Performance improvements Optional projects
Critical Thinking Tournament is in twelve days No homework
Software Clinic Team meeting: strategy, coding, debugging…. Must visit the clinic at least once before the HT 30 minute max. Sign-up sheet outside my door I will post it this evening Can only have ONE appointment at a time. Closer to the tournament it gets very crowded. Hard to schedule time.
Your Opinion Matters Concerns about the HT
Tweaking Hypothesize which parameters are important for improving performance Tweak parameters Watch performance (simulation or HT run)
Main parameters to tweak Frequency of hedging (HedgingToday) Family Delta threshold (NeedToHedge) Type of transaction preferences (CalcCandidateRecScores) A-E options preferences (scoring rules) Delta threshold (CalcQtyNeededToHedge) Family delta target (CalcQtyNeededToHedge) Max buy cushion (MaxPurchasePossible) Available cash cushion (AvailableCashIsLow) Max margin cushion (TooCloseToMaxMargins) Max short cushion (MaxShortWithinConstraints)
T19 – Emperor – Spring 2015 COMM4230 WINNER OVERALL HT WINNERS
Optional projects auto dividend cashing scheduled transactions differential thresholds for hedging gamma hedger differential family deltas intentional crashes edit portfolio on the fly
What Is New In Technology? WINIT What Is New In Technology?
Team 10/07 Idea: Design for two screens Idea: No comboboxes
Transactions Per Team 2007 11,577 Trades
Transactions per Team 2017 Max. avg. trades per day = 7.74 Min. avg. trades per day = 1.33
Team 4/07 Idea: Make it Chatty
Team 5/08 – The “Moneymaker” Jerome Kerviel Fund Management AUDITED PERCENT TRACKING ERROR. Team is in red, reference portfolio semitransparent Jérôme Kerviel is a French trader who was convicted in the 2008 Société Générale trading loss for breach of trust, forgery and unauthorized use of the bank's computers, resulting in losses valued at €4.9 billion. (wiki) Idea: explore new strategies
Cumulative Tracking Error 2007
Cumulative Tracking Error 2016 Orange: MSA Red: MSComm Yellow: UG
T 14/07 Idea: multiple delta targets
% Errors per Transaction (2016) Zero bug teams
T2 and T8 Fall 09 – The Race
Optional projects bang for the buck auto/synch training july options delta for dividend-paying securities "extra profits" button error viewer