Beta Arb
Interesting thoughts on a beta arb play..... Read more...
Frustrated Programming (FP), Yesterday, 12:25am
Andrew Lo in NYC on Systemic Risk
Andrew Lo was in town last week to talk Systemic Risk but I missed the event. If anyone has soft copy of the presentation please email me. I'm particularly interested in hearing his evidence on increasing systemic risk and thoughts on regulatory need: Read more...
Frustrated Programming (FP), Yesterday, 12:25am
More on the Application of FPGAs, ASICs, GPUs, etc... to Finance
After last week's post on FGPAs, I've talked with a number of people over the past week about high performance quant operations in hardware and have happened on a few more variations on the theme. Read more...
Frustrated Programming (FP), May 15, 12:28pm
Black Scholes Merton Lives On !!!
Interesting historical commentary and thoughts on the longevity of BSM especially when you move beyond constant volatility into the stochastic world.... Read more...
Frustrated Programming (FP), May 15, 12:28pm
Insurance & Reinsurance Regulations in the US
The Economist turned me on to some interesting info on pending changes to the Insurance & Reinsurance industries in the US. This includes proposed legislation for federally charted Insurance firms as well as an attempt to get US and non-US Reinsurance firms on par with each other when it comes to collateral requirements. It sounds like Lloyd's has been pushing for change for a long time. Read more...
Frustrated Programming (FP), May 15, 12:28pm
Preparing for the Days of Manycore CPUs
Eric aggregates some interesting thoughts on raising the level of programming consciousness to support the inherent parallelization in the manycore CPUs and related hardware of tomorrow ... and it's nice to see Erlang getting some press again. Read more...
Frustrated Programming (FP), May 15, 12:28pm
Smaller Cap Algo
A few weeks ago I was talking to an up and coming buy-side incubated prime broker who was offering a number of algorithims to its clients, specifically for micro/small/mid cap equities. I see BofA is talking smaller cap algo now too. Read more...
Frustrated Programming (FP), May 14, 12:29pm
The Paradox of Low-Latency XML for Algo Trading
Dow Jones announced support for XML-tagged news in response to Reuters support for the same announced in December of 2006. Read more...
Frustrated Programming (FP), May 14, 12:29pm
Equity Correlation Swaps
Columbia had a discussion on Equity Correlation Swaps last night......for those of us who like matrices... Read more...
Frustrated Programming (FP), May 9, 12:25am
Index Arb Op Risk
Where were you at 2:30 PM on Feb 28, 2007? Anywhere near the DJIA? Read more...
Frustrated Programming (FP), May 9, 12:25am
President's Working Group on Systemic Risk
Interesting activity in the regulatory space.... Read more...
Frustrated Programming (FP), May 9, 12:25am
FreeSubprimeCreditReport.com
Lots of press recently about how the mounting losses in the subprime mortgage market may impact the hedge funds who assume this subprime risk from the banks who package it up and sell it off. The first I saw was in The Economist and then Wharton. Read more...
Frustrated Programming (FP), May 9, 12:25am
Logistics in Algo Trading
There's a talk at an upcoming Algo Trading conference in London on "Market Impact Models and Trade Scheduling". I wonder how long before the players in this space start taking more advantage of the vast world of operations research in scheduling. Read more...
Frustrated Programming (FP), May 9, 12:25am
The Economist Blogosphere
The Economist recently had an article on the use of blogging to flatten the ivory tower of economic thought. Here are the blogs specifically mentioned in the article: Read more...
Frustrated Programming (FP), May 6, 12:43am
DMA Risk and Intraday VAR
Also in the latest FI are thoughts on risk in the increasingly common world of DMA ....... with notes on Prudential's use of Intraday VAR. Read more...
Frustrated Programming (FP), May 6, 12:43am
Finetix Breakfast in NY
Finetix is hosting a breakfast in New York for those of you who may be interested in the application of Agile in Capital Markets. Ken Schwaber will be talking about SCRUM and I'll be presenting on XP in Capital Markets. There will also be some brief case study's from David Lattimore-Gay's experiences. Read more...
Being Extreme, May 6, 12:43am
Hull on Hedge Fund Risk
A recent Economist article hints at what John Hull spells out pretty clearly in his lessons for "users of derivatives": Read more...
Frustrated Programming (FP), May 6, 12:43am
Only on Slashdot...
This is an absolute classic. Read more...
