<t>I can see I've been away too long. Blame the press of increasing the trading we're doing by an order of magnitude or so, courtesy of GA-evolved agent-based systems. Some good points that struck me reading through this thread. (Sorry, Omar!)mitmanager:QuoteI just ponder at times - is human behavio...

<t>Fermion wroteQuoteNow here is my problem. First, I am new to the financial engineering field and have little or no contacts. Second I have no trading experience. Third I don't have much money to experiment with. Fourth, no one is likely to believe my claims -- particular the claims to explain the...

<t>dgn2 wroteQuote Ideally, I would apply Genetic Algorithms (GAs) to money management rule design jointly with trade selection. This is something I would like to work towards, but currently I have not reached that level of sophistication. Any advise for someone looking to increase expertise in this...

<t>DC wroteQuoteTrendfollower, since it seems you may have some experience in building and testing trading systems, I'd like to pose the following question: Assuming you split the process into 2 distinct elements, trade selection and money management, would you still optimize the former (i.e. trade ...

<t>Anthis askedQuoteIf i got your hint you say that your model assumption is that you have to/can close any position in a period of ten working days at least. Right?Unless your Investment horison is really long and/or the asset's return volatility is really low, then dont you think that you risk see...

<t>Wolf/DC,We use GAs to develop trading strategies for FX and FI on daily data. For development and backtesting we use the worst of the open-close prices of Day+2 (which is when one can actually trade the signal) for the specific trade. Thus, for example, if the signal on Day+1 is to increment a lo...

<t>TheTiger wroteQuoteIs it viable to apply data mining techniques to the financial market context? I actually mean whether is money-mining possible by applying such stuff as genetic algorithms, neural nets and fuzzy logic to identify patterns in security prices.Sure it's possible. GAs are fancy sea...

<t>QuoteOriginally posted by: JabairuStorkThis is not really my area of exptertise, but to address dc's point, couldn't you take the base fee in the form of a loan, or else include a clawback provision which amounts to the same thing? That way the cllient knows that the manager has the minimum capit...

<t>QuoteOriginally posted by: FloorTrader What Capital are the bank putting up?What Return on Investment do you expect to make?Most important of all, how much do you want to make (in dollar terms)?A simple formula should answer your question:Capital * R.o.I. * Perfomance Compensation (%) = your (Per...

<t>We're setting up a trading operation with a major investment bank. We will 'stand outside' the bank, trading their proprietary capital as an outside contractor. As it stands now, they have agreed to pay what amounts to a 'salary' - a fixed monthly fee for doing the trading. Now we have to negotia...

<t>Galilei wroteQuoteI think most of the people over here (I don't know their backgrounds, but assuming most are quants - practitioners -, academicians and/or soon-to-be-quants) still don't know the definition of what they are actually doing. Maybe they do know it, but don't want to know it. It seem...

<t>FDAXhunter: " Nuke 'em till they glow, then shoot 'em in the dark." That's been driving me bats. Is it Niven/Pournelle? "Footfall" or something like that?BTW, I made leave money pretty regularly in the US Navy playing poker, mostly by being careful of who was in the game. I hung around with a cou...

<t>kutilya,Thanks for thinking of me. I circle through Wilmott every few weeks to read but haven't posted anything. I've been wholly swamped for several months with negotiations and business expansion. I hope to see a light at the end of the tunnel (or high ground in the swamp) soon, and if, as, and...

<t>I ran into the term "reputational risk" recently in a slightly different context. Talking with a state pension fund manager, he said "If I invest in a hedge fund and it makes money I don't get any points, but if I lose money my reputation takes a hit." It's sort of like the old investment managem...

<t>Less and less, actually. Through no foresight at all on our part, we wrote our earlier programs in a modular fashion, not because we had great plans to re-use the modules but because it was easier given the tasks we had set ourselves. It turns out that most of the modules are re-usable, so we don...