Date post: | 07-Aug-2018 |
Category: |
Documents |
Upload: | rishabh-kumar |
View: | 222 times |
Download: | 0 times |
of 12
8/20/2019 GS Quantify IITM
1/27
GS Quantify October 25, 2013 HauntQuant, IIT Madras
GS QUATI!" Tea# HauntQuant
October 25t$, 2013
An%it
&e$ura
'ayant T$atte ( itis$
(u#ar
8/20/2019 GS Quantify IITM
2/27
GS Quantify October 25, 2013 HauntQuant, IIT Madras
)*O&+M 1A-.orit$#ic Tradin.
8/20/2019 GS Quantify IITM
3/27
)rob-e# 1 / A-.orit$#ic Tradin.
Oerie
Compute
ModifyTrade
GS Quantify October 25, 2013 HauntQuant, IIT Madras
• o#ute t$e ra a#ount to betraded 4A0 for t$e current ti#e instant
• Modify t$e ra a#ount based on• 6earture of rice fro# -oca-
a.7• S-oe of t$e rice cure• 2nd deriatie of t$e rice cure
• 8ercise trade based on• de#and 9 su-y• #odi:ed a#ount to be so-d
3 / 27
8/20/2019 GS Quantify IITM
4/27
Modifyin. *a Quantity; Mode-s
I6earture;
• +inear Mode-
• is -i#ited beteen 0 and
•
)rob-e# 1 / A-.orit$#ic Tradin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
4 / 27
A0
8/20/2019 GS Quantify IITM
5/27
Modifyin. *a Quantity; Mode-s
II• 8
8/20/2019 GS Quantify IITM
6/27
Usin. )redictions
)rob-e# 1 / A-.orit$#ic Tradin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
6 / 27
• Quadratic :t 1st and 2nd deriaties
• T$e departure (d) fro# t$e reious #ode-s is#odi:ed usin. t$e redictor
•
8/20/2019 GS Quantify IITM
7/27
Ot$er onsiderations I
)rob-e# 1 / A-.orit$#ic Tradin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
7 / 27
• *T+• (ee #onitorin. rices= don>t trade
• Modify A0 once *T+ is oer
• Trade -i#its• After co#utin. a#ount to be so-d, on-y se-- as #uc$ as
?ossib-e@
• &uy 9 Se--• T$e a-.orit$# a-ays so-es se-- rob-e#
• &uy rob-e# is easi-y conerted to se-- rob-e# byinertin. t$e rice cure
8/20/2019 GS Quantify IITM
8/27
Ot$er onsiderations II• Mu-ti-e e8c$an.es 4a-.orit$#
17 6e:ne a ne ti#e series t$at is #a8i#u# of t$e ricesacross a-- e8c$an.es at eac$ ti#e instant
27 Usin. t$e ra a#ount to be traded 4 A0, co#ute t$e
actua- a#ount to be traded 4 A usin. t$e c$osen #ode-37 Trade aay as #uc$ of A as ossib-e on t$e e8c$an.e
it$ best rice
7 Subtract t$e traded a#ount fro# A0
57 Hain. e8$austed t$e ?best@ e8c$an.e, re-ace t$e
current rice of t$e security it$ t$e ne8t best aai-ab-ecurrent rice
B7 Usin. t$is ne current rice and t$e ne A0 co#uted in
ste , co#ute t$e ne a#ount to be co#uted
C7 ontinue t$is rocess ti-- t$e desired a#ount 4ori.ina- A0
is traded or a-- e8c$an.es are e8$austed
)rob-e# 1 / A-.orit$#ic Tradin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
8 / 27
8/20/2019 GS Quantify IITM
9/27
*esu-ts
)rob-e# 1 / A-.orit$#ic Tradin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
