Big Data for Big Money Trading; Can You Win Against the Machine?

1

Big data for big

money trading:

can you win against

the machine?

Facilitators:

Prof. Manoel Gadi

3

4Source: xe.com

5

http://www.bankofengland.co.uk/banknotes/Pages/about/faqs.aspx

What is the Bank’s “Promise to Pay”?

The words "I promise to pay the bearer on demand the sum of five [ten/twenty/fifty] pounds" date from long ago when our notes represented deposits of gold. At that time, a member of the public could exchange one of our banknotes for gold to the same value. For example, a £5 note could be exchanged for five gold coins, called sovereigns. But the value of the pound has not been linked to gold for many years, so the meaning of the promise to pay has changed. Exchange into gold is no longer possible and Bank of England notes can only be exchanged for other Bank of England notes of the same face value. Public trust in the pound is now maintained by the operation of monetary policy, the objective of which is price stability.

6

7

8

9

10

Big Data

Public API (yahoo finance, google

finance)

Web scrapper

Information Provider

Private API (bloomberg,

broker)

CSS Reader

Collecting information

CODE: https://dl.dropboxusercontent.com/u/28535341/IE_MBD_FA_s10_yahoo_datareader.html

12

13

https://dl.dropboxusercontent.com/u/28535341/IE_MBD_FA_s10_PerformanceSimulation.html

Just one aspect of performance

optimization for trading

SOURCE: Case Study DISRUPTING WALL STREET: HIGH FREQUENCY TRADING By Brad Evans

Flash crash of May 6, 2010 – S&P 500

Flash crash of May 6, 2010 – S&P 500

Big Data in Trading

Big Data Professional (BD Prof) in

Trading

Collect Information

Analysis (statistics and machine learning)

Invent Strategies

Create prototypes

Do back testing

Optimize algorithms for real time trading

BD Prof

BD Prof

BD Prof

BD Prof

BD Prof

BD Prof

Books

Flash Boys: A Wall Street Revolt is a non-fiction book by the American writer Michael Lewis. The book focuses on the rise of high-frequency trading (HFT) in the US equity market. Lewis states that "The market is rigged" by HFT traders who front run orders placed by investors.

http://www.ebooksbucket.com/uploads/economicsandfinance/finance/Python_for_Finance.pdf

Analyze Big Financial Data

24

Big data for big

money trading:

can you win against

the machine?

Facilitators:

Prof. Manoel Gadi