Andres Araya Falcone

Download your copy here.

In September 2009, three Latin-American stock markets and their respective Central Securities Depositories (CSDs) signed an agreement to integrate their equity markets. The Latin-American Integrated Market (MILA) was formed as a result, allowing brokers in Colombia, Peru and Chile to trade securities listed on any of the exchanges directly from their local terminals alongside the locally listed stocks.

MILA officially opened for business in May 2011. Since its launch 50% of trades correspond to transactions in Colombian equity securities, 49% correspond to transactions in Chilean equity securities, and 1% in Peruvian equity securities.

“The initiative was born out of the need to offer competitive trading services for investors that seek to trade easily across emerging markets, as well as, to respond to the need for high frequency trading. These platforms decrease latency… and increase the volume of trade at competitive costs.”

Learn more about the opportunities – and futures challenges – resulting from financial markets integration, with valuable insights from the case study of MILA.

Download the paper here.

Andres will be presenting a keynote address at Exchange Technology World Chicago on the topic, ‘New strategies and innovations to boost liquidity, improve efficiency, cut costs, and create a scalable & flexible system.’ He will also be participating in a panel session on ‘Is an increasingly consolidated market a bad thing for small and medium exchanges or does it open doors for niche players?’ Register now to hear him share his insights on exchange infrastructure and exchange technology.

Chuck Chon

Download the paper here.

In it he suggests that “the most significant difference between the primary exchanges, such as the Tokyo Stock Exchange (TSE) and Osaka Stock Exchange (OSE) and PTS venues, such as SBI Japannext (JNX) and Chi-X Japan, is the difference in tick sizes.” He goes on to argue that this tick size difference can allow investors to gain “tremendous improvement in execution results, realizing an additional 30-40bps on many wide bid/ask spread blue chip stocks.”

One such blue chip stock is Mizuho Financial Group, who Chuck goes on to use as a case study.

Check it out now!

In developed markets such as the US and Europe, “decimalisation and smaller tick sizes are the norm. However, in Japan this  opportunity did not exist until JNX first introduced 1/10th tick size of TSE to its members on 28 October 2008.”

This is a good example of the impact that can be made by exchange infrastructure.

Chuck will be participating in a panel session at Exchange Technology World Chicago on the topic, ‘What impact do the differences in cost, technology, and regulation have on the competition between exchanges and alternative trading systems?’ Register now to hear him share his insights on exchange infrastructure and exchange technology.

He suggests that systematic trading programs are based on past data, and that whilst a knowledge of past trades might help you avoid historic losing positions, markets are evolving all the time, and every market situation is different, so some flexibility is required. In short, Andreas argues that in his opinion, “discretionary traders are gutsier.”

Download the paper here for more information.

Andreas will be participating in a panel session at The Trading Congress Chicago, on the topic ‘Hedging your portfolio – examining the most successful and innovative derivatives trading strategies.’ Register now to hear him share his insights on the derivatives, commodities, and futures and options trading space.

Numerical Algorithms Group (NAG) is a leading global expert on utilizing numerical engineering to delivering high-quality computational software and high performance computing services. And recently, NAG has been recognized by Investors in People (IIP) as part of the top 1% of UK organisations.

IIP aims to provide a UK national quality standard which defines good practice for improving an organization’s performance through its people. NAG has been staying at the highest standard for years, and in March 2012, achieve the Gold Standard, the highest in IIP’s new evaluation system.

With NAG so committed to and thriving in investing in its employees and building the strongest team possible, its clients can enjoy world-class services from a group of the best talents in the market. IIP’s recognition of NAG’s success in developing its team certainly makes it stand out from the crowd.

NAG is a proud sponsor and active participant at the Trading Show Chicago 2012 event. Dr. Jeremy Walton will be giving a presentation in the exhibition hall at 3:30pm, June 26: Quant Rx: a cure for the common code. More interestingly, NAG’s team of experts will set up an interactive “NAG Clinic” through the conference days to prescribe solutions to any of your quantitative challenges.

 

Visit North America’s leading trading showcase for FREE!

Do you need to stay up to date with the latest trading technology developments? Do you need to learn how to optimize your trading strategy? Then register now for The Trading Show Chicago… for free!

> Register for the exhibition now for FREE!

The Trading Show Chicago is North America’s leading trading showcase, dedicated to covering all trading related issues. It provides the ideal environment for you to learn from the experts and gain hands-on experience with the latest products and solutions.

> Download the seminar agenda for more info

Visit the exhibition

Trading technology is rapidly advancing, and as it evolves, The Trading Show Chicago plans to keep you informed of the developments you need to know to launch your trading strategy or improve an existing one.

This is your once in a year opportunity to experience the newest trading technologies and speak with the experts at the exhibition, featuring 40+ companies.

> Register now!

Want to know who will be there? Check out the list of exhibitors now!

FREE educational seminars

As a leader in trading information and education, The Trading Show Chicago offers you a variety of FREE educational seminars. Register for the seminars covering topics like automated algorithmic event trading, quant investment, profitable trading strategies for stocks and options, trading connectivity strategies, dynamic hedging of counterparty risk… and more! These have been designed so you can move freely between the different seminar rooms and listen to the presentations that are important to your role. Register now for the FREE seminars.

