### Forums

### Blogroll

### Search

### Archives

- November 2015
- October 2015
- August 2015
- July 2015
- June 2015
- May 2015
- April 2015
- March 2015
- February 2015
- January 2015
- December 2014
- November 2014
- October 2014
- September 2014
- August 2014
- July 2014
- June 2014
- May 2014
- April 2014
- December 2012
- November 2012
- September 2011
- June 2011
- May 2011
- April 2011
- March 2011
- February 2011
- July 2010
- July 2009
- May 2009

### Categories

- Algo Design Language (6)
- Algo Strategy Engine (2)
- Algorithmic Trading (13)
- Alternative Investment (1)
- ARFIMA (1)
- ARMA (4)
- Asian markets (2)
- Binary Options (1)
- Black Noise (2)
- Bond Futures (1)
- CAPM (1)
- Cointegration (7)
- Commodity Futures (3)
- Correlation (1)
- Correlation Dimension (1)
- Correlation Integral (1)
- CrashMetrics (1)
- CTA (1)
- Day Trading (2)
- Derivatives (3)
- Direction Prediction (4)
- Dispersion (1)
- Dynamic Capital Model (1)
- Econometrics (8)
- Economics (1)
- Econophysics (2)
- Education (1)
- Emerging Markets (1)
- eMini Futures (4)
- Equity Curve (2)
- Equity Futures (1)
- ETFs (6)
- F/X (1)
- Factor Models (1)
- Fat Tails (3)
- FIGARCH (2)
- Financial Engineering (5)
- Fixed Income Futures (1)
- Forecasting (17)
- Fourier Transforms (2)
- Fractional Brownian Motion (2)
- Fractional Cointegration (2)
- Fractional Integration (3)
- Futures (10)
- GARCH (1)
- Genetic Programming (1)
- Graduate Programs (1)
- Granger Causality (1)
- Hedge Funds (3)
- Henon Attractor (1)
- High Frequency Finance (6)
- High Frequency Trading (10)
- Hurst Exponent (2)
- Hybrid Products (1)
- Interactive Brokers (1)
- Interest Rate Models (1)
- Jobs (1)
- Johansen (2)
- Julia (2)
- Kalman Filter (2)
- Kelly Criterion (2)
- Latency (1)
- Logistic Attractor (1)
- Logit Regression (2)
- Long Memory (4)
- Long/Short (1)
- Machine Learning (5)
- Market Efficiency (2)
- Market Microstructure (4)
- Market Timing (3)
- Markov Model (1)
- Markov State Models (1)
- Mathematca (1)
- Mathematica (6)
- Matlab (8)
- Mean Reversion (7)
- Meta-Strategy (2)
- Metals (1)
- Model Review (1)
- Modeling (4)
- Momentum (4)
- Money Management (4)
- Monte Carlo (1)
- Multifactor Models (2)
- Natural Gas Futures (1)
- Nearest Neighbor (1)
- Neural Networks (1)
- Nonlinear Classification (2)
- Nonlinear Dynamics (2)
- Optimal f (2)
- Options (7)
- Order Flow (2)
- Pairs Trading (5)
- Pattern Trading (1)
- Performance Testing (2)
- Pink Noise (2)
- Portfolio Management (4)
- Principal Components Analysis (1)
- Programming (2)
- Proprietary Traders (1)
- Purchasing Power Parity (1)
- Quant/Traders (2)
- Random Forrests (1)
- Recruitment (1)
- REGARCH (3)
- Regime Shifts (4)
- Regime Switching (2)
- Regression (1)
- Risk Management (3)
- S&P500 Index (9)
- Scalping (2)
- Seasonal Effects (1)
- Signal Processing (2)
- Spline Methods (1)
- Spread Trading (2)
- Statistical Arbitrage (8)
- Stochastic Differential Equations (1)
- Stochastic Process Control (1)
- Stock Market (1)
- Strange Attractor (1)
- Strategy Development (6)
- Support Vector Machines (1)
- Systematic Strategies (9)
- Time Series Modeling (5)
- Toxic Flow (2)
- TradeStation (5)
- Trading (9)
- Trading Technologies (3)
- Uncategorized (10)
- Unit Roots (1)
- Van Tharp (1)
- Venture Capital (1)
- VIX Index (15)
- Volatility ETF Strategy (12)
- Volatility Modeling (31)
- volatility sign prediction forecasting Engle (3)
- White Noise (3)
- Yield Curve Modeling (1)