9 / 27
I II
8/20/2019 GS Quantify IITM
10/27
)rob-e# I; onc-usion
• 6earture #ode-s• Greater stabi-ity
• &etter aera.e erfor#ance
• Generic
• )redictie #ode-s• T$e siDe of indo for rediction deends on t$e security
• Oera-- erfor#ance is .ood= can erfor# ery bad inseci:c cases
• Mode- c$oice deends on inestor ro:-e• +o ris% #ode-s; 6earture #ode-s
• Hi.$ ris% #ode-s; )redictie #ode-s
)rob-e# 1 / A-.orit$#ic Tradin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
10 / 27
8/20/2019 GS Quantify IITM
11/27GS Quantify October 25, 2013 HauntQuant, IIT Madras
)*O&+M 2rror 6etection in )rices
8/20/2019 GS Quantify IITM
12/27
&rea%s; 6etection
)rob-e# 2 / rror 6etection in )rices
GS Quantify October 25, 2013 HauntQuant, IIT Madras
12 / 27
PriceSeries
• T$e ti#e series of t$e rice of a certain stoc%
JumpSeries • !ind Eu# 4 in rice for eac$ day
• !ind #ean and standard deiation of t$e Eu#s 4
Norm
jump
• or#a-iDed 'u#
Break
• If t$e nor#a-iDed Eu# is outside F3 si.#a, dec-arebreak
PriceSeries
• T$e ti#e series of t$e rice of a certain stoc%
JumpSeries • !ind Eu# 4 in rice for eac$ day
• !ind #ean and standard deiation of t$e Eu#s 4
Norm
jump
• or#a-iDed 'u#
Break
• If t$e nor#a-iDed Eu# is outside F3 si.#a, dec-arebreak
b- / i i i
8/20/2019 GS Quantify IITM
13/27
&rea%s; *an%in.• Securities in ortfo-io
• 6ecreasin. order of c$an.e in do--ar a-ue of t$e ortfo-io
• Securities not in ortfo-io• 6ecreasin. order of #a.nitude of nor#a-iDed Eu#
• Securities $ic$ are in ortfo-io are a-ays ran%ed$i.$er
)rob-e# 2 / rror 6etection in )rices
GS Quantify October 25, 2013 HauntQuant, IIT Madras
13 / 27
A
&&rea%s
Stoc%S-it
&rea%
InaccurateHistorica- 6ata
) b- 2 / 6 i i ) i
8/20/2019 GS Quantify IITM
14/27
Stoc% S-its
• ect; n-for-1 s-it• o7 of stoc%s n4O-d no7 of stoc%s= Stoc% rice 4O-d stoc%
rice 9 n
• )urose
• Jery $i.$ stoc% rice• S#a-- inestors can>t aord t$e stoc%
• Stoc% s-it• More eo-e can aord t$e stoc%
• 6e#and rises, -iKuidity rises
• 6etection• )rice *atio )rice4d
8/20/2019 GS Quantify IITM
15/27
Security -assi:cation
• -assi:cation based on 2 ara#eters• Mean and Jariance
• %
8/20/2019 GS Quantify IITM
16/27
%
8/20/2019 GS Quantify IITM
17/27
Accuracy of Historica- 6ata
Correlaio!
• !or eac$ stoc%, co#ute corre-ation it$ t$e #ar%et 4
"#pece$%o&eme
!
• o#ute e8ected #oe#ent 4$ence rice %noin.
• Mar%et #oe#ent for t$at day• a-ue for t$e stoc%
Jump
• 6e:ne• 'u# corresonds to uncorre-ated #oe#ent
Break
• 6ec-are brea% usin. t$e nor#a-iDed Eu# aroac$ #entionedear-ier
• or#a-iDed Eu# outside F3 is dec-ared as inaccurate data
Correlaio!
• !or eac$ stoc%, co#ute corre-ation it$ t$e #ar%et 4
"#pece$%o&eme
!
• o#ute e8ected #oe#ent 4$ence rice %noin.
