m********i
发帖数: 298 | 1 In Depth
How Profitable Are High-Frequency Trading Strategies?
Oct 2 2009 | 9:25am ET
By Irene Aldridge -- High-frequency trading has been taking Wall Street by
storm. While no institution thoroughly tracks the performance of high-
frequency funds, colloquial evidence suggests that the majority of high-
frequency managers delivered positive returns in 2008, while 70% of low-
frequency practitioners lost money, according to The New York Times.
The discourse on the profitability of high-frequenc... 阅读全帖 |
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s********8
发帖数: 50 | 2 I am thinking all the times about this question when cooking, waiting for
shuttle, taking shower ...., but no hint at all. So ask for help here .
I want to do case-control(1:n) matching on age, medical score and gender.
but frequency mathcing on gender is required.
I just listed what I thought about for criticism .
Method I : if frequency mathcing on gender first, then get two control
pools for female and male respectively.
Method IA: for each pool for gender, I do individual matchin... 阅读全帖 |
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m********i
发帖数: 298 | 3 不知道能不能把我想表达的都说出来。我来试一试。
High Frequency Trading，有一个比较大的风险就是成交的手续费＋SLIPPAGE。
好处是这个风险是可以预知。你有一定高的交易频率／WEEK。基本上一周的手续费预知
。如果只看一年的手续费＋SLIPPAGE，这个确实是一个大的风险。
但是，如果同样２０％YEARLYGAIN,高频MAX DRAWDOWN只有低频的１０％或更低（因为
承担手续费的风险被SMOOTH到整个过程中了），即，如果承担了额外手续费的风险，就
要有额外的收获，你额外的收获就是得到一个LOW MAX DRAWDOWN，那么就要做High
Frequency Trading.所以做High Frequency Trading就是做LOW MAX DRAWDOWN，都说
High Frequency Trading有相当高的SHARPE RATIO，我想应该是跟这个有关。
欢迎拍砖。 |
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p***o
发帖数: 836 | 4 【 以下文字转载自 Quant 讨论区 】
发信人: pstwo (孤独的星), 信区: Quant
标 题: WSJ Today's News: Algo Trading vs High Frequency Trading
发信站: BBS 未名空间站 (Sat Jan 15 10:56:52 2011, 美东)
This could be breaking news. This article discusses how Sell Side anti-game
High Frequency Traders --- Good insight for those who want to enter HFT world .
.. or even the Algo Trading business.
Thor Enters the High-Frequency Trading Arms Race
http://blogs.wsj.com/marketbeat/2011/01/14/thor-enters-the-high
"Putting the hammer to high-frequ... 阅读全帖 |
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s*w
发帖数: 729 | 5 发信人: yangguo1220 (yangguo), 信区: JobHunting
标 题: 一道count frequency of all words的面试题
发信站: BBS 未名空间站 (Wed Sep 18 20:44:44 2013, 美东)
100G的文本文件，4G内存，4个CPU。写一个程序：列出所有文本文件中的word
frequency,并output到一个最终文件中, 格式为 . 这个最终文件
的size也可能比内存小.
大家有啥建议?
【 以下文字转载自 JobHunting 讨论区 】
发信人: saw (句子熊), 信区: JobHunting
标 题: Re: 一道count frequency of all words的面试题
发信站: BBS 未名空间站 (Thu Sep 19 02:18:15 2013, 美东)
just practicing c++11 multi-threading and got the following code to try out
your example
problem wi... 阅读全帖 |
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z*****n
发帖数: 7639 | 6 Do you mean "frequency recovery" instead of "clock recovery"?
Clock recovery一般是指的数字基带信号的时钟恢复。
Frequency recovery一般是指RF receiver里面从接收的信号里面
恢复传输方的频率，以便于coherent detection。
如果你面试的是一个RF公司，那他们很可能是指的frequency
recovery。
Frequency recovery可以用multiply/filter/divide或者Costas
loop方法实现，一个Costas loop就是个变相的PLL，不过有
两条feed-forward path。要注意的是保持这两个path的相位延迟
一致。 |
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s**g
发帖数: 66 | 7 Main difference lies in the phase detector.
In CDR, you need consider transition density in loop gain design.
You may also need a frequency discriminator and second PLL (with reference
oscillator) to pull in VCO frequency first.
For fast tracking, people often apply bang-bang control in CDR, which is
rare in frequency synthesizer.
