# Tag Info

11

The only way to find out is to try it! It shouldn't take very long to write some simple code to simulate the computations you plan to do, and run it in a loop. With current versions of Visual Basic (VB.net), performance should be comparable to Java in most cases because the basic technology (compiling to intermediate code and then running a just-in-time ...

11

HFT seems to be the big money making mystery machine these days. That's not correct. By its very nature, HFT can only produce a limited amount of revenue. The big money makers are still the large hedge funds that charge 2-and-20 on their \$10B worth of assets. There are not too many players there at the moment so markets are not completely efficient? ... 10 All .NET languages are perfectly able to compete with the speed of C and even FORTRAN. It all depends on if they are used the correct way. 1) Both Java and .NET have considerable longer startup times than most native app. Therefore, you will have to have the application running and not starting it over and over on request. 2) Memory management is crucial ... 8 At higher frequencies the coastline is longer. Thus you can be more selective in your entries, or trade more. And by trading more you can get a higher statistical relevance for you system. When it will stop having an edge, you will be able to stop trading it before it eats into your previous profits. ie: if each day you make 0.5%, in 80 days you will have ... 7 "Does quantity turn into quality because it is faster - and if yes, when and why?" Yes it does. As per The Fundamental Law of Active Management, all else being equal the more positive expectancy bets one can make in a given time period the higher the profitability and return per unit of risk. As Adal responded, statistical significance (or lack) is ... 3 Why not just use Geometric Mean Returns? Each time you buy/sell an ETF calculate the holding period return as a percentage and plug into the formula. The answer is a percentage that you can use to calculate the approximate money appreciation (or loss) against your "fixed notional" 3 I agree with chrisaycock who underlined that they are acting as market-makers. For a market-marker: reward is bid-ask spread and cost is a combination of volatility$\sigma$and trend$r$. Of course a market-marker keeping its inventory$\tau$seconds, this risk is a combination of$\sigma\sqrt{\tau}$and trend$r\tau$. So the smaller$\tau$, the smaller ... 3 In the dot.com era the Internet was considered a-winner-takes-it-all market, new tech start-ups (like Netscape, Amazon.com and the famous Pets.com) was measured by how much the capital they where able to chew through, the logic being that the more they spend the more aggressive they were (at least in the investors' eyes), conquering this new market known as ... 3 You are right, the rules to time-scale a T-years transition matrix$M_T$are:$M_{k·T} = M_T^kM_{T/k} = \sqrt[k]{M_T}$The root of a matrix M can be obtained using the spectral decomposition:$M = P·D·P^{-1} \Longrightarrow M^k = P·D^k·P^{-1}$where$P$and$D$are the eigenvectors and eigenvalue matrices of$M_T$. Note: The Perron-Frobenius tells ... 2 Short answer: Yes. I am using it frequently. The stigma regarding Visual Basic comes from the time, where VB5 was COM based with some dirty language quirks. This time, VB was intended for/ to be used within / in conjunction with Office' macros. .NET substantially changed the technology behind the language as well as removed most 'quirks' regarding ... 1 "Burn rate" is a measure of "spend rate" relative to cash on hand. So if you have$10 million dollars, and you spend \$1 million dollars a month, you will "burn through" your cash in ten months, at which time your company will either "take off," get new financing, or go under. Strategies that rely on "burn rate" are risky ones. Nevertheless, they are ...

1

From the computational (math) prespective, VB.net should be able to compete with Java and C/C++. The only possible problem can be the garbage collection (as in Java). Therefore don't forget to set server-type garbage collector and carefully organize/manage your data structures.

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