engenharia financeira
TRANSCRIPT
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TRADING/INVESTMENT MANAGEMENT SYSTEM
Rodrigo Sucupira Andrade LimaAutomation and Control Engineering
Escola Politécnica da Universidade de São Paulo
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Investment management systems are risky?
Can computer programs anticipatemarket movements?
How mathematic models extract information from financial times series?
QUESTION
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VOLATILITY
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PRICE & RETURN
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PLOTTING
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COMPUTER MODEL AND SIMULATION
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SIMULATION
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MACHINE LEARNING
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MATHEMATICAL ENGINEERING
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SOFTWARE ENGINEERING
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STRATEGY
• Pair trading / Arbitrage• Trend Folowing• Scalping• Reversion
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MARKET COMPLEXITY
• LONG TERM INVESTMENTS• SHORT TERM INVESTMENTS• BUY-SIDE INVESTORS• HIGH FREQUENCY TRADERS• DAY-TRADERS• QUANTITATIVE TRADERS• STATISTICAL ARBRITAGE• SCALPING
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TRADING/INVESTMENT SYSTEM DEVELOPMENT METHODOLOGY
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OPTIMIZATION
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STATISTICS
STANDART DEVIATIONMEAN
SKEWNESS KURTOSISCORRELATION
DISTRIBUTIONS
PARAMETRIC
NON-PARAMETRIC
ROBUST STATISTICS
PLOTTING
HISTOGRAMSCLUSTERS
MONTE CARLO SIMULATION
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• Pergunta• Problemas• soluções• Metodologias• resultados
• Compass Rose
MARKET DYNAMICS
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MARKET DYNAMICS
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RISK MANAGEMENT
• Var• Stress• Trading Management
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FINANCIAL DISASTERS
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TECHNOLOGY
• C, C++, .NET, SQL• DMA –DIRECT MARKET ACESS• FPGA - FIELD PROGRAMMABLE GATE ARRAY
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CLIMATE DERIVATIVES
• SAZONALITIES• METHEOROLOGICAL MODELS• ECONOMY EXPOSURE
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LATENCY MANAGEMENT
• ORDER MANAGEMENT• SYSTEM COMMUNICATION• QUEUEUE MANAGEMENT
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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