Whether you’re seeking new knowledge or a refresher course, our expert speaker faculty covers everything from getting started to the most advanced informational needs. Register now!

Brian Taylor

The paper states that "today, market surveillance is predominantly focused on the public markets, with OTC trading largely overseen by regulators." With several recent legislative changes, including Dodd Frank, requiring some form of surveillance, "the requirement for services will grow significantly – by asset class, trading method, venue type as well as complexity, especially taking into account the effects of fragmentation. The old methodologies are not a solution for the future."

Download the paper now to learn more.

The paper goes on to discuss:

• Inadequate current processes and technologies
• Current expenditure on market surveillance
• Opportunity for a new approach
• Positioning of new surveillance service
• Addressable market
• Variable delivery model
• Weaknesses of current solutions
• Fragmentation
• Current generation surveillance products
• Different regulatory models – self regulation versus centralized
• Case for a shared surveillance service

Get your copy now for more information!

Brian will be participating in a panel session at this year’s Exchange Technology World Chicago conference, on the topic ‘What impact do the differences in cost, technology, and regulation have on the competition between exchanges and alternative trading systems?’

Register now to guarantee your spot to hear him share his expertise.

Matthew Shapiro

In the paper, Matthew outlines what he sees as the key factors to consider when investing:

1. Optimism
2. Quality
3. Diversification
4. Fixed income
5. US centricity
6. Investments for prudence and permanence
7. Fashioning your portfolio with interest and focus

To learn why he thinks these factors are key, and how they impact your investment portfolio, download the whitepaper now.

Matthew will be participating in a panel session at this year’s Trading Congress Chicago conference, on the topic ‘Hedging your portfolio – examining the most successful and innovative options trading strategies.’

Register now to guarantee your spot to hear him share his expertise!

In the first paper, ‘A New Breed of Copulas for Risk and Portfolio Management,’ they introduce the copula-marginal algorithm (CMA), a commercially viable technique to generate and manipulate a much wider variety of copulas than those commonly used by practitioners.

Download this paper here.

CMA consists of two steps: separation, to decompose arbitrary joint distributions into their copula and marginals; and combination, to glue arbitrary copulas and marginals into new joint distributions.

Unlike traditional copula techniques, CMA a) is not restricted to few parametric copulas such as elliptical or Archimedean; b) never requires the explicit computation of marginal cdf’s or quantile functions; c) does not assume equal probabilities for all the scenarios, and thus allows for advanced techniques such as importance sampling or entropy pooling; d) allows for arbitrary transformations of copulas. Furthermore, the implementation of CMA is also computationally very efficient in arbitrary large dimensions.

To illustrate benefits and applications of CMA, the paper proposes two case studies: stress-testing with a panic copula which hits non-symmetrically the downside and displays non-equal, risk-premium adjusted probabilities; and arbitrary rotations of the panic copula.

Make sure you get your copy of this paper now for more information, and for documented code for all the algorithms and the applications which is also available for download.

In the second paper, ‘A Short, Comprehensive, Practical Guide to Copulas,’ they provide a visual primer on copulas. The paper highlights and proves the most important theoretical results, and discusses implementation issues.

Download this guide here.

Attilio will be speaking at this year’s Quant Invest Chicago conference, on the topic ‘Modernizing portfolio construction: generalizing Black-Litterman framework to a more dynamic, abnormal cross-asset market.’

Register now to guarantee your spot to hear him share his expertise.

Quantitative and fundamental analyses were thought to be mutually exclusive. However, now there is a new strategy gradually emerging and it’s name is “Quantamental”.

A few days ago, Morgan Stanley’s equity strategy team published their list of five most favored and five least favored growth stocks based on their "quantamental" model. Team leader Adam Parker explains that when a Morgan Stanley analyst has fundamental conviction on a stock and our quantitative models agree, the subsequent performance is superior to either discipline alone.

The reason why these two distinct analytical styles can be combined is that both quantitative and fundamental analysts basically utilize similar factors, like price to earnings multiple, past performance of the security, market cap of the security, the firm’s sector classification etc. Hence based on the fully-developed, mature fundamental analysis, quantitative models are also to further strength of discipline and optimize outcomes.

Sometimes, they can also be combined to fully explore certain markets. Some ex-wall street bankers are trying to bring quantitative models to China’s stock market. But in a market where intraday selling is not yet allowed and limitation of pricing data is severe, these ambitious quant managers might have to borrow some more fundamental analytics.

At the very least, quant manager can examine their models from different angles using fundamental analytical patterns. Mr. James Norman of QS Investors will be presenting at the Quant Invest Chicago 2012 event and discuss if a top-down, macro oriented approach produces more consistent returns than bottom-up stock selection.

NAG

The presentation will include an overview of time-tested solutions/remedies for achieving high performance results by leveraging high precision numerical software. Jeremy will also provide a view of the rapidly changing landscape for high performance architectures and outline the technical and business implications for algorithmic code and the financial mathematics process.

The seminar complements the on-floor NAG Clinic, where you can find numerical “remedies” for your difficult quantitative problems.

Make sure you visit The Trading Show Chicago exhibition to hear Jeremy’s presentation and to solve your quant problems at the NAG Clinic.