Berkeley CIFT

I'm going to be moving to San Francisco and I want to start meeting quantitative finance people. Where should I start? Also I'd be interested in knowing about any cool colloquia series I could sign up for emails about. In Indiana I used to go to: -logic talks -decision theory talks -differential geometry seminars -statistics seminars Any advice appreciated! -Mr Hoosier

David Leinweber: Try QWAFAFEW, they do monthly eventshttp://sites.google.com/site/sfqwafafew/Home

Emphasis has changed from an educational lab to research in applying supercomputing in finance and related "big data, big computation" areas Details here: Center for Innovative Financial Technology Lawrence Berkeley National Lab Berkeley CA http://www.lbl.gov/CS/CIFT.html http://www.lbl.gov/cs/DavidL.html Our comment to the SEC regarding the proposed multibillion dollar CATS market monitoring system (a response to the Flash Crash) is attached

Hi, I've always been a hobbyist trader and interested in trading strategies. I was either too ignorant or cheap to buy tools out there so I embarked on my own project to allow me to analyze historical time series data for interesting behavior. As a result, I launched my project in beta a couple weeks ago at http://www.quantstock.com. The idea is to allow closet traders and non finance professionals to create custom strategies to identify stocks/E... [read more]

http://www.nytimes.com/2009/08/24/business/24trading.html?_r=1&/partner/rssnyt

Erik M.C. Peterson: If it wasn't I don't think the Bulge Brackets would be doing it. However GS proprietary trading algorithms, if revealed, could shed light on their strategies.. making them less effective. Not only that : from the article 'But no one disputes that hig... [read more]

David Leinweber: HF Trading is clearly highly profitable. There are many employment lawsuits that show multi-million comp deals. The Nov issue of Advanced Trading is all HFT, and v.good http://www.advancedtrading.com/issues/200911/index.jhtml;jsessionid=AGVTEB0B1WS5B... [read more]

Efficient Market Hypothesis - states that markets are always correctly priced and react instantly and efficiently to new data. This theory would say that there is no way to 'beat' the market and it is always 'right'. As algorithms speedup, this starts to look actually possible. I do not believe E.M.H. in todays markets is possible, but will it be much much harder to 'beat the market' in the long run? One would have to start guessing and taking la... [read more]

Erik M.C. Peterson: side thought: perhaps E.M.H. will never be possible because of the inherent risk in the data that we are using to process price action with? For example : false news / typos - Where If I want to drive a stock upwards and I hack a few hundred drones. ... [read more]

Systematic approaches to problem solving are not limited to those directly consuming CPU cycles. This article, by CIFT Director John O'Brien is another example of how systems thinking can contribute to economic recovery. Revolutionary help for homeowners Homeownership doesn't have to be 'all-or-nothing.' By John O'Brien from the November 26, 2008 Christiian Science Monitor Berkeley, Calif. - Home prices in the US are in free fall. As long as that... [read more]

Max Dama: Cool.

Erik M.C. Peterson: I call the upstairs tranche

All -- I am wondering is there a place to get access to letters to investors from Mutual fund managers to thier investors. I think doing some sort of text analysis of these letters will provide some aggregate information about the markets.

David Leinweber: That will be difficult. It's all public information. For US publicly traded investment firms (eg Berkshire) there are SEC files w management letters You could also try asking for them.

Erik M.C. Peterson: Mutual funds usually have the prospectus, etc etc.. Are there really letters going out to investors on a quarterly basis? My 401K is handled through fidelity, and I see no such information.. except for the following: Snapshot Overview Expenses & Fees... [read more]

Please see this new paper: New American Bank Initiative: Removing structural flaws in the economic rescue by David Leinweber and Salman Khan Here's the abstract: In this paper, we argue for a New American Bank Initiative: use the $700 billion in government funds to capitalize new banks and distribute the shares of the new entities to the American People . These new banks would then acquire the operational and human capital assets of failed banks ... [read more]

Salman Khan: Since one side effect of this plan would be New Banks lending to Old Banks, John had asked about how different this plan is relative to the the Treasury essentially picking which banks to inject capital into. This was my response: Right now, a lot of... [read more]

Erik M.C. Peterson: Looking back at this paper, this would have been an interesting idea. It seems the small banks are the ones paying the price though, with higher FDIC fees possibly coming in order to replenish FDIC coffers. The governments plan may have done a lot, b... [read more]

