Thursday, April 30, 2009

Ubuntu as good as Mac or Windows 7?

A lot of articles like this one since Ubuntu's new release this week. The fact that Linux is being compared directly as a desktop competitor is a great success for a product that is free. I am using Ubuntu more and more and I am very pleased with the ability to download software that doesn't cost me.

Sunday, April 26, 2009

LTCM 10 Years Later from an Insider

Eric Rosenfeld who was part of the core LTCM team gave this very interesting presentation at MIT on LTCM looking back 10 years.

Plenty of different information than what was reported in books and documentaries.

Wednesday, April 22, 2009

"Quantitative Trading: How to Build Your Own Algorithmic Trading Business" by Ernest P. Chan

About 180 pages that is an easy read for anyone with some trading knowledge.  Chan has a great background and a lot of experience that show throughout the book.

Chan uses MATLAB examples to show how software tools can be used to backtest and automate trading strategies.

He also has several examples including a 'Mean-Reverting Model' and a 'Pair Trading' system.  Both have very good Sharpe ratios and appear very straightforward.

Chan's chapter on backtesting and his use of MATLAB for measuring risk and leverage were also very interesting.

My takeaway from the book includes:

1.  I will look into Octave, a MATLAB clone, to see if I can adopt it instead of writing all of my own backtesting software from scratch.

2.  I am always looking for another system to complement what I am doing today.  I have looked at 'Pair Trading' in the past and will use Octave and Chan's example to revisit my previous work.

I liked the book and can easily recommend it.  I can also recommend Chan's blog at

Tuesday, April 21, 2009

Google Announces O3D

Google announced APIs and examples of their Open 3D plug-in that will allow 3D rendering within any browser.  OS and browser independent.

Watch the video - very nice.  Also the example page has a lot of good examples that you would expect only on a compiled software application.

Nice Story

This guy Schrenker ran a ponzi hedge fund and then tried to fake his own death by parachuting out of a plan on autopilot.  An Air Force F-16 joined on the plane and said nobody was inside and the door was ajar.  Now the guys defense is that this would take too much 'planning' and he is not capable of it.  As one poster said, "Gee it is lucky his parachute came down next to where he stored his motorcycle..."  And now he is doing national interviewes on TV??? 

Schrenker told "GMA" that there would be too much planning involved in faking his own death.

"Let's step back and think about what someone would have to do if they wanted to fake their own death," Schrenker said in a jailhouse telephone interview with "Good Morning America's" Chris Cuomo. "They would have to establish a new identity. They would have to have a well-funded bank account, a place where they would live. And I did nothing like that."

Schrenker, 38, said that he'd survived an actual accident Jan. 11 by parachuting to safety after his plane hit turbulence and the oxygen system began to fail.