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Algo trading study resources?
- Thread starter mizhael
- Start date
Quote from mizhael:
Where does he give lectures usually? Any events?
http://lmgtfy.com/?q=andrew+kumiega+keynote
I just ordered this book. I look forward to becomming very well acquainted with it over the next few weeks.
Quote from Went Fishing:
If you can't beat 'em join 'em
I'm beginning the slow journey of self educating myself in the area of algorithmic execution. I know if I don't "keep up" I'll be left behind. I just started reading Barry Johnson's book which has a publish date of Feb 2010. As I said, I just started reading the book and can't compare it to others (I haven't read...yet) mentioned in the thread . However, I already have a deeper understanding of my "competition" in the markets after reading ONLY the first few chapters.
Here's a link, Look Inside! And check out the reviews.
http://www.amazon.com/gp/product/0956399207/ref=oss_product
<*)))><
Quote from rufus_4000:
My theory on Ms. Aldridge is that she won't know what a high frequency trading system is if it hit her in the face.
Some of the HFT systems are very profitable, *relative* to their capital base. I have seen ppl making 10+M / yr on a starting capital base of just 1-2M, and similarly returning 60-80M on capital base of 20-30M. Now before you all pull out your calculators and start going, "wait, if this person gets to play with 1B, and even if they won't return 5B, won't they be able to return 3B easy?", the problem with HFT is "capacity", as in the Market's capacity. If HFT is alrdy accounting for say 40-50% of trading volume, you can not just "ramp it up" to 80% of the trading volume, at some point, it would just be HFTs trying to cannibalizing each other.
This is the exact reason why most HFT are still done with proprietary trading firms and some bank prop desks, instead of hedge funds and the like, as there simply isn't a demand for "additional capital". Capital is plenty, the universe of good profitable HFT strategies are much harder to find.
Isn't this the endgame for hft in general. The day when the best firms are colocated in the exact same distance and have the exact same budget who do they take money from? I know you will say that there will always be other dumb money in the market, I am just not so sure how long this lasts considering latest numbers suggest 70-80% of stock volume is hft.
Quote from jd7419:
I know you will say that there will always be other dumb money in the market, I am just not so sure how long this lasts considering latest numbers suggest 70-80% of stock volume is hft.
Most of that volume is concentrated on the most liquid (highest volume) stocks like C. If you're looking for "dumb money" look at hype stocks like TSLA, and HFT isn't needed to trade these.
Quote from Went Fishing:
I'm beginning the slow journey of self educating myself in the area of algorithmic execution. I know if I don't "keep up" I'll be left behind. I just started reading Barry Johnson's book which has a publish date of Feb 2010. http://www.amazon.com/gp/product/0956399207/
The Johnson book could be described as broad but shallow. The author knows a reasonable amount about many different topics, but doesn't explore any of them in depth. It can't hurt to read the book, but it isn't nearly sufficient.
Quote from mizhael:
All I asked were newbie questions. :=)
Time pressure is racing to lose money...
If you have no infrastructure and no strategy, there should be no time pressure. The time-pressure comes when you know your edge is evaporating in the market. The most difficult aspect of trading is to expand an edge and push the business forward. In the absence of any revenue stream, you should not have this pressure.
If you have a backer, tell the backer you do not need his money until your research is complete. He should respect that decision, because 1) it's cheaper for him, and 2) you don't have something to work with yet anyway, and just throwing darts at the wall is riskier than putting money into even a savings account.
Quote from jd7419:
Isn't this the endgame for hft in general. The day when the best firms are colocated in the exact same distance and have the exact same budget who do they take money from? I know you will say that there will always be other dumb money in the market, I am just not so sure how long this lasts considering latest numbers suggest 70-80% of stock volume is hft.
Who do they take money from? That's a good question. I don't think this will drop into a scenario where all the firms are just taking money from each other, because participants are generally smart enough to figure out when they aren't winning their poker game anymore. The HFT participants will continue to extract a premium for providing liquidity to long-term investors. The number of participants in a position to extract the premium will drop substantially -- getting into this position is essentially where the real battle is, and the big names are not necessarily the ones who are winning. (More curiously, I'm more intrigued by why these firms would seek private equity investors, if they were so unbeatable.)
The reason I think the arms race will continue well into the next 15-20 years (in the absence of government intervention) is because investors have nowhere else to go. If you're talking about producing returns, there will always be a mad dashes of capital in and out of various assets. Just holding cash indefinitely has never been profitable and is a net loss over the long run, so anyone interested in preserving wealth absolutely has to participate in speculation or own assets that rise in value.
Even if the government does enact a tax, I guarantee another nation would be more than willing to step up and offer a home for a place like the CME or NASDAQ. Capital will then be pushed around on foreign exchanges instead of the US exchanges, and HFT will continue. (... Well, unless we get one-world government. I leave that one to the conspiracy theorists. Global financial regulations would be a very bad thing.)
http://quantlib.org/index.shtml is good