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by slacknoise
June 30th, 2014, 4:59 pm
Forum: Trading Forum
Topic: Pairs Selection in Arbitrage Trading
Replies: 13
Views: 6149

Pairs Selection in Arbitrage Trading

skype roundtable would be difficult due to time differences i think
by slacknoise
June 30th, 2014, 1:19 pm
Forum: Trading Forum
Topic: Pairs Selection in Arbitrage Trading
Replies: 13
Views: 6149

Pairs Selection in Arbitrage Trading

One more question are you investigating your pairs in excel or other software? I am planning on analysis in Matlab and would like to know whether you tried things concerning.
by slacknoise
June 30th, 2014, 1:18 pm
Forum: Trading Forum
Topic: Pairs Selection in Arbitrage Trading
Replies: 13
Views: 6149

Pairs Selection in Arbitrage Trading

<t>Buch, In general i am doing exaclty the same just with different approaches investigating appropriate pairs. For example Principal Component Analysis with Eigenvector etc. acastaldo has mentioned the importance of dividing the backtesting periods in two. I would recommend you as well doing this. ...
by slacknoise
June 19th, 2014, 6:02 pm
Forum: Trading Forum
Topic: Bulltick order routing
Replies: 1
Views: 4110

Bulltick order routing

<t>I would like to know if there is a general preference for bulltick or Interactive Brokers. Are the fees with bulltick negotiable? I think Interactive Brokers is more for family office and small brokerages whereas bulltick is more suited for large hedge funds. Any advises information concerning th...
by slacknoise
June 18th, 2014, 4:11 pm
Forum: Off Topic
Topic: World Cup Brazil 2014
Replies: 342
Views: 13664

World Cup Brazil 2014

1. Germany2. Spain3. Brasil4. Belgium
by slacknoise
June 18th, 2014, 2:16 pm
Forum: Trading Forum
Topic: Bulltick order routing
Replies: 1
Views: 4110

Bulltick order routing

Hi,We are operating from the Latin American Market. I just wanted to know if anyone has experience operating with bulltick order routing? best regards
by slacknoise
May 27th, 2014, 12:38 pm
Forum: Programming and Software Forum
Topic: Arbitrage in Matlab
Replies: 3
Views: 4747

Arbitrage in Matlab

<t>I was wondering if somebody would be willing to share a matlab file concerning ADR/ local arbitrage or Pairs trading with me (others than those provided on mathworks, which are just a few). I am currently working on this one and would appreciate any additional information or advices. thanks in ad...
by slacknoise
May 22nd, 2014, 6:25 pm
Forum: Student Forum
Topic: Equity Arbitrage/ Position Fill and Risk Reduction
Replies: 9
Views: 5028

Equity Arbitrage/ Position Fill and Risk Reduction

<t>thank you very much for the insights.Apart from the Arbitrage i would like to build a risk model incorporating a VaR for the equity portfolio with Gumbel copula for example or Student t copula. In General what kind of inputs would i have to accumulate in my Database which would be saved in Matlab...
by slacknoise
May 22nd, 2014, 12:25 pm
Forum: Student Forum
Topic: Equity Arbitrage/ Position Fill and Risk Reduction
Replies: 9
Views: 5028

Equity Arbitrage/ Position Fill and Risk Reduction

Does anyone have experience on how to connect FIX 4.4 protocol and drop copy to Matlab? will QuickfixJ do?
by slacknoise
May 15th, 2014, 1:54 pm
Forum: Student Forum
Topic: Equity Arbitrage/ Position Fill and Risk Reduction
Replies: 9
Views: 5028

Equity Arbitrage/ Position Fill and Risk Reduction

<t>ok so, immediate execution of FX once the benchmark is reached would be the most reasonable. As you can you see i am quite new to arbitrage and trading in general. The arbitrage machine is run in MATLAB and executed via TWS and EMSX. Once the critical ADR/LOCAL spread is reached and simulatenousl...
by slacknoise
May 15th, 2014, 12:17 pm
Forum: Student Forum
Topic: Equity Arbitrage/ Position Fill and Risk Reduction
Replies: 9
Views: 5028

Equity Arbitrage/ Position Fill and Risk Reduction

<t>The idea is to have the least exposure to FX risk as possible, hence the immediate execution once we reach the 100.000 USD benchmark, which is defined by company standards. However, if there are 7 ADR/local pairs trading. There might be simultaneously a sell of ADR at 200.000 USD and a buy in ADR...
by slacknoise
May 14th, 2014, 7:18 pm
Forum: Student Forum
Topic: Equity Arbitrage/ Position Fill and Risk Reduction
Replies: 9
Views: 5028

Equity Arbitrage/ Position Fill and Risk Reduction

<t>one further question concerning the topic concerning the FX operations. say that the automated arbitrage program is running for a portfolio of 7 equities. How would be the most reasonable FX execution in that case. The threshold to transform USD to local currency is 100.000 USD. But how would be ...
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