• Mar%et #oe#ent for t$at day• a-ue for t$e stoc%
Jump
• 6e:ne• 'u# corresonds to uncorre-ated #oe#ent
Break
• 6ec-are brea% usin. t$e nor#a-iDed Eu# aroac$ #entionedear-ier
• or#a-iDed Eu# outside F3 is dec-ared as inaccurate data
)rob-e# 2 / rror 6etection in )rices
GS Quantify October 25, 2013 HauntQuant, IIT Madras
17 / 27
)rob-e# 2 / rror 6etection in )rices 18 / 27
8/20/2019 GS Quantify IITM
18/27
Mar%ets ast rice a-one
• *eort t$e nu#ber of stoc%s t$at $ae brea%s• If #aEority of stoc%s $ae brea%s on a certain day, dec-are
#ar%et
8/20/2019 GS Quantify IITM
19/27GS Quantify October 25, 2013 HauntQuant, IIT Madras
)*O&+M 3Monte ar-o in 6eriatie )ricin.
)rob-e# 3 / Monte ar-o in 6eriatie )ricin. 20 / 27
8/20/2019 GS Quantify IITM
20/27
)rob-e# 3; Oerie
• )oisson )rocess
$ere,y L1 it$y
8/20/2019 GS Quantify IITM
21/27
Ana-ytica- So-ution
)rob-e# 3 / Monte ar-o in 6eriatie )ricin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
21 / 27
• )oisson Arria-s
• Assu#in. eKua- robabi-ities forbot$ 40 1 and 40
8/20/2019 GS Quantify IITM
22/27
Monte ar-o So-ution
)rob-e# 3 / Monte ar-o in 6eriatie )ricin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
22 / 27
1
• Generate e8onentia--ydistributed ti#e sa#-es
su##in. to N1
2• reate )at$; Introduce a
direction i at eac$ eent
3
• *eeat 1 P 2 to .enerate#any at$s for Montear-o Si#u-ation
td
)rob-e# 3 / Monte ar-o in 6eriatie )ricin. 23 / 27
8/20/2019 GS Quantify IITM
23/27
o#ute )ara#eters
• Aera.in. oer a-- t$esi#u-ation at$s
• Sy##etric )at$s• N *educed Sa#-e Sace
• *e
8/20/2019 GS Quantify IITM
24/27
)ara#eter 8traction
)rob-e# 3 / Monte ar-o in 6eriatie )ricin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
24 / 27
• Gien,
To e8tract ; R ,
•
)rob-e# 3 / Monte ar-o in 6eriatie )ricin. 25 / 27
8/20/2019 GS Quantify IITM
25/27
)rob-e# 3 / Monte ar-o in 6eriatie )ricin.
GS Quantify October 25, 2013 HauntQuant, IIT Madras
25 / 27
8tract
• Inters
e8onentia--ydistributed it$ara#eter R
8tract
•
)ara#eter 8traction
t i
Results)ara#eter 8tracted
Ja-ue
075B9year
75C er year
Results)ara#eter 8tracted
Ja-ue
075B9year
75C er year
8/20/2019 GS Quantify IITM
26/27
GS Quantify October 25, 2013 HauntQuant, IIT Madras
THA( "OUQuestions
*eferences 27 / 27
8/20/2019 GS Quantify IITM
27/27
*eferences17 'an Iar +arsen, ?)redictin. Stoc% )rices Usin. Tec$nica- Ana-ysis and
Mac$ine +earnin.@, ore.ian Uniersity of Science and Tec$no-o.y
27 T7 6ai et. al., ?Auto#ated Stoc% Tradin. usin. Mac$ine +earnin.A-.orit$#s@, Stanford Uniersity
37 67 Mo-doan et. al., ?A Stoc% Tradin. A-.orit$# Mode- )roosa-, based on Tec$nica- IndicatorsSi.na-s@, Jo- 15 no7 192011, Informatica Economica
7 $tt;997atsa-s7co#9ssays9Mac$ine+earnin.Tec$niKuesforStoc%)rediction7df
Ot$er *eferences
• GS +o.o; $tt;997.o-d#ansac$s7co#9
• IITM +o.o; $tt;99researc$orta-7iit#7ac7in9Kdon-oad