Algorithmic Trading
Follow
Find
9.3K views | +5 today
Algorithmic Trading
Algo Trading Tips, Strategies, and Techniques
Curated by algodude
Your new post is loading...
Your new post is loading...
Scooped by algodude
Scoop.it!

Risk and Return in Momentum Strategies (paper)

"We apply risk-return ratios at the individual security level in order to drive the stock ranking process (construction of momentum portfolio) and at the portfolio level in order to evaluate and optimize the risk-return profile of the winner and loser portfolio. We investigate whether the application of risk-adjusted criteria with balanced risk-return performance can generate more profitable strategies than those based on a simple cumulative return criterion which serves as a benchmark. Moreover, by introducing risk return ratios as portfolio selection criteria, we are able to postulate a portfolio optimization problem with a ratio as an objective function. Therefore we devise an optimized-weighted strategy that creates optimal risky winner and loser portfolios”

more...
No comment yet.
Scooped by algodude
Scoop.it!

How to Make Money in Microseconds

An interesting overview on HFT and its influence on today’s markets (including its role in the Flash Crash).
more...
No comment yet.
Scooped by algodude
Scoop.it!

Exclusive: Regulators know where MF Global funds went

Exclusive: Regulators know where MF Global funds went | Algorithmic Trading | Scoop.it
WASHINGTON (Reuters) - Regulators now have a full picture of money transfers in the final days of bankrupt brokerage MF Global, and are working to sort out which transactions were legitimate, a top official...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Trend following vs Mean Reversion Averages

Trend following vs Mean Reversion Averages | Algorithmic Trading | Scoop.it

"The general aim to find a method of switching between strategies as they blow hot and cold, so you don't continue to follow the strategies that aren't adapting to current market conditions..."

more...
No comment yet.
Scooped by algodude
Scoop.it!

Mean Reversion And Trend Following

Mean Reversion And Trend Following | Algorithmic Trading | Scoop.it
Many investment strategies can be classified into two large groups: mean reversion and trend following.
more...
No comment yet.
Scooped by algodude
Scoop.it!

Why to trade more than one system?

Why to trade more than one system? | Algorithmic Trading | Scoop.it
With this post I want to share some insight about my portfolio setup.  More specific I want to talk about the various systems I trade, why I trade those and how I trade those.



The initial q...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Corzine Doesn't Know

The Reuters Mashup: Asked what happened to more than a billion dollars in investment money, John Corzine, former US senator, Governor of New Jersey and chief...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Why The UK Trail Of The MF Global Collapse May Have "Apocalyptic" Consequences For The Eurozone, Canadian Banks, Jefferies And Everyone Else

"MF Global exposes the 2011 equivalent of the 2008 AIG: virtually unlimited leverage via the shadow banking system, in which there are practically no hard assets backing the infinite layers of debt created above, and which when finally unwound, will create a cataclysmic collapse of all financial institutions, where every bank is daisy-chained to each other courtesy of multiple layers of "hypothecation, and re-hypothecation."

more...
No comment yet.
Scooped by algodude
Scoop.it!

Creating Artificial Intelligence Based on the Real Thing

Creating Artificial Intelligence Based on the Real Thing | Algorithmic Trading | Scoop.it
Facing the physical limits of conventional design, researchers are working to design a computing architecture that more closely resembles that of the brain.
more...
No comment yet.
Scooped by algodude
Scoop.it!

Diversification Is Not Dead, You've Just Been Doing It Wrong

Diversification Is Not Dead, You've Just Been Doing It Wrong | Algorithmic Trading | Scoop.it

"Allocate your equity position between many different sectors is the mantra you’ve heard repeated over and over. But conventional wisdom fails to acknowledge that correlations change in different states of the world ..."

more...
No comment yet.
Scooped by algodude
Scoop.it!

How Fractals Can Explain What's Wrong with Wall Street: Scientific American

How Fractals Can Explain What's Wrong with Wall Street: Scientific American | Algorithmic Trading | Scoop.it
The geometry that describes the shape of coastlines and the patterns of galaxies also elucidates how stock prices soar and plummet...
more...
No comment yet.
Scooped by algodude
Scoop.it!

