Setting the Stage

As this is my first post to this blog, figured would “set the stage” by describing what intend to explore.

I come from a comp sci / physics background, getting my first exposure to computers back in 1979 as a kid when I took a course at a college with a program for gifted youth. I was hooked from that point on. I went on to specialize in parallel processing and algorithms, which landed me my first job doing applied parallel processing research on Wall Street in the early 90’s.

For the last 17 years have worked on Wall Street as a researcher, quantitative developer, architect, etc. in NY, Tokyo, and London. In the 80s and early 90s, technology was just becoming indispensable to the trading desks, and so there was plenty to do, plenty of technology to invent as we went along.

I can say that 5-10 years of that part of my career was involved in developing new technologies (parallel processing, visualization), quantitative libraries (for pricing derivatives), etc. That was all fun until it became a commodity and the business of IT on Wall Street started changing, bringing in a wider variety of programmers (basically the full bell curve rather than the tail) and associated management structure.

Along the way, one goal that had always intrigued me was the notion of automated trading. The concept resonated with me on a number of levels:

  • incredibly hard problem (a holy grail involving state of the art computer science, math, and ingenuity)
  • formalize the thought process involved in deciding to trade (entry and exit)
  • remove the emotional component that can cripple trader judgement
  • going to have a lot of fun along the way

I started investigating this in the mid 90’s but there was nothing in the way of electronic execution platforms for anything but the equities market (and I was focused on Fixed Income and FX).

I left Wall Street for a few years to pursue entrepreneurial goals, to come back in 2004 to focus on automated trading strategies. And so begins my blog …

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