A simple PFD shall work fine in frequency synthesizer. |
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B*********h
发帖数: 800 | 8 ☆─────────────────────────────────────☆
lampard (blue sword) 于 (Tue Mar 6 12:19:47 2007) 提到:
有什么推荐? 好象关于high frequency trading的书
只有见到Gencay, Dacorogna的一本an introduction to high-frequency finance,
看介绍application主要在foreign exhcange market上.
究竟这本书怎么样? 还有其他什么相关书籍资料有介绍
high frequency trading的?
☆─────────────────────────────────────☆
squash (日三醒吾身) 于 (Tue Mar 6 17:14:06 2007) 提到:
The only book I can find is "An introduction to high-frequency financial
data" by Michel Dacorogna, et al.
You |
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a****y
发帖数: 1035 | 9
You are right. What I remembered before is an approximation used in a program.
I just got a table from web:
MIDI Note Number to Frequency Conversion Chart
===================================================================
MIDI MIDI MIDI
Note Frequency Note Frequency Note Frequency
C 0 8.1757989156 12 16.3515978313 24 32.7031956626
Db 1 8.6619572180 13 17.3239144361 25 34.6478288721
D 2 9.1770239974 14 |
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e******s
发帖数: 39 | 10
I did something concerned with getting resonate frequency of
resonator using FDTD,the structure was very simple.But as
far
as I know,you just need to set up Yee's Grid in the
volume,and
use a pulse as excitation,do FDTD in the volume for a time
period long enough until the fields in the resonator get
stable,
then take the field at certain points as sample,do FFT,and
plot
it in frequency domain,you will see the resonate
frequency,which
is determined by the structure of the resonator. |
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s******e
发帖数: 2181 | 11 First of all, thank fku0000 to settle my power amplifier question.
Does there exist ultra frequency amplifer? I mean ranges from 0Hz to higer.
Since I want to receive respiration signals, whose frequency is normally 0.2
-0.5Hz.
I found the lowest frequency for TDAs is 10 Hz unfortunately. |
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s******e
发帖数: 2181 | 12 ultra low frequency dosn't mean DC.
The human respiration frequency is very low - under 1Hz. Zero means the
person is dead! I don't want DC signal either.
What I need is to seek an amplifier whose frequency range covers 0.1 to 1Hz.
If I move away the input/output capacitoes of TDA circuit, DC component
will enter. |
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s******e
发帖数: 2181 | 13 ultra low frequency dosn't mean DC.
The human respiration frequency is very low - under 1Hz. Zero means the
person is dead! I don't want DC signal either.
What I need is to seek an amplifier whose frequency range covers 0.1 to 1Hz.
If I move away the input/output capacitoes of TDA circuit, DC component
will enter. |
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t********i
发帖数: 10 | 14 【 以下文字转载自 Chemistry 讨论区,原文如下 】
发信人: tetsuhashi (lulu), 信区: Chemistry
标 题: What software can calculate the IR transition frequency of a molecule? Matlab? Chemoffice?HyperChem?
发信站: The unknown SPACE (Fri Jun 28 05:25:04 2002) WWW-POST
Could anybody recommand a software that can calculate the IR transition
frequency (IR spectrum) of a molecule and assign the frequencies to modes?
Esp. excited state IR abs. Matlab? Chemoffice? HyperChem? I learnt from
literature that Gaussian98 can. But where to g |
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m*********y
发帖数: 127 | 15 High Frequency Trading Analyst / Quant Research
Hope all is well. Please find the following opportunity for your review.
Please let me know if you or anyone else you know would be interested in
exploring.
High Frequency Trading Analyst / Quant Research
NY
Prestigious, well-established multi-strategy hedge fund is seeking a
Quantiative Research analyst to join their high frequency trading strategies
focused on global equity, currency and commodities. HFT tries to exploit
current inefficiencies |
|
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a*******1
发帖数: 1554 | 17 Today, in an economic speech at the New School in Manhattan, Hillary Clinton
spoke out against short-term traders.
HFT
"The problems are not limited to the big banks that get all the headlines.
Serious risks are emerging from institutions in the so-called shadow banking
system, including hedge funds, high-frequency traders, non-bank finance
companies," said the Democratic presidential candidate.
