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The ‘Final’ Frontier of Algorithmic Trading

15 points by yannis 17y ago

ggruschow 17y ago
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.
d_c 17y ago
It doesn't really say much, does it.
- yannis 17y ago
  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 :)
ediggs 17y ago
Final makes $1M a day, and are extremely secretive about their investments or technology. CEO is Gideon Bar Sinai and they have 80 employees...
nazgulnarsil 17y ago
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?
- gtani 17y ago
  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.
ediggs 17y ago
Just posted on Twitter: Final Algorithms is also operating Quantis, Stock Tech and medical devices company BSP
iends 17y ago
Where can I learn more about the mathematics behind this and similar companies?
- secret 17y ago
  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 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.
  - yannis 17y ago
    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?
    - secret 17y ago
      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-notes.html http://www.math.nyu.edu/faculty/kohn/math-finance-lecture-no... 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.
dabeeeenster 17y ago
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.
deleted 17y ago
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vannevar 17y ago
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."

15 points by yannis 17y ago

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.

d_c 17y ago

It doesn't really say much, does it.

yannis 17y ago
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 :)

ediggs 17y ago

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

nazgulnarsil 17y ago

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?

gtani 17y ago
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.

ediggs 17y ago

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

iends 17y ago

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

secret 17y ago
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 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.
- yannis 17y ago
  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?
  - secret 17y ago
    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-notes.html http://www.math.nyu.edu/faculty/kohn/math-finance-lecture-no... 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.

dabeeeenster 17y ago

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.

deleted 17y ago

[deleted]

vannevar 17y ago

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."