Join us on November 1st for a seminar hosted by WatRISQ, University of Waterloo and Columbia University: Measuring and Using Trading Algorithms Effectively, presented by Dr. Heath Windcliff (BMath 1998, MMath 2000, PhD 2003).
In order to build effective trading algorithms, you need to effectively measure trading algorithms. In this talk we will talk about what factors we look at when measuring trading engine performance in tuning our algorithms.
Specifically we will discuss several common benchmarks and discuss what each of these focus their lens upon, and what these measurements are blind to. We will focus on the precision of these measurements and where these sources of noise and uncertainty come from. We will show a lower bound on the amount of noise expected in these measures so you can determine how precisely one can expect to be able to measure trading performance for a given amount of flow. This has material implications on the feasibility and applicability of quantitative best-execution measures for many users.
Finally we will show how use these methods in our engine tuning process.