While the war over the latest+greatest video cards for the current generation of graphics intensive games seems always to ebb and flow between nVidia and its arch-rival ATI, I’ve long preferred nVidia for their better support of Linux. Thus, all of my machines have some sort of nVidia Graphics Processing Unit (GPU) in them.
For those who spend their workdays in the markets and their weekends pondering derivatives pricing, latency, oceans of market data, portfolio optimization, and how to make every last damn thing faster, a preference for nVidia cards could prove to yield an unexpected benefit.
nVidia has recently unveiled a product line dubbed “TESLA” which leverages their absurdly fast GPUs to provide a supercomputer-like High Performance Computing (HPC) platform at a previously unimaginable price point. TESLA computers are regular machines that have a set of slightly modified GPUs in them; modified such that they have no video out, but instead become additive processing clusters which the machine can use for compute intensive tasks. For about $10K you can buy a 1U machine with some 4 teraflops of capacity. By way of comparison, this is over 20 times faster than the funky Helmer project I’d been drooling over a few months ago in a production-worthy package ready for the server room today.
So, TESLA refers to the machines built with these specialized GPUs. Making all this power usable is what CUDA is about…
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monte-carlo methods, options pricing, portfolio management, technology
"all the way down"
This post from the financial times both evokes an earlier post I’d written and pretty uniquely captures the zeitgeist of our times…
It’s good to see that the cast of usual suspects haven’t gone gun shy from losing billions and are still out there innovating.
For those looking to answer the question:
Q: How do we improve upon layers of opaque, illiquid and unregulated financial instruments?
The good people who brought us the “credit crisis” have engineered an answer to this puzzle:
A: just add another layer!
dereferenced, our managed markets
The New American Way: you pay, they profit
It’s not being characterized as such, but the bailout of Citi is really just a stealth tax on the citizenry of America.
~$1,000 for every man, woman and child in our country.
I saw the memo Pandit sent to his ebullient employees. It’s filled with some quality verbiage, but my favorite part is where he characterizes this as an “innovative market-based solution”…
This is an innovative, market-based solution that allows us to purchase insurance from the Fed to limit future risk. And while the global economic challenges are still not over, this transaction brings even greater clarity to our overall financial strength and ability to deliver on the promise of this great institution.
The use of the word “purchased” is also pretty splendid. This is just classic stuff from the head of a company that has engineered an absolutely historic destruction of value.
After the break you can see the remainder of this pristine example of doublespeak-as-modern-art. I hope you find it funny … you’re paying for it.
Read more…
our managed markets
Inevitably one of the first ideas people have when they start thinking about how to write a trading algorithm turns out to be among the hardest: trading the news. The problems are many and in some cases not so obvious…but the natural appeal of the idea seems universally compelling.
Just after the dot.com craze, a brilliant friend of mine (who had just sold his web consulting startup) decided to write a book. The premise was glorious. A bunch of clever college-age kids formed a startup to predict the stock market. The method they used was to constantly comb the web with ultra-sophisticated algorithms which would run across giant server farms overnight and ultimately generate tomorrow’s headlines. Based on the headlines that their system generated, they would place trades that would take advantage of these predicted events.
Sadly, my friend never went on to complete his book, so I don’t know how it all turned out. (Instead, he went on to start another successful company, this time in the field of robotics.) While he was writing it, I loved getting new drafts as they were filled with clever ideas. But the core idea of predicting headlines and then using those headlines to trade always struck me as especially cute.
For those of us without access to news-predicting algos, writing strategies based on the news is rather less straight forward, though there are a growing variety of products and services aiming to fill the gaps. Today must have been trading-the-news-day as I found a few articles on the topic in my mailbox and even received a cold call from a vendor, Need to Know News, with just such an offering. Below I’ll look at some of these offerings and consider some of the issues involved in writing trading strategies based on the news. Read more…
back-testing, market data, startup, strategy development, technology
Photoillustration by: Ji Lee
This afternoon I read by far the best and most interesting article yet on “The End” of wall st by Michael Lewis. Of course, as I was reading this engrossing tale on the inevitable failure of greed to create a perpetual money machine, the market rallied some 6%…
While the hero of Lewis’ piece found value in effectively shorting the credit bubble just as it reached its shimmering peak, this set of “investors” looks to profit in these tougher times ahead by going long man’s baser tendencies…
dereferenced, hedge funds
I came across this gem of a quote in a comment on the big picture and it reminded me, somewhat circuitously, of another one of the things I view as axiomatic about algorithmic trading.
In The Alchemy of Finance, George Soros observed that one of his advantages as a trader was that while he held beliefs strongly, he was also capable of abandoning or even reversing them quickly as conditions evolved. An algorithmic trader needs something like this but more so – an automated trader is best served free of opinions entirely.
I think this is why the sunken ship quote made me think of this. While charts are an effective means of quickly communicating potentially a great deal of information to a human viewer, the cult of chart technicians and the endless supply of books, lecture series and training materials they actually make their money on might convince you that you can form your opinions based on chart patterns…
Read more…
books, strategy development
Normally I spend my design-oriented thoughts on object models – when I’m working on StratBox – or about volatility, latency, executions, &tc – when I’m working on a trading strategy. But a recent trip abroad has inspired me to consider more fanciful design horizons.
After more than a year of blogging I’ve finally decided to refresh the look of the site and you’re looking at the first iteration of this effort. Blogging software is pretty remarkable as it allowed me to essentially change the “skin” of the blog without affecting its content. This is like Kirill Grouchnikov’s lovely open source “Substance” Look&Feel for Java which does the same trick for swing-based applications: just include his magic code and your system automagically looks a lot better!
More substantively, my recent trip to Israel and the subsequent agreement to open a Tel Aviv office to take advantage of a felicitous new partnership and Israeli algorithmic talent, has led to a broadening of our mission. This in turn led to the foray into graphic design I describe below. Read more…
dereferenced, open-source software, startup