A random walk through Financial IT, May 6, 12:43am
I’ve been an avid blog reader for some time now and have been meaning to set up my own blog for some time, a new job at a consultancy company where blogging is an established part of the culture have finally provided me with the impetus to set up one of my own. Cool. Read more...
A random walk through Financial IT, May 6, 12:43am
Pair Programming: Issue 1: Space Violation!
A colleague of mine suggested I blog something on why I am an advocate of Pair Programming (PP) - he is somewhat of a skeptic. He mentioned some unfortunate incident with an insect and an orifice. Read more...
Being Extreme, May 6, 12:43am
Pair Programming: Issue 2 : Stop looking at me!
[The second installment of my response to a colleague's queries about Pair Programming] Read more...
Being Extreme, May 6, 12:43am
GPGPU for Faster Options Math in Silicon
Ever since the FPGA discussion piqued my interest a few months ago I've been paying more attention than usual to other high speed opportunities, the most compelling of which has to be the GPGPU movement. Read more...
Frustrated Programming (FP), May 6, 12:43am
Blogging Virgin
So this is the traditional, "I've never blogged before" first entry. Being an eXtreme Programming type, I of course Wiki but have never blogged. I have recently joined Finetix where blogging is encouraged, so I have been encouraged so.... Read more...
Being Extreme, May 6, 12:43am
The Multi-Dimensional Data Grid
Thanks to Chris Webb for pointing us to Google's Big Table. Since we're big believers in the dimensionality of things, when you read through Google's paper it becomes evident that they're on to something with broader applicability here. There's also potential synergy with the Data Warehousing and OLAP worlds, or maybe even the ESP space. Read more...
Frustrated Programming (FP), May 6, 12:43am
CEP ... It's Easy As ... ESP
First Aaron joined StreamBase, then the great ACM Queue magazine featured an interview with Steven Ross-Talbot, one of the current voices in the pi-Calculus event space ... but lately I've been reading Marco and Chris Donnan's latest. It's also probably not too long until Marc takes his latest one step further and gets deeper into the utility of ESP. Read more...
Frustrated Programming (FP), May 6, 12:43am
The Senate and Systemic Risk
In the latest issue of Futures Industry magazine, John Damgard mentions two members of the Senate to watch for in 2007. Read more...
Frustrated Programming (FP), May 6, 12:43am
The New World of Portfolio Margining
Another article in the most recent Futures Industry magazine on new margining rules for the NYSE and CBOE that are intended to come online on April 2 also caught my attention because of its likely impact on the prime brokers and hedge funds, which we've mentioned before in a previous post, as well as on the portfolio management and credit risk management systems we build for our clients. Read more...
Frustrated Programming (FP), May 6, 12:43am
Single Name CDS Futures
The latest issue of Futures Industry mentions the impending (March 27) Eurex entry into the CDS index futures market and the more interesting single name CDS futures that CME and CBOT are thinking about. This is definitely something to follow since there's likely to be some growing pains (read: arb?) between the OTC and Futures markets while things get sorted out. Read more...
Frustrated Programming (FP), May 6, 12:43am
S&P Rating Hedge Fund Op Risk
Given that the SEC hedge fund regulation story is waning fast.... Read more...
Frustrated Programming (FP), May 6, 12:43am
Update: UCM or Base ClearCase?
We copped out… UCM, as implemented at our client, was way too heavy for our project needs and with the help of the local admin Pinakin and I were able to get a significantly cut down process that more resembles base ClearCase. Rational/IBM have recognised the weight of implementing UCM and modified the process tooling in 2004, this client has yet to upgrade… Read more...
A random walk through Financial IT, May 6, 12:43am
Synthetic Hedge Funds
Suren's post reminded me of a recent Economist article that talked about synthesizing hedge fund portfolios and provided some useful links to additional reading material, including something from the Andrew Lo camp. I'm a big fan of Andrew's work, particularly his 2000-2001 views on hedge fund risk that will likely be taking root in 2007-2008. Read more...
Frustrated Programming (FP), May 6, 12:43am
What does you Recruitment Process say about you?
Having recently moved jobs, I have been generally unimpressed with the recruitment processes I have encountered. My particular bug-bear is the "technical assessment" questions and my second favorite "the personality profile". Read more...
Being Extreme, May 6, 12:43am
Pair Programming: Issue 3 : I like you so much I won't Pair with you
[The third installment of my response to a colleague's queries about Pair Programming] Read more...
Being Extreme, May 6, 12:43am
My First Real Pairing Experience
This recent blogging of "how to do good pairing" caused my first real pairing buddy to remind me about how different we were but how well it worked. Read more...
