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Feb 13
Dr. Ernest P. Chan is an expert in the development and application of statistical models and software for trading currencies, futures, and stocks. He is the principal of QTS Capital Management, LLC., which manages a hedge fund as well as individual clients’ accounts. He also offers training to clients via workshops or individualized consulting to trade for themselves using Matlab. Dr. Ernest P. Chan is the author of the famous book "Quantitative Trading: How to Build Your Own Algorithmic Trading Business".

Ernest Chan quantitative trading

Tell us a little background info about yourself. Where are you from? What’s your education background?


I was born in Hong Kong, and I moved with my family to Toronto, Canada, when I was 17. I studied physics as an undergrad at U of Toronto, and received a Ph.D. in theoretical condensed matter physics from Cornell University. But after graduation, I never did any work in physics. I first worked as a researcher at IBM T. J. Watson Research Center’s Human Language Technologies group, where I designed statistical pattern recognition algorithms. Quite a few of my colleagues in that group moved on to become hugely successful algorithmic traders. (The current heads of Renaissance Technologies, Robert Mercer and Peter Brown, were both managers of that group.) After a few years, I too moved on to a career in finance, beginning at Morgan Stanley.

How long have you been as a quantitative trader? We know you had worked for a few big investment banks and hedge funds, what are the pros and cons of working as an independent traders and a manager of your own fund, instead of in a big firm?

Feb 9
A guest post, enjoy it.


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Feb 9
A tractable LIBOR model with default risk:a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework.

Optimising a correlated asset calculation on MATLAB:detailed example of applying vectorisation to speed up Matlab codes.

Reading About the Financial Crisis: A 21-Book Review: Professor Andrew W. Lo reviews a diverse set of 21 books on the crisis, 11 written by academics, and 10 written by journalists and one former Treasury Secretary. Are they helpful to understand the current crisis?

A Forward Monte Carlo Method for American Options Pricing: This study proposes a forward Monte Carlo method for the pricing of American options, and significantly improves in numerical efficiency and accuracy in contrast with the standard regression-based method of Longstaff and Schwartz(2001).
Feb 7
Standing on the shoulders of giants allows us to see further, from now on we will invite experts to share with us their valuable experience and lessons.

It is our great pleasure to have Thijs van den Berg joining this week's interview session, Thijs is the manager of Sitmo B.V founded in 1998, which was initially a derivative market-making firm operating on the European Options Exchange (now Euronext), but soon building customized derivative models and risk management software development became an important activity. In 2003 Sitmo started consultancy services in Energy trading and quantitative modeling.

Tell us a little background info about yourself. Where are you from? What’s your education background?


I’m from The Netherlands. As long as I can remember I’ve been curious: math, physics. I got my first computer when I was 10 and things became magical: I had my personal desktop lab to experiment with! About that time my family decided to move to a sunny island. I had a great time windsurfing, surfing and skating, but education was a bit 2nd place. I went a year to a local Spanish school but didn’t speak much Spanish and so the only thing I could follow was the math classes. The second year I went to a British International school and that was very intense and good. Every morning sausages and beans etc. After that we moved back to The Netherlands, I skipped a school year, and eventually went to the Delft Technical University when I was 17 to study Computer Science. The first year was perfect -I was in the top 5-, but then I started to doubt my choices... I ended up working in a popular bar and was really enjoying that, ..until a professor knocked on my door and said he wanted to talk to me. He’s now a very good friend. After that I quickly finished university, did a thesis at a bank on forecasting with Wavelets.

Do you have any experience with quantitative finance? If yes, how long have you been in the quantitative finance industry and to what extent?


I ran into QF when I started trading (equity) derivates on the floor in the 90s. I’d build our own option pricing models and risk management tools, those were great times, we always had different prices than other traders, but we got it right... After that I got a job running a quant department at an energy Company. Energy trading was in its infancy: there was extremely much to do from a modeling perspective. The commodities have very complex dynamics, exotic assets, optimization, load forecasting, credit, data warehouses. We managed to get a couple of good PhD on board who delivered good models on fundamental activities. It was a true startup: when I joined the company the trade floor was just 6 people, when I left 250 with full blows specialized departments.
Feb 4
The manager of QuantShare has contacted me about this software, after several days trial I feel it may be of interest to some of you so I post a short introduction here.

QuantShare is a new technical/fundamental analysis software available since only few months.

The sharing server is what makes QuantShare apart from anything else. It is a place where users can share their trading systems, indicators, downloaders, custom drawing tools...

If you need intraday data for futures, simply search for a downloader in the sharing server and chances are you will find one already implement by a member of the community. There are more than 800 items there and this number keeps increasing every day.

Besides, the sharing server, QuantShare has an impressive number of tools (Charting, Simulator, Composite, Genetic Algorithm, Neural Network ...).

The simulator for example allows you to create trading systems and backtest them very easily. The money management tool can be used in case you want to implement strategies that are more advanced. Once your system is ready, the Portfolio tool allows you to generate buy and sell orders automatically using the trading system rules.
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