The algorithm tag has no wiki summary.
1
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0answers
105 views
How does Hanson's Market Maker (LMSR) work?
Implementing Hanson's Market Maker states:
If the market maker wants to quote a "current price", he can. The
current price for outcome 1 is:
$$
\mbox{price1} = ...
16
votes
5answers
2k views
How to identify technical analysis chart patterns algorithmically?
I'm working on a small application that will provide some charts and graphs to be used for technical analysis. I'm new to TA but I'm wondering if there is a way to algorithmically identify the ...
3
votes
2answers
129 views
How to simulate one-minute bars data from one-day bars?
I need to generate one-minute bars out of one-day bars to test the performance of an algorithm (speed, memory usage, etc).
I don't need them to resemble real data, but they should be consistent with ...
4
votes
3answers
431 views
Fastest algorithm for calculating retrospective maximum drawdown
Simple question - what would be the fastest algorithm for calculating retrospective maximum drawdown ?
I've found some interesting talks but I was wondering what people thought of this question here.
...
-5
votes
1answer
513 views
Algorithmic trading in lunux using python [closed]
Is there any real time trading platform in linux in which one can test automated trading scripts written in python by ordering to a broker in a trial or demo account? Is IbPy is the way to go? But IB ...
3
votes
2answers
488 views
Searching for pairs-trading in sub O(n^2 t) time
Let there be $n$ stock symbols.
Let each stock symbol have exactly $t$ ticks (with all ticks miraculously aligned.)
We are now searching for potential pairs for pair trading.
A brute-force solution ...
1
vote
1answer
188 views
Fastest algorithm for extracting 25% and 75% marks
I'm hand rolling some visualization algorithms.
Extracting the min/max of a time series is $O(n)$, for n entries.
If I want the 25% and 75% mark, I could use an $O(n \log n)$ time sort, then get the ...
5
votes
0answers
517 views
Volatility-Based Envelopes
I am following an article by Mohamed Elsaiid (MFTA) about Volatility-Based Envelopes - a quite new technical indicator he has introduced, that is being used by Bloomberg. My goal is to get a simple ...
3
votes
1answer
387 views
What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?
There are many disciplines that have contributed to how one model's risk and return. Physics introduced Brownian motion and RMT. Machine learning has helped to solve complex portfolio construction ...
19
votes
6answers
2k views
How good is managed code for algo trading?
I am currently working in a firm that does algo trading. We do all of our stuff in Java. And we do make money out of it. We have debates all the time whether we would have made more money with native ...
5
votes
3answers
345 views
Means of inferring trading algorithms from competition trade data
I'm analyzing trades from several participants in a trading competition, and I was wondering - are there known mechanisms for analysis and inference of the logic in a set of trades done by one ...
1
vote
1answer
673 views
Home/hobbyist quant trading - possible to profitable or just an intellectual hobby? [closed]
I've been researching algorithmic (non discretionary) trading at the several-day to month timescale, i.e. not HFT. I am not interested in voodoo i.e. no technical analysis, I am looking for solid ...
1
vote
1answer
133 views
accumulation/distribution and options to create excessive position to hit the tape with later
I am curious about possibilities and theory here. Basically a "problem" with trying to get large positions is that it would move the market in the direction that you are loading up on, therefore ...
13
votes
2answers
564 views
How do you distinguish “significant” moves from noise?
How do you distinguish between losses that are within the normal range for day-to-day shifts and situations with a real potential for loss? The specific application I have in mind is pattern ...
25
votes
7answers
6k views
How useful is the genetic algorithm for financial market forecasting?
There is a large body of literature on the "success" of the application of evolutionary algorithms in general, and the genetic algorithm in particular, to the financial markets.
However, I feel ...
2
votes
0answers
392 views
signal processing + finance? [closed]
I am a postgrad student doing a master in Signal Processing and I have graduated from an engineering school
I was wondering if there are any jobs in finance that are opened to people having this kind ...
7
votes
2answers
908 views
Algorithm for the choice of stocks for a equity scalper/market maker to engage in?
Assume a scalper/market maker who is operating on an exchange with $N$ stocks with different characteristics such as current market value, average bid-ask spread, average daily volume and historical ...
15
votes
8answers
2k views
What kind of basic framework or application do you use to run your trading algorithms?
I heard about MetaTrader from http://www.metaquotes.net. Is there any other framework or program available? Do you use different software for backtracking and running your trading algorithms?
Thank ...
