engenharia financeira
TRANSCRIPT
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