Machine Learning Infrastructure &

High Frequency Trading

Disclosures: Qplum LLC is a registered investment adviser.  Information presented is for educational purposes only and does not intend to make an offer or solicitation for the sale or purchase of any specific securities, investments, or investment strategies.  Investments involve risk and are never guaranteed.  Be sure to first consult with a qualified financial adviser and/or tax professional before implementing any strategy discussed herein. Past performance is not indicative of future performance.

The nature of trades in HFT

Information

 

 

 

Short term

Structuring

 

 

 

Medium term

Prediction

 

 

 

Long term

Quiz - Q1: What is more important in HFT?

 

  1. make few big money-making trades and no losses

  2. make lots of small positive trades

  3. lots of small positive trades and almost no big losses

Infrastructure is key to ML

HFT live-trading schematic

Quiz - Q2: Where is market data being processed?

 

  1. Switch

  2. FPGA

  3. Order Routing Server

How fast do we need to be?

HFT Inter-process schematic

ML in finance is hard ... need to do a lot of things right

Machine Learning innovation

Linear regression

Neural Networks

HFT/MLT backtesting schematic

Questions?

 

gchak @ qplum.co

Disclosures: qplum LLC is a registered investment adviser.  Information presented is for educational purposes only and does not intend to make an offer or solicitation for the sale or purchase of any specific securities, investments, or investment strategies.  Investments involve risk and are never guaranteed.  Be sure to first consult with a qualified financial adviser and/or tax professional before implementing any strategy discussed herein. Past performance is not indicative of future performance.

Appendix

Investing with a trustworthy tool

"security analysis may begin--modestly, but hopefully--to refer to itself as a scientific discipline "

 

Imagining investing with "trustworthy tool" and not experts.

- Benjamin Graham

Towards a science of security analysis published 1952

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