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20
votes
8answers
3k 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 ...
4
votes
4answers
1k 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. ...
3
votes
5answers
364 views

Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?

Allow me to explain. You look back from some period to the present. Say a week ago to now, using a per-minute view. You then crawl through your database of past price data, and you try to find a ...
1
vote
2answers
81 views

Controlling portfolio concentration

I'm working with a heterogenous basket of instruments (in volatility terms). Risk parity allocation seems to be useful for the portfolio( * 1/Volatility). However, there are times when the ...
1
vote
0answers
39 views

How do I determine what is a separate objective in a multi-objective portfolio optimization?

Is there a general rule to determining when to separate objectives when developing a multi-objective portfolio optimization? For example, one might start with a standard portfolio optimization of ...
1
vote
0answers
62 views

What is the algorithm for the Fama-Bliss instrument selection?

Fama-Bliss discount bonds are defined through a straight forward calculation (Famma, Bliss 1987). For the purposes of a project I need to derive forward rates, yields &c. for periods not included ...
0
votes
0answers
28 views

Approaches to check/validate the output of an optimization algorithm

Let's say we want to optimize the a function $f(x_1,\dots, x_n)$ with $(x_1, \dots , x_n) \in \mathbb{D}^n$. For the sake of simplicity let $\mathbb{D}^n$ be the unit sphere. We chose an optimization ...
5
votes
2answers
216 views

Algorithmical replication of a profit and loss function using different options

I often see questions like "Given this payoff graph (example below), construct a portfolio that replicates it." I want to know if there is an efficient method/algorithm to find the individual pieces ...
6
votes
0answers
1k 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 ...
5
votes
0answers
918 views

Algorithm to fit AR(1)/GARCH(1,1) model of log-returns

I am fitting numerically an AR(1)/GARCH(1,1) process to index and stock log-returns, $r_t=\log(P_t/P_{t-1})$, where $P_t$ is the price at time $t$, and thus far am not clear on where the observed log ...
4
votes
3answers
785 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 ...
-2
votes
1answer
287 views

How to look for fractals/harmonics patterns in time series?

I want to build trading systems based on two things: 1)Fractal Theory 2)Harmonics Pattern I have read the book : The Misbehavior of Markets: A Fractal View of Financial Turbulence By Mandelbrot ...
32
votes
8answers
11k 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 ...
3
votes
0answers
557 views

Calculating most profitable arbitrage orders on multiple market with fixed and variable fees

If I have multiple markets (let's say 5, but the solution should be generic) trading the same stock/commodity/whatever, and the markets differ in both variable fees (which are in % of the trade order) ...
2
votes
0answers
486 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
5k 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
158 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 ...
1
vote
1answer
222 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 ...
3
votes
1answer
541 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 ...
5
votes
3answers
418 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 ...
2
votes
1answer
1k 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
205 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
660 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 ...
3
votes
0answers
485 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 ...
8
votes
2answers
1k 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 ...
16
votes
8answers
3k 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 ...