Dear Innovators, It's been a year since we had the first BarCampBankSF at the UC Berkeley campus -- and given the current state of the economy, the collapse of the stock markets, the credit crunch hitting the global markets and the issuing severe slowdown of activity -- the timing couldn't be better for a second BarCampBankSF. BarCampBank aims at bringing together the Bay Area's smartest technologists and industry insiders from all over the world... [read more]

This new topic is to get the discussion of CIFTLab out of the comments in an old thread and up to the top. There are some examples to see at other schools: Cornell – “The Robert S. Boas Trading Room is the focal point of the Parker Center. A virtual trading room and classroom, it features real-time stock quotes, international data feeds, and financial analysis software and data valued at more than $1.8 million per year in licensing fees.” http://... [read more]

http://www.berkeleyfinanceconference.org/

A key goal of the Center is provide training in a realistic investment and trading environment. The Usual Suspects: Reuters Dow Jones Bloomberg Which tools would people like to see? Just to get the ball rolling: Optimizers - BARRA, Northfield Model Builders - Clarifi Integrated Data/Model Environments - Factset What they have at other similar centers http://www.johnson.cornell.edu/parkercenter/index.html

lisa goldberg: you mention that an optimizer is an important tool required to get started. In a recent paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1074622, andrew lo and pankaj patel use the barra optimizer and risk model (and some credit suisse alpha... [read more]

David Leinweber: For quantitative investing, an optimizer is an important tool, in long only, market neutral, and equitized strategies. It provides a systematic means to deal with multiple risk factors. I don't see why it would be become unimportant in 130/30 strateg... [read more]

Max Dama: Dr. Leinweber, Realtime and historical data would be great since it's so expensive. The Haas library has access to some intra-day historical data via Wharton Research Data Services: http://wrds.wharton.upenn.edu/home/index.shtml but it's not current.... [read more]

Check out: http://stockmood.com . They are taking the sentiment of articles covering a specific set of stocks to get overall sentiment. In true contraian fashion their regressions have found that when sentiment is high compared to historical measures that a stock DROP is likely in the next five days and vice versa. Not sure how they will monetise the offering. Has anyone seen any other services like this open to the general public?

Back in the old days, when stocks traded, slowly, in 1/8s and in one place, it was easy to measure the state of a market. Look at the recent quotes and trades on a ticker or display. Now, with penny pricing, dozens of market fragments, limit orders gone in milliseconds, and dark liquidity the only way to infer the state of a market is to do a great deal of math, in a hurry. Some fragments have LOBs, some use other market structures. A simple LOB ... [read more]

Paul Hoff: You probably already know about Interactive Supercomputing and their "parallel system on demand" product which they call Star-P. You might check out their financial service page (http://www.interactivesupercomputing.com/industrysolutions/is_finance.p... [read more]

I'll be doing a talk on "The Ecosystem of Corporate and Social Data" at Web 2.0 NYC. It seems like it could be relevant to some of you. Details here: http://en.oreilly.com/webexny2008/public/schedule/detail/4866

We've asked Yahoo to consider making Pipes open source, and offered to host it at CIFT. We'd also like to have a few examples of "hello world" financial Pipes applications to help people get started. Any Pipes BOFs out there?

All, I've just discovered CIFT (my loss for not knowing before). We've just had a BarCampBank San Francisco at Berkeley CET - http://barcamp.org/BarCampBankSF - two weeks ago. I think we would have benefited from having people from CIFT then. We are planning a BarCampBankSF2 in 6-9 months - http://barcamp.org/BarCampBankSF2 - I hope we'll have an opportunity to share things then.

David Leinweber: Don't feel too bad about not knowing before. The shrink-wrap is barely off the website, which only went up a week ago. BarCampBank sounds interesting. Please keep us posted on its status and dates here.

Market data flows are voluminous, fast, time-critical, and growing rapidly around the world. There are particular challenges to meet when designing computers for electronic trading, and a particular aspects of the data and analytic task that suggest solutions using current technology. rs, and now are talking about microseconds. Many installations are careful about cable length. Latency that would be unnoticeable or immaterial in other contexts is... [read more]

Tito Ingargiola: You should take a look at tervela (http://www.tervela.com) as they have something like a hardware implementation of CEP. Very compelling looking product though it remains out of my price range, so I can't provide a detailed product review as yet!