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by BornToBeTrader
February 10th, 2019, 10:15 pm
Forum: Trading Forum
Topic: Detecting front running using machine learning algorithms
Replies: 9
Views: 5243

Re: Detecting front running using machine learning algorithms

Not all front running is illegal. The ability of high frequency traders to sniff out large orders legally was the subject of Michael Lewis's book 'Flash Boys'. perhaps the original poster could clarify what he means by "front running" I always took it to mean when a broker (or firm) executed their ...
by BornToBeTrader
February 10th, 2019, 10:00 pm
Forum: Trading Forum
Topic: Detecting front running using machine learning algorithms
Replies: 9
Views: 5243

Re: Detecting front running using machine learning algorithms

I suspect you're getting way ahead of yourself and need some basic background. Two suggestions on that: .... Anyway, you need first to become a 'domain expert' on the subject or have access to some. Whether or not machine learning is helpful in detection seems a secondary question. An assignment fr...
by BornToBeTrader
February 9th, 2019, 6:54 pm
Forum: Trading Forum
Topic: Detecting front running using machine learning algorithms
Replies: 9
Views: 5243

Detecting front running using machine learning algorithms

Hi Everyone,  I apologize in advance if this isn't the right forum for this or if this question has been answered before (I tried searching and I couldn't find it).  I'm actually working with the execution desk where we have tick level data for the past one year and I have their trade blotter for th...
by BornToBeTrader
August 23rd, 2018, 12:15 pm
Forum: Programming and Software Forum
Topic: Hello World in all Languages, post here
Replies: 81
Views: 127334

Re: Hello World in all Languages, post here

Python:

print("Hello World!")
by BornToBeTrader
June 25th, 2015, 6:28 pm
Forum: General Forum
Topic: Market data for illiquid currencies
Replies: 1
Views: 3589

Market data for illiquid currencies

I have used some proxies for certain currencies but it was only for calculating GMR and some of the illiquid currencies were a part of it. If you are looking to actually price products, I would recommend try getting the data directly of the central bank website.
by BornToBeTrader
June 25th, 2015, 6:25 pm
Forum: General Forum
Topic: Best books on Macro Finance?
Replies: 3
Views: 4177

Best books on Macro Finance?

<r>There's a book called Currency Trading and Intermarket Analysis by Ashraf Laidi. Its a good book to give you a brief overview of how everything has related to one another historically and the set of events which lead the world's macro economies to their current state. It might be a good starting ...
by BornToBeTrader
June 12th, 2015, 1:42 pm
Forum: Technical Forum
Topic: Risk Weighted Assets
Replies: 3
Views: 3151

Risk Weighted Assets

<r>Hi Orbit, Thanks for your reply. It certainly shows a growth pattern.(sorry but I don't know why wilmott was not accepting a jpeg uplaod. So I posted the screenshot here).<URL url="https://www.flickr.com/photos/133994830@N04/shares/G0Qgn1Screenshot"><LINK_TEXT text="https://www.flickr.com/photos/...
by BornToBeTrader
June 10th, 2015, 3:15 pm
Forum: Technical Forum
Topic: Risk Weighted Assets
Replies: 3
Views: 3151

Risk Weighted Assets

<t>I am dealing with a project where I have to optimize the Risk Weighted Assets. The RWA currently consists of 3 components. ? Incremental Risk charge (IRC) ? Value at Risk (VaR) ? Stressed VaR (SVaR) Lets say for example that RWA [$]=[$] [$]a_1[$] VaR [$]+[$] [$]a_2[$] SVaR [$]+[$] [$]a_3[$] IRCI ...
by BornToBeTrader
December 5th, 2010, 11:05 pm
Forum: Numerical Methods Forum
Topic: Java Time Series
Replies: 9
Views: 36371

Java Time Series

Hopefully the basic stuff that I can easily do in Matlab. Cointegeration, ARMA, ARIMA, ARCH, GARCH, and hopefully, some non-linear regression. I know a possibility is to connect Java to MAtlab (I'm guessing it should be doable), but that'll slow things.
by BornToBeTrader
September 24th, 2010, 1:02 am
Forum: Numerical Methods Forum
Topic: Java Time Series
Replies: 9
Views: 36371

Java Time Series

Can Anyone recommend any time series libraries already coded in Java. One link I found is below, but I'm wondering if anyone has used it. I was hoping to get some comments before I put it in my project?http://www.jmulti.de/
by BornToBeTrader
August 22nd, 2010, 4:16 am
Forum: Trading Forum
Topic: fx quantitative strategies
Replies: 2
Views: 28459

fx quantitative strategies

<t>there are tons...Just google them. e.g. the following are machine learning ones, that I've read. Neural network architectures for efficient modeling of FX futures options volatilitySVM Based Models for Predicting Foreign Currency Exchange Rates.I guess once you the know the quantitative methods, ...
by BornToBeTrader
July 23rd, 2010, 8:13 pm
Forum: Careers Forum
Topic: High GPA / Grade inflation
Replies: 24
Views: 28102

High GPA / Grade inflation

<t>QuoteOriginally posted by: mrmisterHow has your GPA worked out for you, Jawabean? If you think grad school GPA is important, you must have been a moron when it came to research.LMAO. Good one. I have to say that when coming out of school, (grad or undergrad) the employer doesn't have much to judg...
by BornToBeTrader
July 22nd, 2010, 8:05 pm
Forum: Trading Forum
Topic: is this Kelly Criterion correct
Replies: 4
Views: 29835

is this Kelly Criterion correct

Can you be more specific about your question?
by BornToBeTrader
July 21st, 2010, 7:13 pm
Forum: Careers Forum
Topic: Interview with Jump Trading && Madison Tyler Holdings.
Replies: 2
Views: 30237

Interview with Jump Trading && Madison Tyler Holdings.

Well, at Jump its a position in identifying and reducing Latency in high frequency space. Madison Tyler, they just called me to tell me that they'd like to interview me. I know they ask a lot of probability questions. Other than that, not sure. I wonder what the compensation is like.
by BornToBeTrader
July 20th, 2010, 6:49 pm
Forum: Careers Forum
Topic: Interview with Jump Trading && Madison Tyler Holdings.
Replies: 2
Views: 30237

Interview with Jump Trading && Madison Tyler Holdings.

<t>I have an interview coming up with these two firms. I know that I have to prepare for usual Quant Finance (Questions in Crack) for the interview. However, I was wondering if anyone who has interviewed with either of these firms can share their experience. I was told that Jump Trading specifically...
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