1) an understanding of optimization, either LP, NLP, or Piecewise Linear Optimization.
2) an understanding of AMPL, or other mathmatical modeling language. http://www.ampl.com
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
Publish at Scribd or explore others:
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:
http://advancedtrading.thewallstreetwiki.com/directories/directory-listed-futures-and-options-trading-systems.php
Or you may need a financial framework for Rapid Application Development:
http://www.smartquant.com/downloads.php aka http://www.quanthouse.com
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
