TRADING/INVESTMENT MANAGEMENT SYSTEM

Rodrigo Sucupira Andrade LimaAutomation and Control Engineering

Escola Politécnica da Universidade de São Paulo

Investment management systems are risky?

Can computer programs anticipatemarket movements?

How mathematic models extract information from financial times series?

QUESTION

VOLATILITY

PRICE & RETURN

PLOTTING

COMPUTER MODEL AND SIMULATION

SIMULATION

MACHINE LEARNING

MATHEMATICAL ENGINEERING

SOFTWARE ENGINEERING

STRATEGY

• Pair trading / Arbitrage• Trend Folowing• Scalping• Reversion

MARKET COMPLEXITY

• LONG TERM INVESTMENTS• SHORT TERM INVESTMENTS• BUY-SIDE INVESTORS• HIGH FREQUENCY TRADERS• DAY-TRADERS• QUANTITATIVE TRADERS• STATISTICAL ARBRITAGE• SCALPING

TRADING/INVESTMENT SYSTEM DEVELOPMENT METHODOLOGY

OPTIMIZATION

STATISTICS

STANDART DEVIATIONMEAN

SKEWNESS KURTOSISCORRELATION

DISTRIBUTIONS

PARAMETRIC

NON-PARAMETRIC

ROBUST STATISTICS

PLOTTING

HISTOGRAMSCLUSTERS

MONTE CARLO SIMULATION

• Pergunta• Problemas• soluções• Metodologias• resultados

• Compass Rose

MARKET DYNAMICS

MARKET DYNAMICS

RISK MANAGEMENT

• Var• Stress• Trading Management

FINANCIAL DISASTERS

TECHNOLOGY

• C, C++, .NET, SQL• DMA –DIRECT MARKET ACESS• FPGA - FIELD PROGRAMMABLE GATE ARRAY

CLIMATE DERIVATIVES

• SAZONALITIES• METHEOROLOGICAL MODELS• ECONOMY EXPOSURE

LATENCY MANAGEMENT

• ORDER MANAGEMENT• SYSTEM COMMUNICATION• QUEUEUE MANAGEMENT

FINANCIAL ENGINEERING

SOFTWARE ENGINEERING

STATISTICS

GENETIC ALGORITHMS

GENETIC PROGRAMMING OPTIMIZATION

MATHEMATIC ENGINEERING

FINANCE

REGRESSION

ECONOPHYSICS

TRADING SYSTEMSTECHNICAL ANALYSIS

DERIVATIVESBACKTESTING

PROGRAMMING SENSITIVITY ANALYSIS

WAVELET

HISTOGRAM

AUTOCORRELATION

C

C++

JAVA

MATLAB

STANDART DEVIATION

MEAN

STOCKSBLACK & SCHOLES

CAPITAL MANAGEMENT

PLOTTINGRISK MANAGEMENT

SIMULATION

LATENCY MANAGEMENT

LIQUIDITY RISK

QUEUEUE

ORDER FLOW

ARTIFICIAL INTELLIGENCE

NEURAL NETWORKS

CLUSTER

VOLATILITY

TREND FOLLOWING

SCALPING