Recent content by Alejandro Canete

I'm in.

http://jmlr.csail.mit.edu/papers/volume3/kalai02a/kalai02a.pdf

Hi dillshau, you could you use a map from order_id to price and another map from price to another map/object (a container that represents a book_level). So on order arrival you use the price to book_level map to push that order to its corresponding level, and on order cancel you use the...

Andy, please change mine's to Alejandro Canete, Thanks!

Depends on your definition of High Frequency, if your alpha comes from having bounded latency at the micro second level, Java is not a good decision (because of the non deterministic garbage collection). If your latency have to be bounded at the millisecond(s) level, after some tweaking of the...

Not sure if it helps but I have a http://www.system76.com/product_info.php?cPath=28&products_id=106 , it works perfectly and so far the system76 guys have been very responsive.

Ohh, sorry, cant help you with that ;)

http://en.wikipedia.org/wiki/Multivariate_kernel_density_estimation

From an actual disclaimer of a leveraged ETF: "Leveraged ETFs designed to achieve their investment objective on a daily basis are not designed to, and will not necessarily, track the underlying index or benchmarkover a longer period of time." So you dont get the exact 2x,3x leverage if you are...

Hi Aerial, Machine Learning (kernel methods approach, don't get near the ANN/GP stuff), a big data course (map reduce, grid computing, etc), a computer architecture course (to understand the different factors that make up latency), concurrency programming, some course on design patterns...

Hi, I use HPC on a daily basis, mainly for backtesting and model calibration using level 1 and full depth data.

we just trade them on small test accounts.

I took professor's Liew independent workshop, and I also sat at the final presentation that Alex and David are talking about (great job! btw). I also had access to both lecture notes, home works and final presentations, and I must say that they are pretty much the same. Of course, for obvious...

If you prefer shorter and problem specific books you should take a look at the "Use R!" series by springer http://www.springer.com/series/6991?detailsPage=titles these are domain specific books with, usually, no more than 300 pages each. I read "Analysis of integrated and co integrated time...