The nature of trades in HFT

Ref: Qplum algorithmic trade execution

Information

Short term

Structuring

Medium term

Prediction

Long term

Ref: Three sources of alpha - qplum

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

Ref: Infra is key in ML - NIPS

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?

Ref: CppCon-2017 Carl Cook (video)

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