High Frequency Accounting

The “Veyron” strategy (appropriately named, given the performance) essentially seeks to buy and sell passively on both sides, collecting rebates. You need to have a low-latency infrastructure in order to ensure that, when one order is filled, you can quickly respond with the opposing order (i.e. if your buy fills, you need to quickly shoot off a sell order to catch slower traders before the price moves further).

more...
No comment yet.
Scooped by algodude
Scoop.it!

Trading On Sentiment Analysis -- A Public Relations Tool Goes To Wall Street - Forbes

Trading On Sentiment Analysis -- A Public Relations Tool Goes To Wall Street - Forbes | Algorithmic Trading | Scoop.it
Small Bytes of Big Data Can Generate Alpha. Thomson Reuters analysis can sift through petabytes of news to learn what is being said.
more...
No comment yet.
Scooped by algodude
Scoop.it!

Bootstrapping: White’s Reality Check

Prior to WRC, bootstrapping could be used to generate the sampling distribution to test the significance of a single rule. White’s innovation, for which he was granted a patent, allows the bootstrap to be applied to the best rule found by data mining. Specifically, WRC permits the data miner to develop the sampling distribution for the best of N-rules, where N is the number of rules tested, under the assumption that all of the rules have ex­pected returns of zero. In other words, WRC generates the sampling distri­bution to test the null hypothesis that all the rules examined during data mining have expected returns of zero
more...
No comment yet.
Scooped by algodude
Scoop.it!

MF Global puts harsh light on self-regulation

MF Global puts harsh light on self-regulation | Algorithmic Trading | Scoop.it
WASHINGTON (Reuters) - Two weeks after MF Global's collapse, officials from the Commodity Futures Trading Commission briefed Senate staff on the brokerage firm's final days.
more...
No comment yet.
Scooped by algodude
Scoop.it!

Combining Mean Reversion and Momentum Trading Strategies in FX Markets (paper)

Interesting paper on RTM / MOM strategies in Forex markets (click on title for paper).
more...
No comment yet.
Scooped by algodude
Scoop.it!

Curated Interviews From Quants: Algorithmic Trading and High Frequency Trading (From Reddit’s IAmA) Part 1

What is it exactly that quants do?This is the second post in a series of curated interviews from Reddit's IAmA subreddit, a place where individuals of...
more...
No comment yet.
Scooped by algodude
Scoop.it!

MF Global's US And UK Customers Got Screwed By A Little Thing Called Regulation T

MF Global's US And UK Customers Got Screwed By A Little Thing Called Regulation T | Algorithmic Trading | Scoop.it
The Canadian customers got their money back in days.
more...
No comment yet.
Scooped by algodude
Scoop.it!

Corzine Defends Tenure, Puzzles Over Missing Funds

Corzine Defends Tenure, Puzzles Over Missing Funds | Algorithmic Trading | Scoop.it
A contrite Jon Corzine expressed both sorrow and a firm defense of his actions Thursday in his first public appearance since the collapse of MF Global in late October. Still, Mr.
more...
No comment yet.
Scooped by algodude
Scoop.it!

MF Global and the great Wall St re-hypothecation scandal

MF Global's bankruptcy revelations concerning missing client money suggest that funds were not inadvertently misplaced or gobbled up in MF’s dying hours, but were instead appropriated as part of a mass Wall St manipulation of brokerage rules that...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Automated Design of Trading Strategies

Part 1 of 2 of a video series introducing the DesignByRobots Trading App. Part 1 covers the development of trading strategies, how automated design works, an...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Algorithmic Trading SubReddit

A place for algo traders / code monkeys to post news, ideas, techniques, and discuss all things algo....

more...
No comment yet.
Scooped by algodude
Scoop.it!

Nuts & Bolts: Expectation

"When I first started trading nearly 100% of my focus was on the percentage of my trades that were winners (win probability).  After all, winning feels good and I wanted to maximize that much as possible.  But over time I learned ..."

more...
No comment yet.