Being Extreme, May 6, 12:43am
Pair Programming: Issue 4 : You're in my way!
[The fourth installment of my response to a colleague's queries about Pair Programming] Read more...
Being Extreme, May 6, 12:43am
Agile and Organizational Change Management
Agile System Delivery in itself is not the main problem when dealing with clients. They want the benefits: regular delivery every 30 days, high quality, ability to change their minds, etc. They understand it, they understand to an extent why it might work but there is always "resistance" to the adoption of Agile practices. This is because you are trying to get the people to change the way they behave and Agile by itself does not address this process. Read more...
Being Extreme, May 6, 12:43am
Light Bulb Jokes
Now that Agile has hit "the big time" with a Dilbert cartoon we (some old OT/SPA cronies at lunch today) were trying to remember if we'd heard an Agile or rather XP Light Bulb Jokes. Failing to do this we decided to make one up: Read more...
Being Extreme, May 6, 12:43am
MSF for Agile Software Development - You've Got To Be Kidding, Right?
Matt Davey pointed me at the MSF for Agile Software Development Beta. Damian Guy and I read through it - its a very good laugh! I would like to thank Microsoft for producing such a magnificent pre-Christmas spoof for our entertainment. I recommend it for your geek office party. Read more...
Being Extreme, May 6, 12:43am
Do or Do Not Do. There is no Try.
Master Yoda may well be an Agile master. His sage advise came back to me again in a recent discussion with some colleagues about adopting a stand-up practice for the whole company. Read more...
Being Extreme, May 6, 12:43am
Breakfast in NY with Ken Schwaber
Finetix hosted a breakfast for about 30 senior people from NY banks who were interested in hearing about Agile in Capital Markets. Ken Schwaber came along to add further weight to the Scrum argument. Read more...
Being Extreme, May 6, 12:43am
Software Factories Skepticism
I'm no expert on Software Factories but frankly I am a skeptic. I have spent a day or so reading about them on the InterWeb at the behest of one of my colleagues. There are several very well written articles on Software Factories out there. I particularly like the Jack Greenfield articles on the Microsoft site (Parts 1, 2 , 3 (where's 4 BTW?)). There's no doubt the Software Factory proponents are very articulate and maybe that's one of the things that makes me skeptical? Read more...
Being Extreme, May 6, 12:43am
Team Building Exercises? Bah! Humbug!
As the season is soon to be upon us I feel comfortable issuing a "Bah! Humbug!" opinion on the notion of Team Building Exercises. Read more...
Being Extreme, May 6, 12:43am
Winning an Award for Being Agile
I came across this article describing how a game company won a industry prize for using Scrum. I can't decide if this is good or not? Maybe I'm just jealous ? Read more...
Being Extreme, May 6, 12:43am
XPDay and Buying a Beer
So XPDay is nearly upon us. Well worth going to if only for the social events on Monday and Tuesday! As per my previous blog entries I am a fan of the social event as a useful practice. If you study the programme closely you will notice that Finetix is sponsoring the drinks on Monday night - clearly I've managed to convince others of my view :-) Read more...
Being Extreme, May 6, 12:43am
Agile Letter to The Guardian
I never really believed it was worth writing to newspapers, however, I was irritated by an article by Ed Hasted in the Technology Guardian sufficiently to respond. I got a call from Bernard Horan to tell me that they'd published an excerpt from it on the letters page! Read more...
Being Extreme, May 6, 12:43am
SCM Patterns
Repeatable builds are a key part of any Agile process. I have often had to put together a build/release processes as part of a consulting engagement. Read more...
A random walk through Financial IT, May 6, 12:43am
UCM or Base ClearCase?
ClearCase pretty much has the SCM market sown up in investment banks and I have used it on many projects over the last 8 years; sure it’s heavy(ish) to learn and refactoring support could be better, but it does what it says on the tin and quickly becomes a part of the build environment that you tend to ignore because it just works. Until today. Read more...
A random walk through Financial IT, May 6, 12:43am
Ars Technica takes a guided tour of the Microsoft Command Shell (a.k.a. Monad)
Here Read more...
A random walk through Financial IT, May 6, 12:43am
The Systemic Risk of Cross-Asset Everything
2006 was a year when cross-asset trading and risk really started to get a lot of press, including this post on cross-asset algo trading from Chris. Particularly interesting to the buy-side was the potential for increased leverage they would get from cross-asset margining and netting. Read more...
Frustrated Programming (FP), Apr 30, 12:43am