$100B hedge fund

Discussion in 'Wall St. News' started by richardyu301, Jul 1, 2005.

  1. the bottomline is that 100 yrs from now, ppl will remember and honor the likes of mother teresa and jonas salk not steve cohen, soros or jim simons!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
    #41     Jul 2, 2005
  2. nitro


    Thanks for that link! Some of those papers are great!

    nitro :cool:
    #42     Jul 2, 2005
  3. nitro


    Would his version be any faster than yours in realtime?

    #43     Jul 2, 2005
  4. Definitely measurable, naturally both systems are using the historical sims
    for say, correlation calculations. Let's say my scenario DB has 50000 5-10
    minute scenarios, and we run through 10% of them for relevance (which is
    about norm), the net calculation will be about 500 ms for me, plus I/O time, and
    around 30-40 ms for him, plus I/O time.

    So conceivably, in a pure stat arb (hypothetical, there isn't that many
    pure scenarios these days) situation, his engine would enter his trades at
    least .4 sec earlier than me, very significant in terms of catching an

    Obviously there are significant hardware differences, I have a small 8
    node compute server that cost around 50k, he as a 128 node Egenera that
    cost around $1.3M for hardware alone.

    This is just a scenario, obviously people have difference models, this is just an
    illustration of how model tuning and hardware investment can impact
    greatly in a standard type of trade. The game is to use the scenario
    analytical power to find different anomalies, and like Jim Simons said,
    this is somewhat dependent on luck.
    #44     Jul 2, 2005
  5. In some ways, the classical TA people are pioneers to high freq analysis. I
    have John Murphy's book, while somewhat basic by today's standard,
    I still flip through it from time to time. It is refreshing that some concepts and
    their derivatives are still being improved on, even today.

    A couple of things:

    * Data scrubbing, the data validation that the automated systems do can
    probably help a bit, if you subscribe to, say, two data sources, measure them
    would probably help in filter out bad ticks and bad latency spikes. The filters
    that this systems use can be useful.

    * Order entry, I haven't thought about this through yet, but I have a vague
    idea that having a simulated market view can give you a better idea of
    how the book is moving, so you can choose your order entry time a bit

    Just my $0.02
    #45     Jul 2, 2005
  6. How exactly does Renaissance's methodology of (quoting original message):

    "The firm relies on a system to make thousands of rapid-fire, short-term trades daily to take advantage of small, fleeting anomalies in various markets."

    achieve the tasks you mention?

    Actually, last few years some in the press and politicians argue the fact that these exceptional HF returns are realised at the expense of investors of the "regular" funds and hence HF's should be regulated.

    This particular breed of HF's just provide liquidity. Nothing more "noble" in it than the regular daytrader, other than the fact that they're much more successful in extracting money from other market participants.

    I'm referring to this particular breed of HF's only, because the term hedge funds includes many different strategies that I agree some enhance market efficiency.
    #46     Jul 3, 2005
  7. Trent


    Why is this retard allowed to spam his crap over about every thread. Please ban him (again) to improve this site.

    #47     Jul 3, 2005
  8. Thanks, Trent.

    I am sure the ugliness of your importance will be taken into consideration by the powers that be.


    #48     Jul 3, 2005
  9. mahras2


    The point is Renaissance is managing billions while you are tradingon a relatively small account. They have a proven track record spanning YEARS. Thus, there really is no comparisons between say a hedge fund and a private trader.

    As for how renaissance trades I believe they are in the arb. game as well. I am not sure but I also believe they do micro directional trading based on price actions and volume. I am not 100% sure about this though.
    #49     Jul 3, 2005
  10. sccz97


    #50     Jul 4, 2005