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hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2009-12-27 14:26

Looks like the folllowing article (by Irene Aldridge) is worth a read before you buy the book:

http://www.finalternatives.com/node/10055

Two gems from the article:

 As such, many conventional quantitative and systematic strategies can easily be transformed into profitable high-frequency strategies.  Take a systematic trading strategy, reduce the holding period, et voila! 

Those funds with existing quantitative strategies are likely to be ideally positioned to move into the high-frequency space: speeding up the portfolio holding periods is all it takes in many cases.  Finding a profitable high-frequency strategy, therefore, may only be a few clicks of the mouse away.  
 

Two words to keep in mind: Capacity, Impact.

Edit: Grammar.


squeeze


Total Posts: 26
Joined: Mar 2008
 
Posted: 2009-12-27 15:59

"Shorter horizons are accompanied by a lower degree of uncertainty"
is also pretty debatable.

I don't know anyone that knows what they are doing with HFT that has either the time nor the inclination to write a book.


nemo
Irene Aldrige

Total Posts: 5
Joined: Dec 2009
 
Posted: 2010-01-22 17:20
Squeeze, have you ever heard of Brownian motion as a model for diffusion of asset prices? Longer horizons are always less certain than the shorter ones.

Aldridge's book is great, by the way -- both model intensive and very well organized.
She does successfully build HFT systems, and really knows her stuff (she spent 10 years in various financial engineering and software development roles in financial services, this is not on her LinkedIn) .

And hedgeQuant, you do not seem to know what you are talking about.

Edit: Aldridge spent years in financial engineering, IT, and risk management prior to moving into trading. She has been building and executing trading systems for a number of years now. Her truly comprehensive perspective on the business is detailed in the book.


redandtheblue


Total Posts: 361
Joined: Aug 2007
 
Posted: 2010-01-22 17:59
edit:
Sorry,I shouldn't have responded to a post like this.

Ser Ilyn Payne
Reactor Core Engineer

Total Posts: 449
Joined: Jan 2006
 
Posted: 2010-01-22 19:46
Dear NP Community.

I take my job here pretty seriously and as you know, try to watch over things so that we don't witness the sort of meltdown witnessed in... other communities. Ahem. We've managed to retain a pretty impressive roster of members from the practitioner's point of view (as opposed to the academic's world) and I'd really like to keep it that way. Namely: bullshit free (which is way Nassim isn't here, for example).

I'm suspicious by nature. As it turns out, our friend "nemo" here is actually... drumroll please... Irene Aldridge herself. Kids these days. They don't even try any more! *sigh*

Anyway, I do think that post of hers kind of qualifies everything she has said and is going to say in the future.

Welcome to NP Irene! Let's try that again, shall we?

nemo
Irene Aldrige

Total Posts: 5
Joined: Dec 2009
 
Posted: 2010-01-22 19:51
???
Edit: It appears someone has just assigned an "Irene Aldrige" note to my id.
This is a strange and rather intrusive behavior on behalf of NP moderators.
Ahh, I guess NP is just another group "watched over" by frustrated mathematicians.

Ser Ilyn Payne
Reactor Core Engineer

Total Posts: 449
Joined: Jan 2006
 
Posted: 2010-01-22 20:00
Miss Aldridge,

If you had paid any attention: This is a practioner's forum, not an academic forum. There's a lot of traders on here, most notably quantitatively oriented, highly skilled in information technology. They know how to route orders in a few milliseconds across 20 different exchanges.

You don't think that they know what DNS is? You don't think they know how IP address allocation works? You don't think they can smell bullshit when they see it?

Anyway, like I said: Want to try again? You're not the enemy, but if you continue with this bullshit, I dare say your stay is going be rather short lived... (and high profile within the high frequency trading industry). Ahem.

So?

nemo
Irene Aldrige

Total Posts: 5
Joined: Dec 2009
 
Posted: 2010-01-22 20:06
Wow, wow, chill out there.
I appreciate that you can smell bullshit, but not sure what in my DNS or IP address you do not like.
Edit: "your stay will be rather short-lived" is not exactly a "practitioner" democracy!
So, please revert my settings to normal and learn how to spell while you are at it, bullshit-smeller!






nemo
Irene Aldrige

Total Posts: 5
Joined: Dec 2009
 
Posted: 2010-01-22 20:16
Oh yes, and routing orders in a few milliseconds is kind of slow, actually. You should brush up on your IT skills. Aldridge's book may help with that, too.

