Finance

From the description of a talk 'March 16 Talk, "Deep Learning for Sequences in Quantitative Finance" with David Kriegman of UCSD and Two Sigma', an excellent summary:

The quantitative investment process can be viewed as one that takes in raw data at one end and executes trades that buy and sell financial instruments at the other end. The process naturally decomposes into steps of feature extraction, forecasting the returns of individual instruments, portfolio allocation to decide quantities to trade, and trading execution. Many of the steps in this process are readily expressed as machine learning problems that can be addressed using deep learning sequence methods.

Somewhere in the Globe and Mail:

All things being equal – such as revenue, number of employees – the value of a product company that owns intellectual property (IP) is four times that of a similar service company. Generally speaking, an investor will value a service-based company at one to two times its revenue, while product-based companies are valued at four to 10 times.

Prelude To A 2008 Event: Paper Gold Manipulation Intensifies

And has anyone checked gold lease rates lately? Currently the lease rate curve for gold and silver in London is inverted. In fact, lease rates gold from 3 months to a year are negative. Negative lease rates mean the Central Banks will pay bullion banks to lease gold and silver. Long-timers like me know that this means there’s an immediate and anticipated shortage of physical gold and silver available for delivery, where “delivery” means the metal is removed from the London vaults and shipped to the entitled buyer.

Both gold and silver are backwardated. It took 11 iterations in the LBMA p.m. fix on Tuesday to balance out the heavy demand for physical gold from bidders. 11 iterations is rare occurrence. 5-6 iterations is rare. 1 or 2 is typical. Metal is tight in London.

If you are monitoring the Comex Hong Kong kilo bar vaults, you are aware that the movement in and out of the vaults there suggests that metal is also tight in Hong Kong, which means it is likely tight in Shanghai.

Some Links

• Mining Bitcoin with a GPU in 2018
• Goodbye Banner Ads. Hello Oyster.
• PimpOs
• 2018/03/17: Bitcoin mining - some tech details
• 2019/02/25 Option Miners

With a 'kind of' open source bent, but not really, but have some merit for latent information, some tabs I've had open in my browser:

• Open Source Hedge Fund with some tools and data sources and strategies for trading, but it does have a page for Getting Started: Building a Fully Automated Trading System.
• Sentosa – An Open Source High Frequency Automatic Algorithmic Trading System and Research Platform but the site and the code don't seem to be receiving much maintenance, but does have a repository of strategy ideas.
• Zorro Trading - a basic technical analysis based trading engine, but has some ideas to which I aspire.

With a plug to my own code in progress: Trade Frame.

I have been working on some C++ trading code off and on for quite some time to test various trading scenarios and strategies. And to see just how random the market really is... (it is).

Rather than keep it to my self, well probably I'll be the only one to continue to use it, but maybe there are others out there who might be able to use some of this, rather than build everything from scratch, like probably so many others have.

This software knows how to read live execution data (quotes and trades) from DTN IQFeed and from Interactive Brokers. It also knows how to submit orders to Interactive Brokers, and to tally up the results in terms of commissions, spreads, and profit analysis.

I have written a bunch of libraries, and those libraries are in use by my primary application: ComboTrading. This application will allow me to create various options combinations, track them in terms of their composite value (price and volatility wise), and initiate auto entries and exits based upon simple rule sets.

The repository is at Github: trade-frame. I use NetBeans as my IDE for development.

There are a number of libraries on which the code depends. My script, libs-build, also on Github, can be used to download and build the trading library dependencies.

Found in John Mauldin's 'Thoughts From The FrontLine', a nice definition of macro-economic terms and their relationships:

"Hunt explains that the monetary policy cannot influence the economy unless the market rate of interest (represented by the Baa corporate bond yield) is below the natural rate of interest (the nominal rate of GDP growth)" -- May 25, 2014.