### Tag Cloud

ADL ARFIMA ARMA Models Black Noise Direction Prediction ETFs Financial engineering Forecasting Fourier Transforms Fractional Brownian Motion Fractional Cointegration Fractional Integration Futures GARCH High Frequency Trading Jump Diffusion Kalman Filter Kurtosis Long Memory Machine Learning Market Microstructure Market Timing Mathematica Mean Reversion Momentum MultiFactor Models Natural Gas Option Pricing Options Pairs Trading REGARCH Regime Shifts Robustness S&P500 Index Signal Processing Skewness Smile Statistical Arbitrage Stochastic Volatility Toxic Flow Tradestation VIX Volatility Volatility Dynamics White Noise

# Category Archives: Mathematica

## A Comparison of Programming Languages

Towards the end of last year I wrote a post (see here) about the advent of modern programming languages, including the JIT compiled Julia and visual programming language ADL from Trading Technologies. My conclusion (based on a not very scientific … Continue reading

Posted in Algo Design Language, Algorithmic Trading, Julia, Mathematica, Matlab, Programming
Comments Off on A Comparison of Programming Languages

## Just in Time: Programming Grows Up – JonathanKinlay.com

Move over C++: Modern Programming Languages Combine Productivity and Efficiency Like many in the field of quantitative research, I have programmed in several different languages over the years: Assembler, Fortran, Algol, Pascal, APL, VB, C, C++, C#, Matlab, R, Mathematica. … Continue reading

Posted in Algo Design Language, High Frequency Trading, Julia, Mathematica, Programming, Uncategorized
Tagged C, Julia, Just-in-Time, Mathematica, Matlab, Programming
Comments Off on Just in Time: Programming Grows Up – JonathanKinlay.com

## High Frequency Trading with ADL – JonathanKinlay.com

Trading Technologies’ ADL is a visual programming language designed specifically for trading strategy development that is integrated in the company’s flagship XTrader product. Despite the radically different programming philosophy, my experience of working with ADL has been delightfully easy and … Continue reading

Posted in Algo Design Language, Algorithmic Trading, Futures, High Frequency Trading, Latency, Market Microstructure, Mathematica, Matlab, Order Flow, S&P500 Index, Scalping, Toxic Flow, TradeStation, Trading Technologies
Tagged ADL, Futures, High Frequency Trading, Latency, Toxic Flow, Trading Technologies
Comments Off on High Frequency Trading with ADL – JonathanKinlay.com

## Quantitative Analysis of Fat Tails – JonathanKinlay.com

In this quantitative analysis I explore how, starting from the assumption of a stable, Gaussian distribution in a returns process, we evolve to a system that displays all the characteristics of empirical market data, notably time-dependent moments, high levels of … Continue reading

Posted in Fat Tails, Mathematica, Regime Shifts, Regime Switching, Uncategorized, Volatility Modeling
Tagged Fat Tails, Jump Diffusion, Kurtosis, Non-Normal, Regimes, Stationarity, Volatility Smile
Comments Off on Quantitative Analysis of Fat Tails – JonathanKinlay.com

## The Mathematics of Scalping

NOTE: if you are unable to see the Mathematica models below, you can download the free Wolfram CDF player and you may also need this plug-in. You can also download the complete Mathematica CDF file here. In this post I want … Continue reading

Posted in Futures, Mathematca, Mathematica, Scalping, Trading, Volatility Modeling
Tagged Computable Document Format, Dynamic model, E-min, Execution, Extreme Value Distribution, Futures, Gaussian, High Frequency, IOC orders, Latency, Limit order book, Mathematica, Mote Carlo Simulation, Non-Gaussian, Scalping, Trade Expression, Volatility
Comments Off on The Mathematics of Scalping