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# 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
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## 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
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## 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
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## 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
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## 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
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