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Engenharia financeira

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Engenharia financeira

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

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