Ser Ilyn Payne
Reactor Core Engineer

Total Posts: 449
Joined: Jan 2006
 
Posted: 2010-01-22 20:20
Right. You're clearly the delusional girl that your website makes you out to be.

Anyway, I'm in a good mood today, so if you apologize (can even be via e-mail so the mortification factor is clearly reduced) then we'll forget the whole thing and I'll clean up here.

Otherwise... well, we'll see, won't we?

PS: That's the thing with democracy: There's always someone out there who has a little more rights than you have. Even if they are only admin rights Wink

PPS: Really, Aldridge's book will show me how to route to 20 exchanges in less than few milliseconds? She's actually found a way on how to move electrons (or photons) at speeds faster than c? Awesome.

nemo
Irene Aldrige

Total Posts: 5
Joined: Dec 2009
 
Posted: 2010-01-22 20:30
To all, I believe I am softly asked to leave this forum.
I shall do so. No hard feelings or threats are necessary.

Ser Ilyn Payne
Reactor Core Engineer

Total Posts: 449
Joined: Jan 2006
 
Posted: 2010-01-22 20:32
I didn't ask you to leave. I asked you to apologize (you know for what). But, what with false pride and all, maybe that's unlikely to happen?

doobs


Total Posts: 846
Joined: Jun 2005
 
Posted: 2010-01-22 20:58
SIP Applause

"You should brush up on your IT skills" Heart

edit: NEMO, please don't leave, this forum appreciates your presence

london


Total Posts: 327
Joined: Apr 2005
 
Posted: 2010-01-22 21:49
Many years ago, history was retold via the medium of verse...

I give you the Ballad of Irene Aldridge:

T'was the end of the week and all through the pad,
There was nada happenin', now thats pretty bad.
Europe had closed, with Asia well before,
The US was open, but not for much more.

To NP I drift and a new face is seen
Who likes a new book but generates spleen.
Standing alone against the existing members
but who is she to question the opinion of others?

All presentation and very low content,
she might want to make this an advert.
Mutliple Identities are a big no-no
But for publicity, maybe she gave it a go?

Fearing a meltdown and ever present,
our heroic admin makes his statement.
Politely requesting some apologizing
She misinterprets and reverts to insulting.

I couldn't help gawking, the old girl had class.
But I had to confirm -- she was appearing an ass.
Down out of the forum she fell with a crash,
And out of her pocket went her hoped-for stash.

The end.

Nemo: On a serious note, somebody once told me that building a reputation is like climbing a mountain: a long hard slog on the way up, but very easy to fall a long way back down at any time.

It might not be too late to turn this around, if you so desire.

jslade


Total Posts: 1246
Joined: Feb 2007
 
Posted: 2010-01-23 00:25
SIP and London:
Applause

Seriously "nemo," (hey, cool latin joke!) you do the community a sort of service by going on TV and such: why alienate your constituents with dumb sock puppetry?

"Learning, n. The kind of ignorance distinguishing the studious."

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2010-01-23 01:46

And hedgeQuant, you do not seem to know what you are talking about.

Ideally I would not respond to a criticism like this. But for the benefit of others who may come across this let me clarify what I said in my earlier post.

Not all systematic strategies immediately lend themselves to HFT. For example any systematic strategy that looks at fundamentals may not benefit from shorter holding periods. So just speeding up your strategy may only bring a nice bottle of wine from your broker and nothing more.

This is not to dispute what Ms. Aldridge wrote in her article. There are certain mean reversion strategies that do benefit from faster trading. Liquidity providing strategies do benefit if you trade more frequently. As a simple example say that you find the gap is mean reverting. How would you trade it? One way is that you wait for the open. Use the information from the gap, set a target price and then execute trades based on the current price levels. You might find that the faster you trade (more trades closer to the open) the higher your return.

Ultimately the best way might be to place limit orders at the opening auction. Things work very well; you ramp up your strategy. What do you think will limit your profits? Market impact. Thats point number one I mentioned. Eventually your orders will start influencing the open and you will find the edge disappear.

