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zenek


Total Posts: 2
Joined: Dec 2011
 
Posted: 2011-12-29 15:58

>> Apparently she has written a chapter for a Fabozzi book scheduled to be released around Oct 2011.

Yep

http://www.amazon.com/Equity-Valuation-Portfolio-Management-Fabozzi/dp/047092991X

"The idiosyncrasies, opportunities and pitfalls in equity portfolio management arising from the use of high-frequency data are covered in Chapter 20 by Irene Aldridge. She explains how and when the traditional methods of data analyses employed when low-frequency data are used must be modified to deal with the unique nature of high-frequency data."

Nonius
Founding Member
Nonius Unbound
Total Posts: 12800
Joined: Mar 2004
 
Posted: 2011-12-29 21:15
Zenek, can Aldrige give me some pointers on HFT? I want to put some money in HFT for my retirement account, but Ive heard HFT trading is illegal. Is that true?

Chiral is Tyler Durden

Chuck


Total Posts: 330
Joined: May 2006
 
Posted: 2011-12-30 17:40
A wise member said, "there are no good books (finance of course, there are plenty fine romance novels and sci-fi)."

Speculator

Nonius
Founding Member
Nonius Unbound
Total Posts: 12800
Joined: Mar 2004
 
Posted: 2012-01-03 22:58
But seriously, I'd like to know if Zenek is Irene?

Chiral is Tyler Durden

zenek


Total Posts: 2
Joined: Dec 2011
 
Posted: 2012-01-03 23:28

I have to disappoint you Nonius - Zenek ain't Irene and does not aspire to be.

I did find this thread highly enjoyable though.

Have you gotten your mom & pop an allocation to HFT yet?

chika


Total Posts: 13
Joined: Aug 2004
 
Posted: 2021-03-07 08:58
Just a curious update: IA has been doing quite well and yields an impressive bio with a few more publications on her list.

A snapshot (a full recent bio is here https://www.meetup.com/thalesians/events/276775024):

Aldridge is the author of multiple academic papers and several books. Most notable titles include "Big Data Science in Finance" (co-authored with Marco Avellaneda, Wiley, 2020), "Real-Time Risk: What Investors Should Know About Fintech, High-Frequency Trading, Flash Crashes" (co-authored with Steve Krawciw, Wiley, 2017), "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" (2nd edition, translated into Chinese, Wiley 2013), and "The Quant Investor's Almanac 2011: A Road Map to Investing" (Wiley, 2010). Her recent academic publications include "Neural Networks in Finance: Design and Performance" (with Marco Avellaneda in the Journal of Financial Data Science, 2019), "Big Data in Portfolio Management" (Journal of Financial Data Science, 2019), "ETFs, High-Frequency Trading and Flash Crashes" (Journal of Portfolio Management, 2016), and "High-Frequency Runs and Flash Crash Predictability" (Journal of Portfolio Management, 2014).


Anyone read any of these? Any thoughts?

jslade


Total Posts: 1243
Joined: Feb 2007
 
Posted: 2021-03-07 10:18
Academia is a joke.

"Neural networks have piqued the interest of many financial modelers, but the concrete applications and implementation have remained elusive. This article discusses a step-by-step technique for building a potentially profitable financial neural network. The authors also demonstrate a successful application of the neural network to investing based on daily and monthly financial data. The article discusses various components of neural networks and compares popular neural network activation functions and their applicability to financial time series. Specifically, use of the tanh activation function is shown to closely mimic financial returns and produce the best results. Incorporating additional inputs, such as the S&P 500 prices, also helps improve neural networks’ forecasting performance. Longer training periods deliver strategies that closely mimic common technical analysis strategies, such as moving-average crossovers, whereas shorter training periods deliver significant forecasting power. The resulting neural network–based daily trading strategies on major US stocks significantly and consistently outperform the buy-and-hold positions in the same stocks."

Puke

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

Maggette


Total Posts: 1301
Joined: Jun 2007
 
Posted: 2021-03-07 12:22
It is incredible how much attention you can draw with NOTHING but talk.

I wouldn't touch that stuff with a ten yard stick. I like some of the people that are involved in the Thalesians project.


If that wasn't the case and I wouldn't have better things to do...I would say we crash her "webinar" on Wednesday Evil Smile

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

nikol


Total Posts: 1347
Joined: Jun 2005
 
Posted: 2021-03-07 17:36
> crash her "webinar"

1. It's cruel. ))
2. Ask yourself, is it worth your time?

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

rod


Total Posts: 433
Joined: Nov 2006
 
Posted: 2021-03-08 01:59
Irene is not grotesque. Why didn't she pursue a career in marketing, investor relations and the like?

Maggette


Total Posts: 1301
Joined: Jun 2007
 
Posted: 2021-03-08 09:16
Of course.

Neither do I have the time nor do I take pleasure in taking people down...even if they somehow deserve it.

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

nikol


Total Posts: 1347
Joined: Jun 2005
 
Posted: 2021-03-08 14:50
Briefly scanned her last book on "Big Data" and did not see anything really new. It looks as a typical quant copywriting work. Which is still a work, because, they had to produce all those plots and to process all that knowledge to lay down consistently.

"Deep Learning" by Courville/Goodfellow/Bengio remains on my top list.

@Magette

Webcast is obviously not about "brand new/front edge" research, but about this book only. My conclusion is that it is not worth the time.

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

HankScorpio


Total Posts: 481
Joined: Mar 2007
 
Posted: 2021-03-14 00:55
I'm curious as to why Marco A is co-authoring publications with Irene.
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