Friday, May 15, 2009

Weekend reading for Program Traders

A great read for the Program Traders who are lurking. Want to kick the tires on a real system? Try a deep-dive? Roll up your sleeves, here are the tools that you will need:

1) an understanding of optimization, either LP, NLP, or Piecewise Linear Optimization.
2) an understanding of AMPL, or other mathmatical modeling language.
2) an optimization engine. I prefer iLog's Cplex/Solver.
a) She's a bit pricy but a possible alternate argument that you can give to the sales person might be somethink like "students should not be constrained by age" iLog optimization - academic
b) For those without a silver tongue -Dash Optimization Dash Optimization evaluation -student request

Example models:
>Dash Mosel -Financial(is it possible to forecast $PREM cash?)

You may want to use the article below to model your first algorithm. iLog has a lot of sample models that you can use to get a complete understanding of minimizing or maximizing your problem equation.

High Frequency Trading in a limit order book High Frequency Trading in a limit order book TSthinkscripter

OK, well now you have created your application and wrapped it around an optimization engine. Next step is to find a gateway to send orders and get confirmations:

Or you may need a financial framework for Rapid Application Development: aka

Bonus reading:
Numerical methods in finance and economics By Paolo Brandimarte (MATLAB approach)

Finance Applications of Game Theory

The Convex/Conic argument

The quantitative hangout
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