So the next question is why not trade at levels that would not give rise to meaningful market impact? The answer to that is capacity and that is my second point. One of the questions one usually gets asked in Due Dilligence Questionnaires is Capacity. From what little I know, it seems many institutional investors want some reasonable capacity. Of course if you are specializing in a niche strategy for a prop desk and dont bother with capacity, my point is moot. However there are a very many number of quants who are not in this category. So capacity will always be an issue.

Finding a profitable high-frequency strategy, therefore, may only be a few clicks of the mouse away.  

The above quote, I have issues with. Trust me, most of the quants in the business have tried all the tools available including few thousand clicks of the mouse, few thousand spins of the track balls and enough cups of coffee to impact Starbucks' EPS. Eventually when a quant settles on a strategy and a holding period it is likley to be influenced by the following:

1. The effective holding period implied by the alpha itself. Minutes? Days? Months?

2. What are the chances of being wrong? Let us say I have a view that the S&P will outperform the Nasdaq over the next month by 1%. But let us say I made all of my trades today, Jan 22, 2010. (QQQ underperforming S&P by almost 1%). Should I have waited? Should I have spread my trades over a week? The longer I wait, there is potential for alpha decay. But by spreading trades I might also reduce my risk of picking the worst day for the trade. If I speeded up the strategy for the sake of speeding it, I might find that my trades become lot more riskier.

3. Infrastructure. When I run a business I look at two things: revenue and expenses. Profit is the difference between the two. A lot depends on who pays for what. Ok, by speeding up the trading I increase my profit from 20% to 25%. In a 2 & 20 structure, running 100 Million Dollars, that brings an extra 1 Million (20% of 5 Million) to the firm. But what are the expenses? Do they justify the benefits?

The good quants on the street always do their homework well. If they are not doing HFT with their systematic strategy, trust me, the solution is not a few clicks of the mouse. I thought that the words Capacity and Market Impact should be set always in one's mind when thinking about HFT.

I did not mean my post to demean Ms. Aldridge's professional experience or expertise. All I am saying is that sentences as the one quoted above might sound demeaning to the quants who know their stuff.

Let me conclude by asking other Phorum members a question. Many of you have been in academia and would have gone through writing as well as reviewing papers. When was the last time any journal allowed an answer to a criticism with the words: you don't know what you are talking about.

Academics do have their merits :)

 

PS: SIP if the post is adding fuel to fire, please feel to remove this. Advance apologies if anyone is offended.

Edit: I will wait for Squeeze to explain his (in my opinion: well said) comment. If not I will add a post on that as well.


sfca


Total Posts: 904
Joined: May 2004
 
Posted: 2010-01-23 02:20

RE:  "Advance apologies if anyone is offended." wrote hQ

Just about every Friday some completely screwball conversation like this happens that keeps me laughing until Saturday around noon.  It would be impossible to make this stuff up. 


hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2010-01-23 04:18

@sfca

Just for you: apologies in advance. Evil Smile


FDAXHunter
Founding Member

Total Posts: 8372
Joined: Mar 2004
 
Posted: 2010-01-23 13:10
I disagree strongly with the notion that Miss Aldridge's shameless self-promotion in an industry that she has very clearly little to no experience with, is actually helping.

Her published articles are little more than drivel, her constant ranting on television remind me of those self-proclaimed "experts" that pop up in interviews after some major news event.

I think her post promoting herself and touting how awesome her book is just shows you to what level she will stoop. I mean: talk about loooow. I didn't even stoop that low when I was in federal prison (for the biggest dividend arb in history) and Mike Milken dropped the soap bar....

nemo (Aldridge): She does successfully build HFT systems, and really knows her stuff (she spent 10 years in various financial engineering and software development roles in financial services, this is not on her LinkedIn) .

Mkay, yes that makes a lot of sense. She's so successful at it that she has time and inclination to run a consultancy peddling "High Frequency Trading Systems". Because, she's already made all the money in the world, right, so now she can just sell them off to other people (I have to admit, after the first 200 billion USD I got a bit tired of the whole thing... but my family urged me to go on to make another 800...)
And of course, she's never put her employment history on her Linked-in CV because... she doesn't have any, or they are of such obscurity and would expose her for the tag-along that she clearly is.

nemo (Aldridge): She has been building and executing trading systems for a number of years now.
Yes, she keeps mentioning that. And so who the fuck has time for this drivel:

http://twitter.com/ialdridge

Your own twitter feed? Dude, I don't know anyone in the trading industry that has a twitter feed. You know, because, we're like, busy trading and stuff and we're not really interested in publicity. In fact, you'll notice that (successful) people in the trading industry are very very keen to remain as anonymous as possible. In trading anonymity is king. Conference panels? Media appearances on radio and television? I don't think so!

