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ddude
Registered: Dec 2006
Posts: 23 |
09-29-12 07:10 PM
Ah yes, SICP, a classic...
Lisp, a dynamic language... FPGAs, dynamic hardware...
Turtles all the way down 8^)
Cordially,
-DD-
"Simplicity is the ultimate sophistication." -Leonardo da Vinci-
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nitro
Registered: Sep 2001
Posts: 17987 |
10-16-12 06:35 PM
I found this a bit strange when I read it .But in time it has sunk in and now I understand the idea behind it.
The question is now, are there countably infinite agents, or uncontable number of them. Almost certainly countable...
Quote from nitro:
Mathematical Logic Finds Unexpected Application on Wall Street
In an unexpected development for the depressed market for mathematical logicians, Wall Street has begun quietly and aggressively recruiting proof theorists and recursion theorists for their expertise in applying ordinal notations and ordinal collapsing functions to high-frequency algorithmic trading. An ordinal notation system is used to name each ordinal in a certain initial subsequence of the countable ordinals; such systems have recently been applied by elite trading operations to the parameterization of families of trading strategies of breathtaking sophistication. Ordinal notation high-frequency trading algorithms, also called ordinal arbitrage systems, pit their strategies against similar algorithmic opponents on electronic exchanges for a few fleeting seconds, during which thousands of trades are executed, including exploratory trades that test the strategies of opposing human and machine traders.
The monetary advantage of the current strategy is rapidly exhausted after a lifetime of approximately four secondsan eternity for a machine, but barely enough time for a human to begin to comprehend what happened. The algorithm then switches to another trading strategy of higher ordinal rank, and uses this for a few seconds on one or more electronic exchanges, and so on, while opponent algorithms attempt the same maneuvers, risking billions of dollars in the process.
The elusive and highly coveted positions for proof theorists on Wall Street, where they are known as trans-quantitative analysts, have not been advertised, to the chagrin of executive recruiters who work on commission. Elite hedge funds and bank holding companies have been discreetly approaching mathematical logicians who have programming experience and who are familiar with arcane software such as the ordinal calculator. A few logicians were offered seven figure salaries, according to a source who was not authorized to speak on the matter.
http://christianmarks.wordpress.com...on-wall-street/
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Random.Capital
Registered: Jan 2005
Posts: 3848 |
10-16-12 07:01 PM
While an admirable attempt, what they're trying to do here (which is a bit mis-described in the article, but whatever, close enough) is only achievable in isolation, not in live systems.
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clearinghouse
Registered: Aug 2010
Posts: 572 |
10-16-12 07:06 PM
Quote from nitro:
I found this a bit strange when I read it .But in time it has sunk in and now I understand the idea behind it.
The question is now, are there countably infinite agents, or uncontable number of them. Almost certainly countable...
Kind of cool, but probably a losing bet in terms of salary paid vs. results. Chalk it up to the speculative R&D budget?
Everytime I saw one of these ambitious projects tried in a firm, it always ended up in a layoff a few months later.
But, I'm wililng to believe that there's probably some fly by night shop out there with 3 PhDs (probably all former Soviet defectors who got tired of building nuclear weapons) using this, on an FPGA, with a homebrew microwave network link. They all dress in Walmart clothes and trade out of an RV in New Jersey, and the most we'll ever know about this A-Team of trading is the random obscure blog post talking about their unpublished landmark research.
Oh, and even though they're all super billionaires, their supermodel wives don't tip cab drivers well.
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DeeDeeTwo
Registered: Dec 2007
Posts: 623 |
10-16-12 07:17 PM
Quote from ddude:
"Simplicity is the ultimate sophistication." -Leonardo da Vinci-
Thanks for this quote.
Always known that very smart people make things very complicated...
But geniuses simplify, simplify, simplify.
Very smart people cross the street via the North Pole...
Geniuses find a shortcut... always a shortcut.
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jem
Registered: Sep 2001
Posts: 14310 |
10-16-12 07:38 PM
but why does hft have to exist... those profits could have been spread out over a wider collection of people.
As 30 second to 2 minute time frames once allowed me to make a nice living.
It would seem HFT can destablize the market as they are doing battle with each other and blowing each other up. Do they not claim to be providing liquidity?
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