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Engenharia financeira

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  • 1. TRADING/INVESTMENTMANAGEMENT SYSTEM Rodrigo Sucupira Andrade Lima Automation and Control Engineering Escola Politécnica da Universidade de São Paulo
  • 2. QUESTIONInvestment management systems are risky?Can computer programs anticipatemarket movements?How mathematic models extract informationfrom financial times series?
  • 3. VOLATILITY
  • 4. PRICE & RETURN
  • 5. PLOTTING
  • 6. COMPUTER MODEL AND SIMULATION
  • 7. SIMULATION
  • 8. MACHINE LEARNING
  • 9. MATHEMATICAL ENGINEERING
  • 10. SOFTWARE ENGINEERING
  • 11. STRATEGY• Pair trading / Arbitrage• Trend Folowing• Scalping• Reversion
  • 12. MARKET COMPLEXITY• LONG TERM INVESTMENTS• SHORT TERM INVESTMENTS• BUY-SIDE INVESTORS• HIGH FREQUENCY TRADERS• DAY-TRADERS• QUANTITATIVE TRADERS• STATISTICAL ARBRITAGE• SCALPING
  • 13. TRADING/INVESTMENT SYSTEMDEVELOPMENT METHODOLOGY
  • 14. OPTIMIZATION
  • 15. STATISTICS HISTOGRAMSCLUSTERS PLOTTING PARAMETRIC MONTE CARLO SIMULATIONNON-PARAMETRIC DISTRIBUTIONS ROBUST STATISTICS SKEWNESS KURTOSISCORRELATION STANDART DEVIATIONMEAN
  • 16. MARKET DYNAMICS• Pergunta• Problemas• soluções• Metodologias• resultados • Compass Rose
  • 17. MARKET DYNAMICS
  • 18. RISK MANAGEMENT• Var• Stress• Trading Management
  • 19. FINANCIAL DISASTERS
  • 20. TECHNOLOGY• C, C++, .NET, SQL• DMA –DIRECT MARKET ACESS• FPGA - FIELD PROGRAMMABLE GATE ARRAY
  • 21. CLIMATE DERIVATIVES• SAZONALITIES• METHEOROLOGICAL MODELS• ECONOMY EXPOSURE
  • 22. LATENCY MANAGEMENT • ORDER MANAGEMENT • SYSTEM COMMUNICATION • QUEUEUE MANAGEMENT
  • 23. FINANCIAL ENGINEERING BLACK & SCHOLES STOCKSSTANDART DEVIATION HISTOGRAM VOLATILITY STATISTICS ECONOPHYSICS FINANCE WAVELET DERIVATIVES AUTOCORRELATION BACKTESTING TECHNICAL ANALYSIS MEAN TRADING SYSTEMS ARTIFICIAL INTELLIGENCE LIQUIDITY RISK GENETIC ALGORITHMS RISK MANAGEMENTPLOTTING CAPITAL MANAGEMENT SCALPING GENETIC PROGRAMMING SIMULATION OPTIMIZATION PROGRAMMING TREND FOLLOWING SENSITIVITY ANALYSIS SOFTWARE ENGINEERING NEURAL NETWORKS ORDER FLOW MATHEMATIC ENGINEERING C JAVA REGRESSION C++ MATLAB LATENCY MANAGEMENT CLUSTER QUEUEUE