Was discussing pseudo-random number generators with a colleague, around desirable attributes of the distribution, periodicity, etc — all fun and important stuff. It reminded me of a chain of thought ranging from complexity theory to the philosophical.   Pardon the … Continue reading →

It has been a while since I’ve posted and apologize for leaving the prior subject mid-thread.   I’ve become extraordinarily busy with a new company, but will revert to research mode and follow-up once things settle down. In the mean … Continue reading →

The smoothed UKF performs smoothing on the state system a-posteriori.   The standard form of this filter is useful in getting an accurate view on prior states, but will not provide a smoothed online state estimate for the current or … Continue reading →

The unscented transform (and filter) was developed as a practical alternative to MC sampling in estimating the conditional distribution functions of hidden state systems.   We want to determine the hidden state (Xt)  given observations (Yt): The  Sequential MC approach … Continue reading →

I have not used stochastic state based systems for a couple of years, but have decided to revisit.   I had previously implemented a number of systems with both the EKF and 3 variants of particle filter, but encountered various … Continue reading →

High frequency trading tends to fall into the following categories: some form of prop market making (probably largest %) gaming other players or microstructure short-period arbitrage execution algos One might also run medium frequency strategies that pursue: trend (if there … Continue reading →

As indicated in a previous post, high-freq market data is typically in the form of order updates, for example: This can be used to reconstruct the orderbook at any given instant, but can also be used to analyze movements within … Continue reading →

Just for fun:  There is a retail bidding site QuiBids which has received a bit of press in the US recently.   The attraction is that they offer products (such as ipads) for, say, an average price of $30-50 (whatever … Continue reading →

For very low-level order analysis we try to determine continuity from one order to the next as a stream of orders across a period.   This is applicable for orders generated by a given trader (algo) that are more-or-less continually … Continue reading →

Sometimes there are precipitous drops (or ascents) in price over a very short period in the market.   Over a short period,  momentum analysis from prices or order flow, is not going to allow one to avoid becoming a casualty … Continue reading →