LESSONS LEARNED From past HTs

Critical Thinking Doing well!

Your Opinion Matters Name, Year, School What you like about the class This course (e.g., the integration of cases, lectures, reading assignments, projects, and exams) represented a coherent body of learning What can be improved

SuperPrograms at the top speed "the tires will only last for about fifteen minutes, but it's okay because the fuel runs out in twelve minutes." bugatti veyron – fastest street car – 2 the most expensive production car available at a price of 1.1 million Euro. an average top speed of 408.47 km/h (253.81 mph) .(60 mph) from a standstill in 2.46 seconds 2.5 mpg

The Big Picture

Team 3/06 - Delta Calculator Bugatti Veyron 254mh-2.5s- 2.3m Idea: use more than one computer

Team 7/06 Idea: UX matters

Team 6/06 – Their Secret Weapon Idea: maximum information

Team 5/08 - Winner

WINIT What Is New In Technology?

Algotrading The smart hedger

Table is in your dataset Recommendations Table is in your dataset

Candidate Recommendations Highest score will be selected as the actual recommendation Table is in your dataset Scores range from 0 to 1000 and include a BaseScore + adjustments You will set both BaseScores and adjustments to fit your strategy

Algotrading: The Smart Hedger Start Find the top candidate recommendation and store it in myRecRow Pick the next family portfolio and create a new row in the RecommendationsTbl (myRecRow) Automated execution? Display all Yes Hedging today? End No Execute the top scored recommendation (myRecRow) No Need to hedge this portfolio? A No Recompute all metrics A Generate and score candidate recommendations as rows in the CandidateRecommendationsTable (myCandidateRecRow) More family portfolios? No Display all End

Generating & Scoring alternatives Do we hedge today? N N = score is set to zero Should we hedge this portfolio (e.g., AAPL)? N Family delta positive or negative? Sell AAPL stock Sell AAPL Calls Sell Short AAPL Calls Buy AAPL Puts Buy back AAPL Short Puts Buy AAPL stock Buy AAPL Calls Buy back Short Calls ….. Base score 700 Base score 600 Base score 200 Base score 400 ….. ….. Base score 400 Base score 500 ….. Is it in IP? N Loop trough A-E ….. ….. Loop trough A-E Is it in IP? Do I have a long stock? N N Is it in IP? N Do I have available cash? N How many should I sell? Am I long on it? N How many should I buy? How many should I sell short? Can I afford it? N Will I respect max margins? If I do not have enough, I lower the base score with an adjustment N Will I respect the margin? N If I cannot sell short enough, I lower the base score with an adjustment If I cannot buy enough, I lower the base score with an adjustment Adjust score based on Strike (A-E) Adjust score based on Strike (A-E)