SERVING THE QUANTITATIVE FINANCE COMMUNITY

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April 26th, 2013, 6:55 pm
Forum: General Forum
Topic: Do market makers trade in the same securities they "market make"?
Replies: 4
Views: 8053

Do market makers trade in the same securities they "market make"?

<t>I have the book "All About High Frequency Trading" and within it it describes a HF set up. The imaginary firm provide quotes as a market maker, but the book also suggests the same firm also use proprietary algo trading. This seems a bit strange to me if they are trading on the same stocks they ar...
April 5th, 2013, 10:00 pm
Forum: Student Forum
Topic: Markov chain vs Hidden Markov Model
Replies: 1
Views: 9022

Markov chain vs Hidden Markov Model

<t>I just want to implement a simple "price predictor" algorithm (not for production purposes) and I have been looking at markov chains and hidden markov models. At first I started with HMM until I realised my observations (price increase, no increase) were the same as the "hidden" states I was look...
January 11th, 2013, 12:28 am
Forum: Student Forum
Topic: Basic Cash Equity/FX algorithms for High Freq?
Replies: 4
Views: 8860

Basic Cash Equity/FX algorithms for High Freq?

<r>QuoteOriginally posted by: AlanQuoteOriginally posted by: JT77QuoteOriginally posted by: AlanYou might want to look at Hidden Markov Models. You generate prices (S_t) from a joint statisticalprocess (S_t, C_t) where (C_t) is a Markov chain not observed directly (for example, volatility states).Th...
January 10th, 2013, 10:11 am
Forum: Student Forum
Topic: Basic Cash Equity/FX algorithms for High Freq?
Replies: 4
Views: 8860

Basic Cash Equity/FX algorithms for High Freq?

<r>QuoteOriginally posted by: AlanYou might want to look at Hidden Markov Models. You generate prices (S_t) from a joint statisticalprocess (S_t, C_t) where (C_t) is a Markov chain not observed directly (for example, volatility states).Then, you try to recover process parameters and estimates of the...
January 9th, 2013, 4:59 pm
Forum: Student Forum
Topic: Basic Cash Equity/FX algorithms for High Freq?
Replies: 4
Views: 8860

Basic Cash Equity/FX algorithms for High Freq?

<t>Hi,I am doing a project whereby I am simulating a high frequency platform receiving quotes from the market. However, I need some computationally-intensive algorithm, but preferably suited to cash equities or FX (because I am only sending very basic input information into the system- prices)?I don...
July 14th, 2012, 9:27 pm
Forum: Careers Forum
Topic: Quant Developer- what do they actually do?
Replies: 3
Views: 13133

Quant Developer- what do they actually do?

<t>QuoteOriginally posted by: quantmehi could mean anything. "q"-word is fancy, so they attach it to any job to attract people. you have to look at the employer and the group to figure out what it means case by caseThere must be some sort of general consensus what a quant developer does? Or at least...
July 14th, 2012, 6:18 pm
Forum: Careers Forum
Topic: Quant Developer- what do they actually do?
Replies: 3
Views: 13133

Quant Developer- what do they actually do?

<t>Please note: "quant developer" != "quant analyst"I am doing a lot of things in VBA, mainly working with the Quant Team. Officially I am a quant developer but I dont ever get to touch any maths. Currently I am building spreadsheets to turn into models using the quant library. "Pricing" has been me...
April 14th, 2012, 3:09 pm
Forum: Programming and Software Forum
Topic: Papers to help design hobby trading platform?
Replies: 1
Views: 13782

Papers to help design hobby trading platform?

<t>Hi,I am interesting in trading platform architecture and as a hobby project I am writing my own trading platform between two linux machines. I havent been able to find any overly useful papers which detail the various different components of the platform (just a lot of specifics regarding program...
March 3rd, 2012, 3:06 pm
Forum: Careers Forum
Topic: Low Latency - C++ or Java - Current Trends
Replies: 21
Views: 18864

Low Latency - C++ or Java - Current Trends

Well Java cannot be that bad because of the attention Disruptor received!http://martinfowler.com/articles/lmax.htmlAlthough, is it fair to say the Disruptor was more about throughput than latency?
February 28th, 2012, 10:29 pm
Forum: Careers Forum
Topic: Low Latency - C++ or Java - Current Trends
Replies: 21
Views: 18864

Low Latency - C++ or Java - Current Trends

Great questions- I also would love to know this!
January 29th, 2012, 11:44 pm
Forum: Careers Forum
Topic: Quant dev vs Quant Analyst vs FO IT??
Replies: 6
Views: 16409

Quant dev vs Quant Analyst vs FO IT??

<t>QuoteOriginally posted by: capafan2FO IT is not worth it. You will do everything from report debugging, to web development to workflow scripting to get ensure that files which come in from FTP processes are loaded correctly. Others I don't know.I completely agree! The problem is, in order to beco...
January 29th, 2012, 11:40 pm
Forum: Programming and Software Forum
Topic: FPGAs vs GPUs for high frequency?
Replies: 13
Views: 18660

FPGAs vs GPUs for high frequency?

<r>QuoteOriginally posted by: farmerQuoteOriginally posted by: JT77IF I go the FPGA route, would most likely be one of these: <URL url="http://www.advancedio.com/products/function/programmable-network-interface-solutions/I"><LINK_TEXT text="http://www.advancedio.com/products/func ... olutions/I">htt...
January 29th, 2012, 1:53 pm
Forum: Programming and Software Forum
Topic: FPGAs vs GPUs for high frequency?
Replies: 13
Views: 18660

FPGAs vs GPUs for high frequency?

QuoteOriginally posted by: CuchulainnDo you have a particular FPGA board you are going to use? I assume you know VHDL?Do you have any advice as to FPGA vs GPU?
January 29th, 2012, 1:53 pm
Forum: Programming and Software Forum
Topic: FPGAs vs GPUs for high frequency?
Replies: 13
Views: 18660

FPGAs vs GPUs for high frequency?

<r>QuoteOriginally posted by: CuchulainnDo you have a particular FPGA board you are going to use? I assume you know VHDL?IF I go the FPGA route, would most likely be one of these: <URL url="http://www.advancedio.com/products/function/programmable-network-interface-solutions/I"><LINK_TEXT text="http:...
January 28th, 2012, 11:17 pm
Forum: Programming and Software Forum
Topic: FPGAs vs GPUs for high frequency?
Replies: 13
Views: 18660

FPGAs vs GPUs for high frequency?

<t>I am planning my dissertation which will be to showcase my skills for high frequency/low latency trading. I am planning to (attempt to) connect together two computers, one sends simulated data to the other and either:-hack out a lot of the linux kernel, re-write the network stack (write a new one...

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