 - At the Intel® Developer Forum (IDF), now in progress in Shanghai, XtremeData™, Altera®, and Intel® Corporation (Nasdaq: INTC) are demonstrating acceleration of a full double-precision floating point simulation of a Monte Carlo financial read this
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FPGA Acceleration of European Options Pricing
REGISTERED VIEWERSToday, 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 th read this
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Do Black Swans Swim in Dark Pools?
SUBSCRIBERS ONLYThe continued rise of dark liquidity and the development of more sophisticated execution algorithms could increase regulatory obligations on brokers and/or exchanges, according to Mary Lou Von Kaenel, Managing Director, Management Consulting, Jordan & J read this
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Machine Learning + Regime Switching = Profitability?
SUBSCRIBERS ONLYThe concept of regimes – such as bull and bear markets – is elemental to financial markets. The desire to predict regime switches, commonly known as turning points, is similarly elemental. Ernest Chan, CEO of E. P. Chan & Associates, examines a possible t read this
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Appro, XtremeData Demo FPGA Parallel Processing Power
FREE ARTICLEJune 3rd, 2008 - Appro will demonstrate performance acceleration of a full double-precision floating point Monte Carlo financial simulation analys is at the SIFMA Technology Management Conference in New York, NY, June 10-12, booth 3105. read this