The ‘Final’ Frontier of Algorithmic Trading

http://www.vccafe.com/2009/06/11/the-final-frontier-of-algorithmic-trading/

by yannis • 16 years ago

15 15 16 years ago

ggruschow• 16 years ago

There's many firms with similar stories and profits. There's a few with far more. They don't have a nearly perfect solution, nor is there one.

d_c• 16 years ago

It doesn't really say much, does it.

yannis3• 16 years ago

Unfortunately it does not. It does leave a couple of hints but that's about it. Perhaps someone speaking Hebrew can unearth a paper or two from the time these Maths graduates were doing research or even a thesis :)

ediggs2• 16 years ago

Final makes $1M a day, and are extremely secretive about their investments or technology. CEO is Gideon Bar Sinai and they have 80 employees...

nazgulnarsil• 16 years ago

so is finance still really going to be the place to be if you're good at statistical analysis? or is there a selection effect of not seeing all the losers?

gtani• 16 years ago

I would also look at natural language processing (better domain-specific and realtime search engines being a prominent subset) and computer vision/image processing as areas with huge upside.

ediggs2• 16 years ago

Just posted on Twitter: Final Algorithms is also operating Quantis, Stock Tech and medical devices company BSP

iends• 16 years ago

Where can I learn more about the mathematics behind this and similar companies?

secret2• 16 years ago

Start with Stochastic Calculus for Finance I & II by Shreve. It starts of with a binomial, discrete time, model and builds up to the BSM model in continuous time and more, but really what you need is the math it teaches, not necessarily any specific model. This is the first book you would study in mathematical finance. Here's a free textbook pdf on stochastic calculus/ SDEs, just to give you an example of what you're looking at http://math.berkeley.edu/~evans/SDE.course.pdf . I can give more recs if interested as I'm currently getting a masters in math, concentrating on mathematical finance.

yannis3• 16 years ago

From Buffon's needles to $1 million per day. Fascinating thought! Thanks for the link. Can we take you up on your offer for a few more recommendations?

known• 16 years ago

http://www.quantlib.org/ is a good place to start

dabeeeenster• 16 years ago

20% of the DAX, and only 100M in profits? I call total bullshit.

"Financial Algorithms that aparently are able to ‘beat the market’." Right. Until it blows up.

To use my English vernacular, what a load of bollocks.

vannevar• 16 years ago

This would be a much less interesting story if it began, "Last year 1000 new algorithmic trading firms began trading; the statistical distribution of their profits follows what you'd expect from a random process. We're picking one of those with the highest profit and profiling it in a story."

The ‘Final’ Frontier of Algorithmic Trading

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