<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...

<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...

<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...

<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...

<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...

<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...

<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...

<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...

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?

Great questions- I also would love to know this!

<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...

<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...

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?

<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:...

<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...