Clinton added: "I will soon be proposing a new plan to reform capital gains
taxes to reward longer-te... 阅读全帖 |
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s********w
发帖数: 2 | 18 在SAS中，Twoway Frequency Table anaylsis，可以考虑两个事件的相关性。比如可以
考虑心脏
病跟高胆固醇的相关性。
现在我遇到的问题是，有10个这样的事件，比如说有10种病，记作b1,b2...b10，然后
有200个人
的统计数据，有这个病的记作1，没有的记作0，这样形成一个10×200的表格，每格都
是0或1.我
希望考虑任何两种病之间的相关性。
用twoway frequency table 的方法，可以做一个2×2的表格，比如“有心脏病”，“
没有心脏
病”为行，“有高血压”，“没有高血压”为列。这样是可行的。但是如果10种病两两
都做一个
这样的表，一共就要做45次。
twoway frequency table的优点，是如果属性不只是“是”或“否”的话，也可以考虑
进去。但
现在我的问题就是是否问题。
请问有没有更好的model来考虑这个问题呢？谢谢。 |
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c*******n
发帖数: 892 | 19 y是binary，positive/negative
x是一个categorical variable，有20个level，每个level有30-50个obs不等
现在想比较x小于40个obs的那组negative rate是不是比大于40个obs的那组大，或者是
说x每个level的negative rate会不会随着obs的增多而减小？
请教一下，能不能把x每个level的rate和frequency拿出来作为一个新的data，根据
frequency大于40小于40分组做ttest 或者直接rate和frequency做regression？
如果不能，那应该怎么做呢？ |
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d*****g
发帖数: 43 | 20 Slanders the video recording video frequency in view of the laojoh article
“is only several actors who the Chinese Communist Party invites”, after Xu
Huaxin listens, is filled with righteous indignation: “puts the Li Hongzhi
his mother's nonsense! This is completely Falungong is pushing the imperial
responsibility. Because I only have the son to repair alone practice
Falungong to die by Li Hongzhi's fallacies and absurdities misleading, the
video recording video frequency is I and spouse's real |
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y*********0
发帖数: 406 | 21 100G的文本文件，4G内存，4个CPU。写一个程序：列出所有文本文件中的word
frequency,并output到一个最终文件中, 格式为 . 这个最终文件
的size也可能比内存小.
大家有啥建议? |
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i**********d
发帖数: 15 | 22 【 以下文字转载自 Quant 讨论区 】
发信人: ijuststarted (alwaysknowsomethingyoudont), 信区: Quant
标 题: 有较强CS背景的人去high frequency trading公司有前途吗？
发信站: BBS 未名空间站 (Sat Jun 27 22:04:09 2009, 美东)
最近找工作发现high frequency trading的公司多如牛毛，需要软件工程师也特别多。
才把简历放上去没几天，来联系我的十家当中有八家是这种公司或者猎头。我没有金融
方面的背景，好奇这些公司是干什么的，随便找了几家试了一下，哪知这些公司好像都
特别饥渴，一般就是一轮电面和一轮onsite，问的问题都比较皮毛，然后就直接下
offer了，工资居然比传统软件公司高得多，而且据说还有可观的bonus（相对软件行业
）。照我看来，任何一个有2-3年C++/JAVA经验的普通程序员就足可以满足他们的要求
了。这样的应该是一抓一大把，为什么这些公司还会招不到人呢？另外，既然工资很高
，门槛又低，为什么大家还不一窝蜂去这些公司呢？
看在报酬丰厚，我有 |
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i**********d
发帖数: 15 | 23 【 以下文字转载自 Quant 讨论区 】
发信人: ijuststarted (alwaysknowsomethingyoudont), 信区: Quant
标 题: 有较强CS背景的人去high frequency trading公司有前途吗？
发信站: BBS 未名空间站 (Sat Jun 27 22:04:09 2009, 美东)
最近找工作发现high frequency trading的公司多如牛毛，需要软件工程师也特别多。
才把简历放上去没几天，来联系我的十家当中有八家是这种公司或者猎头。我没有金融
方面的背景，好奇这些公司是干什么的，随便找了几家试了一下，哪知这些公司好像都
特别饥渴，一般就是一轮电面和一轮onsite，问的问题都比较皮毛，然后就直接下
offer了，工资居然比传统软件公司高得多，而且据说还有可观的bonus（相对软件行业
）。照我看来，任何一个有2-3年C++/JAVA经验的普通程序员就足可以满足他们的要求
了。这样的应该是一抓一大把，为什么这些公司还会招不到人呢？另外，既然工资很高
，门槛又低，为什么大家还不一窝蜂去这些公司呢？
看在报酬丰厚，我有 |
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j****j
发帖数: 270 | 24 请教一下在high frequency hedgefund工作的IT高人？
应对high frequency trading中一系列软件硬件failure
的应对措施有哪些？控制流程有哪些？emergency plan, backup plan, 人员配置等都
是怎样的呢？
非常感谢！ |
|
j****j
发帖数: 270 | 25 请教一下在high frequency hedgefund工作的IT高人？
应对high frequency trading中一系列软件硬件failure
的应对措施有哪些？控制流程有哪些？emergency plan, backup plan, 人员配置等都
是怎样的呢？
非常感谢！ |
|
j****j
发帖数: 270 | 26 请教一下在high frequency hedgefund工作的IT高人？
应对high frequency trading中一系列软件硬件failure
的应对措施有哪些？控制流程有哪些？emergency plan, backup plan, 人员配置等都
是怎样的呢？
非常感谢！ |
|
h****8
发帖数: 599 | 27 What training frequency you apply firstly depends on your capability of
recovery, if time is not an issue.
