Statistical arbitration - page 9

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Дмитрий:

How does this nonsense relate to statistical arbitrage?

OK. What to read?
 
ivanivan_11:

in general, initially, statistical arbitrage was a rather thought-provoking strategy.

i can't help but wonder what i should do? where should i put it?

StatisticalArbitrage: High Frequency Pairs Trading

Statistical Arbitrage in High Frequency Trading Based on Limit Order Book Dynamics

etc.


What's the maths there? The hft is supposed to have 100 lines of executable code that executes in a couple of microseconds or even nanoseconds. Ideally, it's an FPGA. The main thing there is not an algorithm but speed, which is beyond the reach of mere mortals. And the execution, direct wiring... Infrastructure... all very expensive, $10,000 per month.
 
Maxim Dmitrievsky:
What maths is there? The hft is supposed to have 100 lines of executable code that runs in a couple of microseconds or even a nanosecond. Ideally, it's an FPGA. The main thing there is not an algorithm but speed, which is beyond the reach of mere mortals. And the execution, direct wiring... Infrastructure... all very expensive, $10,000 a month.

Open one of these jobs and you'll see that even the glass is counted by maths, not school maths. Not even college maths.

not all hfts are geared towards latency arbitrage and frontrunning.

 
ivanivan_11:

You're asking me? open one of these papers and you'll see that even the glass there is counted by some maths, not even school maths. and not even every college maths.

not all hfts are geared towards latency arbitrage and frontrunning.

I saw some guys on the occasion, HFT guys - mathematicians, graduated from Moscow State University. They said they had been working for three years before they entered the market.
 
ivanivan_11:

You're asking me? open one of these papers and you'll see that even the glass there is counted by some maths, not even school maths. and not even every college maths.

not all hfts are geared towards latency arbitrage and frontrunning.

The main thing is that hft works on purely technical stuff, i haven't seen any complicated maths. Do you have any references?
 
Maxim Dmitrievsky:
Frontrunning mostly, hft works on purely technical stuff, haven't come across any complicated maths. Do you have any links?

You just need to understand who is judging from what, maybe you have a Ph.D. in Physics or just the appropriate education.

Correlated High-Frequency Trading

http://coller.tau.ac.il/sites/nihul_en.tau.ac.il/files/media_server/Recanati/management/seminars/account/2016/saar.pdf

Statistical Arbitrage Using Limit Order Book Imbalance

https://tspace.library.utoronto.ca/bitstream/1807/70567/3/Rubisov_Anton_201511_MAS_thesis.pdf

 
ivanivan_11:

You just need to understand who is judging from what, maybe you have a Ph.D. in Physics or Mathematics, or maybe you just have the appropriate education.

Correlated High-Frequency Trading

http://coller.tau.ac.il/sites/nihul_en.tau.ac.il/files/media_server/Recanati/management/seminars/account/2016/saar.pdf

Statistical Arbitrage Using Limit Order Book Imbalance

https://tspace.library.utoronto.ca/bitstream/1807/70567/3/Rubisov_Anton_201511_MAS_thesis.pdf

Thanks, it's just the right time for me to try HFT bots in a very fast platform with direct connection to brokers. But haven't had any experience yet. No, I have a degree in finance and credit and not a complete philosophical, and I'm a self-taught programmer :) The main thing is to grasp the gist, the rest can be done over time
 
Maxim Dmitrievsky:
What's the maths? Hft is supposed to have 100 lines of executable code that takes a couple of microseconds or even a nanosecond to complete. Ideally, it's an FPGA. The main thing there is not an algorithm but speed, which is beyond the reach of mere mortals. And the execution, direct wiring... Infrastructure... all very expensive, $10,000 per month.

Yep. How can you be so confident in your judgement?

It's a good idea to have at least a remote understanding of how HFT works.

 
Ром:

Yep. How can you be so confident in your judgement?

It's a good idea to have at least a remote understanding of how HFT works.

Be more specific if you know... that's my first approximation at the moment )
 
Maxim Dmitrievsky:
You should be more specific if you know... this is my vague idea at the moment )

It's OK.) Confidence doesn't hurt. You can't take your first steps without it.

When (if) you start testing and researching what it is, you'll understand (or maybe not) the importance of maths and algorithm.

There's serious competition among algorithms that run on direct connections on servers in the exchange's colocation zone and have roughly the same roundtrip.

If you have instant speed, but not a competitive algorithm, cucumbers will be pummeled from under the queue on a corvette with elephant pings.

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