
The ‘Final’ Frontier of Algorithmic Trading - yannis
http://www.vccafe.com/2009/06/11/the-final-frontier-of-algorithmic-trading/
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dabeeeenster
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.

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ggruschow
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.

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vannevar
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."

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d_c
It doesn't really say much, does it.

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yannis
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 :)

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

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secret
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.

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yannis
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?

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secret
Sure thing! Here are some I've used in addition to the above:

Lecture notes from Dr Kohn at NYU: [http://www.math.nyu.edu/faculty/kohn/math-
finance-lecture-no...](http://www.math.nyu.edu/faculty/kohn/math-finance-
lecture-notes.html)

Options, Futures, and Other Derivatives by Hull (considered one of the best
books in this field, but I like the next one better)

An Introduction to the Mathematics of Financial Derivatives by Neftci

Numerical Methods in Finance and Economics: A MATLAB-Based Introduction
(Statistics in Practice) by Brandimarte

Also, we take a general C++ course. Coming into the program they wanted us to
have completed math through calc 3, differential equations (first course), and
linear algebra (first course). I was a finance undergrad not math, so from
experience I can say I wish I would have also studied some real analysis (just
the basics), and a high level undergrad course in probability (although we
took a grad level intro course first semester). Also, the better you are at
proofs, the easier time you will have (I had no training in this and have
picked it up as we go along).

Also, some schools make a distinction between computational finance and
mathematical finance, so that's something to think about too.

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yannis
Thanks.

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nazgulnarsil
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?

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gtani
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.

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

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