Most would agree that the more often we train, the more stimulus our muscle
get and the more our muscle will grow. This is true ONLY when the muscle can
be recovered from workout to workout.
Secondly the frequency should be as high as possible if fully recovery is
met. This is for the sake of maximizing improvement.
Optimally, we want to train each body part twice in a training cycle. The
c |
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v*******e
发帖数: 11604 | 28 frequency entangled photon pairs，用这个词搜google能出来不少文章。问一个基本
问题：如果两个光子是frequency entangled photon pair，那么测量其中之一的频率
时，另外一个的频率也确定了。那么，问个问题，光子能量是和频率一一对应的，以前
人家做的粒子自旋、光子偏振之类EPR实验，两个粒子都是能量一样的；如今能量不一
样，那么说“坍缩”的时候，能量能超光速传递？有违反侠义相对论吗？物理版没解答
，这里牛人多，问一下。 |
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S*A
发帖数: 7142 | 29 Available Packages
Name : wf
Arch : x86_64
Version : 0.41
Release : 4.fc12
Size : 17 k
Repo : fedora
Summary : Simple word frequency counter
URL : http://www.async.com.br/~marcelo/wf/
License : GPLv2
Description : wf scans a text file and counts the frequency of words through
the
: whole text.
然后就是如何把 text 提取出来了，这个应该很简单。
有 pdf2txt 之类的。实在不行 acrobat 可以 save as text. |
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r**********e
发帖数: 587 | 30 其实是个很基本的问题。
我们一般都用pcr－sanger sequencing来测比如有没有突变，只是看有或者没有
我现在需要知道这个位点的突变的相对精确的allele frequency，比如20% vs 50%的区别
那么我直接sanger sequencing，ab1文件的两种颜色的peak height的差别是否能真实
反映allele frequency的差别呢？ |
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r******w
发帖数: 13 | 31 How about modulate the ultra low frequency signal to high frequency signal?
After amplified, demodulate the output signal and low pass filter it. |
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le
发帖数: 190 | 32 think about it, frequency is always associated with time.
What time it is? Of course how long charge carrier cross the channel from
source to drain. Now, it's clear that given a velocity if the channel is
shorter than the time needed for an electron to flow is less, and you have
higher cut-off frequency |
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p********y
发帖数: 181 | 33 I am developing an alternating magnetic field (AMF) device to induce
hyperthermia in SPION of ~20nm size. The SPION is based on Fe3O4 (magnetite?)
Many papers demonstrated that AMF of 80--150KHz is effective for heating
SPIONs of smaller than 35nm, in tissue.
Many other works, particulaly theory-works, indicated that ~Mhz range should
be more effective for particles smaller than 20nm.
Is there any expert out there who could give me some suggestions for the AMF
frequency needed to maximize the he... 阅读全帖 |
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s**a
发帖数: 178 | 34 Company: Bulge Bracket Global Investment Bank
Position:Quant strategist- Foreign Exchange high-frequency trading
Principal Responsibilities
-Research, development and support of client-facing and proprietary trading
engines.
-Close collaboration with trading and sales desks.
-Business-facing role as the Tokyo representative of a global research and
technology team.
-Growth of our business with a focus on Asian markets.
-Close association with performance of the high frequency trading book.
Exper |
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f*****s
发帖数: 141 | 35 感觉high frequency trading 方面的positions蛮多的，但是一般都是要有经验的，对
像我这样的刚毕业学生好像只能望洋兴叹。
请问你们中刚毕业的，会投high frequency的职位吗？如果投，在哪些方面做准备？ |
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a*****3
发帖数: 10 | 36 想请教一下大家，
如果是在IB里面做high-frequency trading developer，跟google或amazon里面的
software developer相比，哪样的career path会比较好一些？
我目前是纯IT背景，但最近rp不错，有一个IB里面做high-frequency trading
developer的机会，所以想来这里请教一下大家的建议:)
//bow |
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t********a
发帖数: 810 | 37 no. high frequency 需要很多it resource, 很多做得好的都是百年老店.
