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?
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make few big money-making trades and no losses
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make lots of small positive trades
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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?
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Switch
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FPGA
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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
