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Monday, February 24, 2020

Archived Discussions

Recent member discussions

The Algorithmic Traders' Association prides itself on providing a forum for the publication and dissemination of its members' white papers, research, reflections, works in progress, and other contributions. Please Note that archive searches and some of our members' publications are reserved for members only, so please log in or sign up to gain the most from our members' contributions.

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 Chang Min (Leo) Chu, Quantitative Research Analyst at Antilles Capital LLC

 Wednesday, May 28, 2014

Hello, I have used 5 minute and daily data to compute the above test. For 5minute data, it shows very strong mean-reversal but daily data suggest otherwise. They are using the same period of 3 months ...

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 james ma, Active candidate, MSF graduate

 Tuesday, May 27, 2014

For those interested, this is a sample model... https://github.com/jamesmawm/High-Frequency-Trading-Model-with-IB ... This is still a work in progress.

  • 27 May 2014
  • Comments: 0
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 Tomas Hrncir, General Manager and Chief Risk Officer at Home Credit Consumer Finance China

 Saturday, May 24, 2014

Anybody here with first hand experiences from algo trading world in China? Would be glad to discuss some details of current situation, regulation, platform and strategy providers and potential coopera...

  • 24 May 2014
  • Comments: 4
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 Dr. Jacques Saint-Pierre, Adjunct Professor of Finance at Laval University & Board Advisor

 Sunday, May 4, 2014

In this paper we propose a dynamic version of the Market-Derived Capital Pricing Model (MCPM) of McNulty, Yeh, Schulze and Lubatkin (2002). By introducing the...

  • 4 May 2014
  • Author: Doron Whitman
  • Number of views: 752
  • Comments: 0
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 Guy Pirotsky, VP Business Development, Investments Management

 Thursday, October 3, 2013

I have few Systems and I need to allocate money between them. I have created my own criterions based on Age of the strategy, Profitability, Volatility, and Risk. I use quantitative parameters to compa...

  • 3 October 2013
  • Author: Doron Whitman
  • Number of views: 1160
  • Comments: 4
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 Matthew Cox, IT Consultant/Trading Systems Developer

 Wednesday, October 2, 2013

Secondly, does anyone know an index that would roughly approximate this basket of credit default swaps that is not OTC so that I could use it to analyze credit defaults price action in Ninajtrader? -...

  • 2 October 2013
  • Author: Doron Whitman
  • Number of views: 1882
  • Comments: 5
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