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2006 FALL Financial Summit Workshop in Taipei
Mass Calculation of Correlation for Pair Trading

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The opinions expressed herein are my own personal opinions and do not represent my employer's view in any way.

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 Monday, September 25, 2006
Monday, September 25, 2006 10:15:13 AM (台北標準時間, UTC+08:00) ( Quant's Life )

I attended the Financial Summit Workshopon Sep 21-22 at National Taiwan University in Taipei. Many speakers provided great tutorial and speeches during the sessions. The most important guest is Dr. Edward Altman from Stern School of Business New York University.

Dr. Altman is the developer of the famous Z-Score method for evaluating credit risk of public-traded firms. Although he developed the very first model in 1967, it is still very useful in today's financial environment. Dr. Altman mentioned about the difficulty of developing such a complex model during ancient punch card age of computers. I was surprised by the accuracy of the model.

Dr. Altman has great humor and talked many jokes in his sessions. He also like default and bankrupcy of major companies. I was impressed and learned  a lot during this workshop.

 Tuesday, September 19, 2006
Tuesday, September 19, 2006 12:12:36 PM (台北標準時間, UTC+08:00) ( .NET Programming | Quant's Life )

We finished first release of RightPairs for pair trading last week. We are very happy because it is the most powerful generic calculation agent we ever developed.

First of all, it can run on multiple PCs and multi-threads. We tested the calculation on three 4-CPU servers, each server run calculation agents in 12 threads, without any problem. It takes full advantage of multi-processor and multi-thread. Currently it do only correlations, but it is quite easy to add more calculation features.

Our software is at Jumbosoft.com.