point

 

 Remember me

Register  |   Lost password?


 

Recent members

 

 

Show:
Tr8dr wrote a new blog post titled Blog Moved
After a long hiatus, have started writing again., however have moved the blog to GitHub. The new URL is: https://tr8dr.github.io   Advertisements
723 days ago
Tr8dr wrote a new blog post titled Market-Making Portfolio & Hedging
With market making we can try to be neutral by skewing prices in such a way as to maintain a neutral position.   To the extent that the market can become 1-sided (in momentum) or may have large sized requests … Continue reading →
1599 days ago
Tr8dr wrote a new blog post titled Bitcoin, In its own Universe?
Investors are often looking for uncorrelated returns so as to better diversify.   If one looks at world indices &  equities, there is much less diversity between assets than there was a decade ago, indeed the cross-market correlations are remarkably … Continue reading →
1632 days ago
Tr8dr wrote a new blog post titled Musings on HFT in Bitcoin
I have 4 Bitcoin L3 exchange feeds running smoothly out of a data center in California (which is slightly closer to Asian exchanges and Coinbase than the east coast).  It took a bit of error handling and exponential back-off, to handle the … Continue reading →
1648 days ago
Tr8dr wrote a new blog post titled OxyPlot, Bitcoin progress, etc.
I’ve been a bit distracted recently brainstorming some blockchain-related ideas with colleagues, and working on a research & trading UI. OxyPlot First I wanted to give a plug for OxyPlot.  If you use F#/C# or the .NET ecosystem, OxyPlot is a well designed … Continue reading →
1661 days ago
Tr8dr wrote a new blog post titled Bitcoin: Needs Cross-Exchange “Prime Brokerage”
Ok, what I am going to say here is probably Bitcoin heresy, in that I am going to advocate more centralized clearing and management of assets wrt exchange trading. I want to be able to scale trading in bitcoin and … Continue reading →
1678 days ago
Tr8dr wrote a new blog post titled Bitcoin L3 Feeds: Status
I have implemented 4 bitcoin exchange interfaces now that produce a live L3 stream of orderbook updates + trades of the form: Given the above, can reconstitute the orderbook as it moves through time, and can likewise be used to create … Continue reading →
1679 days ago
Tr8dr wrote a new blog post titled Bitcoin Exchanges: State of the Market
In the previous post outlined intention to put together high quality L2/L3 feeds for the top 4 bitcoin exchanges, collect L3 data, and provide a consolidated live orderbook for trading.   So far have implemented OKCoin and been experimenting with the others … Continue reading →
1682 days ago
Tr8dr wrote a new blog post titled Consolidated Source of Data for Bitcoin
It seems like every other month there is a new bitcoin exchange.  For the purposes of trading research & backtesting it is important to have historical data across, at least, the most liquid exchanges.  My list would be at least: … Continue reading →
1693 days ago
Tr8dr wrote a new blog post titled Reinventing the Wheel
I guess I am old enough to have seen the wheel reinvented a number of times in both software infrastructure and financial technology spaces.  Unfortunately the next generation’s version of the wheel is not always better, and with youthful exuberance often ignores … Continue reading →
1693 days ago
Tr8dr wrote a new blog post titled Bitcoin, why I am still interested
The Bad News Bitcoin has been in a (mostly) negative trend from its high (~1175) to, as of today, a low of 165, since early 2014.  It has also been associated with negative news across the year, concerning: bitcoin theft, shoddy exchanges, … Continue reading →
1707 days ago
Tr8dr wrote a new blog post titled Causality in observational data
In the past had created clusters on assets to help identify relationships across assets.   The resulting graphs were useful in identifying assets for use in mean-reverting portfolios.   A difficulty in the approach was always around accurately measuring the strength … Continue reading →
1726 days ago
Tr8dr wrote a new blog post titled Thompson Sampling
I recently attended a talk by David Simchi-Levi of MIT, where he discussed an approach to online price discovery for inventory, to maximize some objective, such as profit.   The scenario is that inventory, if priced correctly, will be sold, and if … Continue reading →
1739 days ago
Tr8dr wrote a new blog post titled T-SNE
The T-SNE approach is a very intuitive approach to dimensional reduction and visualization of high dimensional features.  I Implemented this in F# recently and had used some implementations in R and python previously.  I have found this very useful in … Continue reading →
1739 days ago
Tr8dr wrote a new blog post titled Money Management
It has been almost a year since my last post.  I have been far too busy getting a new trading desk up and running.   I  thought to discuss money management, since am revisiting right now. Overview It is easy … Continue reading →
2543 days ago
Tr8dr wrote a new blog post titled Thought Experiment On Randomness
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 →
2857 days ago
Tr8dr wrote a new blog post titled Update
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 →
2857 days ago
Tr8dr wrote a new blog post titled Smoothed UKF
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 →
2857 days ago
Tr8dr wrote a new blog post titled Unscented Transform & Filters
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 →
2857 days ago