1. TRADING/INVESTMENT
MANAGEMENT SYSTEM
Rodrigo Sucupira Andrade Lima
Automation and Control Engineering
Escola Politécnica da Universidade de São Paulo

2. QUESTION
Investment management systems are risky?
Can computer programs anticipate
market movements?
How mathematic models extract information
from financial times series?

3. VOLATILITY

4. PRICE & RETURN

5. PLOTTING

6. COMPUTER MODEL AND
SIMULATION

7. SIMULATION

8. MACHINE LEARNING

9. MATHEMATICAL ENGINEERING

10. SOFTWARE ENGINEERING

11. STRATEGY
• Pair trading / Arbitrage
• Trend Folowing
• Scalping
• Reversion

12. MARKET COMPLEXITY
• LONG TERM INVESTMENTS
• SHORT TERM INVESTMENTS
• BUY-SIDE INVESTORS
• HIGH FREQUENCY TRADERS
• DAY-TRADERS
• QUANTITATIVE TRADERS
• STATISTICAL ARBRITAGE
• SCALPING

13. TRADING/INVESTMENT SYSTEM
DEVELOPMENT METHODOLOGY

14. OPTIMIZATION

15. STATISTICS
HISTOGRAMS
CLUSTERS PLOTTING
PARAMETRIC
MONTE CARLO SIMULATION
NON-PARAMETRIC DISTRIBUTIONS
ROBUST STATISTICS
SKEWNESS KURTOSIS
CORRELATION
STANDART DEVIATION
MEAN

16. MARKET DYNAMICS
• Pergunta
• Problemas
• soluções
• Metodologias
• resultados
• Compass Rose

17. MARKET DYNAMICS

18. RISK MANAGEMENT
• Var
• Stress
• Trading Management

19. FINANCIAL DISASTERS

20. TECHNOLOGY
• C, C++, .NET, SQL
• DMA –DIRECT MARKET ACESS
• FPGA - FIELD PROGRAMMABLE GATE ARRAY

21. CLIMATE DERIVATIVES
• SAZONALITIES
• METHEOROLOGICAL MODELS
• ECONOMY EXPOSURE

22. LATENCY MANAGEMENT
• ORDER MANAGEMENT
• SYSTEM COMMUNICATION
• QUEUEUE MANAGEMENT

23. FINANCIAL ENGINEERING
BLACK & SCHOLES STOCKS
STANDART DEVIATION HISTOGRAM VOLATILITY
STATISTICS ECONOPHYSICS
FINANCE
WAVELET DERIVATIVES
AUTOCORRELATION BACKTESTING TECHNICAL ANALYSIS
MEAN TRADING SYSTEMS
ARTIFICIAL INTELLIGENCE LIQUIDITY RISK
GENETIC ALGORITHMS RISK MANAGEMENT
PLOTTING
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