SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by quantumar
April 28th, 2010, 12:48 am
Forum: Trading Forum
Topic: Trading costs in Forex Trading
Replies: 7
Views: 72341

Trading costs in Forex Trading

Funds which have prime broker can close a EURUSD trade through USDJPY and EURJPY trades. It doesn't matter if you are a big or small fund.Retail clients usually don't have that option.
by quantumar
August 14th, 2009, 8:08 pm
Forum: Trading Forum
Topic: Forex data feed question
Replies: 7
Views: 38063

Forex data feed question

<t>Your contact at Gain is right about the data not being central. Other places can give you data info but they are only giving you what is traded on their platform. If a big bank sold 50million EURO on EBS and another trader bought 100K on IB you will see 100K BUY order only. As a result your data ...
by quantumar
July 27th, 2009, 1:30 pm
Forum: Trading Forum
Topic: Autohedging fx spot positions
Replies: 31
Views: 63005

Autohedging fx spot positions

<t>This is a year late response but i just saw your posts. QuoteYou said you use signal analysis. My understanding is that methods like Fourier and Wavelet anlaysis are correlation based. The frequency coefficients (or scale for wavlets) are equivalent to correlations between the dataa and the under...
by quantumar
June 23rd, 2009, 5:16 pm
Forum: Programming and Software Forum
Topic: Anything better than RTD?
Replies: 19
Views: 41173

Anything better than RTD?

Data is being pushed through the COM objects rather than RTD if i don't miss recall to get those speeds.
by quantumar
June 18th, 2009, 5:52 pm
Forum: Programming and Software Forum
Topic: Anything better than RTD?
Replies: 19
Views: 41173

Anything better than RTD?

Check out Omniquant.com and gatea.comGatea was able to push data into excel around 500 microsecond latency. They both can use excel as a front end. They might be solutions to what you are looking to do.
by quantumar
May 22nd, 2009, 2:52 pm
Forum: General Forum
Topic: pairs trading
Replies: 37
Views: 116820

pairs trading

<t>The vast majority of successful pure quantitative stat arb funds are not hedge funds in this arena. It's mostly prop shops that have the infrastructure and speed to play ultra high frequency stat arb game. They are not open for investments as a result they don't publish their returns or don't hea...
by quantumar
February 28th, 2009, 2:58 am
Forum: Trading Forum
Topic: Tick data without milliseconds
Replies: 12
Views: 45955

Tick data without milliseconds

I don't deal with emerging markets so I don't know much about it but I know that Reuters has data for emerging equity markets but it might be expensive. I would contact the exchanges in those countries directly to get more information.
by quantumar
February 28th, 2009, 2:43 am
Forum: Trading Forum
Topic: Tick data without milliseconds
Replies: 12
Views: 45955

Tick data without milliseconds

<t>You won't find tick capturing programs by themselves, they come with tick capturing solutions with tick databases which start from roughly $100,000.You can buy tick data say 6 months of all US Equities for $6,000 or buy 100 symbols for a $1,000. Easiest and cheapest way to go with it is to write ...
by quantumar
February 28th, 2009, 2:31 am
Forum: Trading Forum
Topic: Tick data without milliseconds
Replies: 12
Views: 45955

Tick data without milliseconds

<t>You may get how many milliseconds have passed since midnight from where the exchange is located as a time stamp that comes with data in equities. Once you have your internal time stamps added to the data table, the difference between your time stamp and the exchange/broker time stamp will be very...
by quantumar
November 24th, 2008, 9:15 pm
Forum: Programming and Software Forum
Topic: CEP
Replies: 3
Views: 55197

CEP

<r>Open source CEP: <URL url="http://esper.codehaus.org/I">http://esper.codehaus.org/I</URL> would also recommend to download StreamBase and check it out: <URL url="http://www.Streambase.comThere">www.Streambase.comThere</URL> is also <URL url="http://www.progress.com/apama/index.ssp">http://www.pro...
by quantumar
October 30th, 2008, 7:27 pm
Forum: Programming and Software Forum
Topic: CEP
Replies: 3
Views: 55197

CEP

I don't know if you are still looking for information on CEP engines and companies. I recently went through very thrill due diligence with some of the CEP providers. If you are still interested let me know.
by quantumar
August 14th, 2008, 3:27 pm
Forum: Careers Forum
Topic: PhD + Job
Replies: 7
Views: 51568

PhD + Job

<t>I did not hear any bank sponsoring for a PhD, some banks sponsor for masters though. You are very likely to pay for yourself or get a scholarship from the school but it's also though to get full scholarship from school unless you are a fulltime student. It's just not seen as favorable by neither ...
by quantumar
August 12th, 2008, 5:56 pm
Forum: Careers Forum
Topic: PhD + Job
Replies: 7
Views: 51568

PhD + Job

<t>I finished my graduate degree when I was working too. Even though it's harder to do both at the same time there is also a motivational aspect of applying what you learned in school to work directly. It helps to learn more and motivate yourself to study. If you are planning to stay in stat arb are...
by quantumar
June 23rd, 2008, 7:59 pm
Forum: Careers Forum
Topic: Citi ATA Offer accepted, Shd I start job search again?
Replies: 11
Views: 65012

Citi ATA Offer accepted, Shd I start job search again?

Has anyone heard Citi's new alternative investment group. I heard they hired ex Process Driven Trading Head from Morgan and are restructuring, any comments on details?
by quantumar
June 8th, 2008, 3:10 pm
Forum: Careers Forum
Topic: SAEN Options
Replies: 2
Views: 53183

SAEN Options

Do you know anyone who works or worked there?
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