‘‘Woulda coulda shoulda,’’ he said. ‘‘Obviously I wish I’d shorted a bunch of shares but that’s the bane of the portfolio manager: never happy.”
Category: Finance
Robots On Wall Street ?
As automation in financial services grows, computers and algorithms have taken on some of the traditional work of traders, clerks and financial advisers. Now, a host of startups that use artificial intelligence to write news stories and other reports have set their sights on writing work at banks and financial-service companies.
The Bloomberg Terminal : Inside The Esoteric Ecosystem That Keeps Finance Hooked
Even high culture has acknowledged its status. Last week the Smithsonian’s National Museum of American History started displaying the old Bloomberg keyboard of bond market legend Bill Gross as part of its “American Enterprise” exhibition.
For bankers, traders and money managers, these examples of the terminal’s ubiquity are entirely unsurprising, with many admitting a near-addiction. “I genuinely don’t know how I’d manage without the terminal,” says Matt Russell, a fund manager at M&G Investments in London. “It’s quite sad, really.”
Profiting From the Losers
Instead of trying to identify profitable trading algos on in-sample data that validate out-of-sample and remain profitable forward, one could instead try to identify unprofitable algos in some data sample that turn profitable in a forward sample. This often works because markets have become more mean-reverting in recent years.
How a Mystery Trader With an Algorithm May Have Caused the Flash Crash
That same day, Sarao and his firm, Nav Sarao Futures Limited Plc, used “layering” and “spoofing” algorithms to trade thousands of futures S&P 500 E-mini contracts. The orders amounted to about $200 million worth of bets that the market would fall, a trade that represented between 20 percent and 29 percent of all sell orders at the time. The orders were then replaced or modified 19,000 times before being canceled in the afternoon.
About three weeks later, Sarao told his broker that he had just called the CME and told them to “kiss my ass,” the affidavit said.
Abnormal Capitalist 