Anyway, this post is really as much a waste of my time writing it as it is of yours reading it, I just want to dispel the notion that:

a) She knows what she's talking about or doing (she doesn't. She really doesn't).
b) That her self-promoting "interviews" on television are good for the industry. They are not. She doesn't know what she's talking about, she speaks with no authority and she's not at all eloquent. We don't need a spokeswoman... and we certainly don't need her trying to be one.

So do us all a favor Irene: Grow up, get a real job where you're actually doing something as opposed to traveling around trying to convince people that you're doing something.

Again: Those who can't trade... teach (or try to). So please, just go away....... if you want to be on television, produce a music video, or go to the Weather Channel. Or something.

The Figs Protocol.

Maggette


Total Posts: 1325
Joined: Jun 2007
 
Posted: 2010-01-23 15:04
I think I have just wittnessed FDAX Hunter do what he's supposed to do....HUNT!!!

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

goldorak


Total Posts: 1091
Joined: Nov 2004
 
Posted: 2010-01-23 18:23
To all, I believe I am softly asked to leave this forum.
I shall do so. No hard feelings or threats are necessary.
-----

No please Nemo (I mean Irene), please stay on this forum! I wanted to ask you if you could kindly send me a free copy of your book. I have already spared some space in my quant trading library, just in between my DVDs of Sex In the City (the movie) I & II (actually volume II is just a CD-burn of the movie trailer in a Barbie-Mattel-box, just to keep some space free for the real DVD).

NB: Please no one asks what are DVDs of Sex In the City doing in my quant library. I won't speak. Just can tell this has something to do with market neutral strategies, stuff like high frequency trading strategies which are short LVMH and long Armani. Irene may be interested for volume II of her book, who knows.

If you are not living on the edge you are taking up too much space.

hedgeQuant


Total Posts: 233
Joined: Dec 2006
 
Posted: 2010-01-23 18:38

I disagree strongly with the notion that Miss Aldridge's shameless self-promotion

With due respect FDAX, I am not sure about the self-promotion part, especially after I saw this:

http://www.zerohedge.com/article/more-free-publicity-irene-aldridge-jon-stewart-blasts-hft


london


Total Posts: 327
Joined: Apr 2005
 
Posted: 2010-01-23 23:15
The Jon Stewart clip: a ridiculously dressed interviewer (the cow) asking leading questions and then letting the interviewee (Irene) make a fool of themselves...this reminds me of how Ali G got started about 15 years ago (the cow that is, not Irene)

Oh wait... it gets even better.... Irene's proud of that Jon Stewart clip and quotes it in her bio as an appearance on "business television" to give herself credibility, this is just too funny.

It makes me wonder if any publicity is ever considered bad publicity for an author promoting a book and if there is anything she won't do... Hey, Irene, how about jumping out of a plane? holding a copy of your book? We can make it into a documentary on the lengths an author will go.
Or how about showing up at natural disasters and hanging around behind the reporters?
Or claiming an affair with Tiger Woods, that might still get you some air time?
Or streaking the NYSE?

Damn, I should be in PR or marketing...

I can't wait to see what she does next, it could be amusing... but hopefully unrelated to trading.

Cheng


Total Posts: 2870
Joined: Feb 2005
 
Posted: 2010-01-25 09:04
SIP and London: Applause Worship

I really missed some fun over the weekend but it made a good start for the week.

"Dead eyes / See no future / Falling from grace / We are coming home"

FDAXHunter
Founding Member

Total Posts: 8372
Joined: Mar 2004
 
Posted: 2010-01-25 09:32
hedgeQuant: I am not sure about the self-promotion part, especially after I saw this:

Uhm, yes. You're right! Scratch shameless self-promotion and replace with self... self... self-harming?

Note: the video is not available from Europe: Here's a youtube version.

http://www.youtube.com/watch?v=AIzDHWpE9rk

The Figs Protocol.
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