当然了, 很多人have no idea what they are talking about, typical position
hold长达几秒钟的也叫high frequency. |
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f*******y
发帖数: 988 | 38 想法不错，不过有一个问题，就是这个想法需要
所有的venue的网络线路的jitter很小
，这样才能保证child order
最大和最小相差在某个阈值之内
随着venue数目N的增大，误差会越来越大，
保持在阈值里面的可能性越小；而且一般
dark pool的线路会糟糕一点，
有一条线路的jitter很大这个方法就废了
这还是只考虑了线路的jitter，
要是考虑matching engine本身对
load敏感度，恐怕有点危险
不过应该比现在的做法肯定有improvement
和Algo Trading没有任何关系，甚至对
HFT也没啥大影响，HFT这个行业基本已经饱和，
尤其是美国股票类，几年之内主要的player
应该都会在朝廷的压力下招安，做exchange的
法定MM，利润空间不会太大了
anti-game
HFT world .
frequency-trading-arms-race/
high-frequency-traders/article1871294/ |
|
z****g
发帖数: 1978 | 39 As the old saying in the trading community: Any strategy that relies on
execution will fail eventually.
game
world .
frequency-trading-arms-race/
high-frequency-traders/article1871294/ |
|
j****j
发帖数: 270 | 40 请教一下在high frequency hedgefund工作的IT高人？
应对high frequency trading中一系列软件硬件failure
的应对措施有哪些？控制流程有哪些？emergency plan, backup plan, 人员配置等都
是怎样的呢？
非常感谢！ |
|
r*******m
发帖数: 109 | 41 reason is the competition. For high frequency trading, the opportunity or
money made is the same, but imagine what happen if 10x people are doing this
. True people are expanding in this area because they just don't have
confidence about other areas, or regulator do not allow them to take huge
risk in low frequency stuff anymore. |
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m********0
发帖数: 2717 | 42 disagree, the reason
ppl went for high frequency trading is they believed in higher
inefficiency in high frequency or totally different kind of inefficiency.
eg, automatic market making, could only happen within time of a blink.
the opportunity is not the same, but it will converge as more and more
competitors jump in.
early birds get fat, but the opportunity will decay.
this |
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l******i
发帖数: 1404 | 43 我们学校一个叫侯三的老师说，
很多paper里arbitrage-free理论都要假设frequency的范围，
所以可能high frequency就能创造出套利吧。
其实我也是文盲，纯粹瞎猜的。 |
|
l******i
发帖数: 1404 | 44 我们学校一个叫侯三的老师说，
很多paper里arbitrage-free理论都要假设frequency的范围，
所以可能high frequency就能创造出套利吧。
其实我也是文盲，纯粹瞎猜的。 |
|
c******g
发帖数: 48 | 45 接到一家Hedge Fund的电面通知，职位是High Frequency Trading Group的
Quantitative Analyst，面试官是Quantitative Researcher，时间一个小时。
求版上大侠指点：大概会问哪方面的问题？会侧重编程、概率统计、还是金融知识？（
本人Operations Research PhD，没做过High Frequency Trading的实习） |
|
l******i
发帖数: 1404 | 46 用high frequency data forecast volatility的一个project，题目里面说：
Consider tradeoffs to be made about the frequency of sampling and the
relative importance of more and less recent samples.
请问这是什么意思？需要怎么处理？
谢谢！ |
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c**r
发帖数: 2019 | 47 general sweeps, i mean the sweeps used in analytical instruments, ranges from
1000m (LW radio frequency) to 10^(-10)m (X-ray), in wavelength. The
application is mostly for material analysis and determination.
E.g., if we have a piece of organic mixture and want to know its components,
we may just sweep IR (infra-red) though/on it, by observing the absorbance
peaks on the transmission/reflection spectrograph (x-axis is the frequency,
y-axis is the absorbed intensity), we would know the differrent |
|
h*****y
发帖数: 2 | 48 As stated in the title, I need to generate the frequencies (probalitiy) for
each category and rank the probality in SAS. If the frequencies are
generated with crosstabluate table, how to rank the numbers? Any one can
help? Thanks! |
|
b******m
发帖数: 1451 | 49 俺一台笔记本寄到半路丢了， 申请邮局赔偿， 可是该国家的 Restrictions 有
Radio-electronic media and high-frequency apparatus 一条。 请问这里包括笔记本电脑吗？ 谢谢啦，前两个有用答案包子侍候。 在线等 |
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