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 , , , , , | 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 , , , , , | 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 , , , , , , | 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 , , , , , , , , , , , , , , , , | Comments Off on The Mathematics of Scalping

Option Prices in the Variance Gamma Model

Posted in Mathematica, Options, Volatility Modeling | Tagged , , , | Comments Off on Option Prices in the Variance Gamma Model