1. Performance improvements
Optional projects

2. Critical Thinking
Tournament is in twelve days
No homework

3. 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.

4. Your Opinion Matters
Concerns about the HT

5. Tweaking
Hypothesize which parameters are important for improving performance
Tweak parameters
Watch performance (simulation or HT run)

6. 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)

7. T19 – Emperor – Spring 2015
COMM4230 WINNER
OVERALL HT WINNERS

9. Optional projects auto dividend cashing scheduled transactions
differential thresholds for hedging
gamma hedger
differential family deltas
intentional crashes
edit portfolio on the fly

10. What Is New In Technology?
WINIT
What Is New In Technology?

11. Team 10/07
Idea: Design for two screens
Idea: No comboboxes

12. Transactions Per Team 2007
11,577 Trades

13. Transactions per Team 2017 Max. avg. trades per day = 7.74
Min. avg. trades per day = 1.33

14. Team 4/07
Idea: Make it Chatty

15. 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

16. Cumulative Tracking Error 2007

17. Cumulative Tracking Error 2016
Orange: MSA
Red: MSComm
Yellow: UG

18. T 14/07
Idea: multiple delta targets

19. % Errors per Transaction (2016)
Zero bug teams

20. T2 and T8 Fall 09 – The Race

21. Optional projects bang for the buck auto/synch training july options
delta for dividend-paying securities
"extra profits" button
error viewer