Quantitative Modeling Development

Sample Data Sources

• Interest Rates

• Foreign Exchange

• Energy & Commodities

• Emerging Markets

• Equities

• Credit

• Bonds & Repos

• Options, Swaps, Forwards

• Prices & Trends

• Volatility, Variance

• Objectives (Bliss)

• Heuristics & Biases

• Databases

• LIM

• ICAP

• GFI Group

• FactSet

• Olsen

• Markit

• Thomson, QAI

• Reuters

• Bloomberg

• S&P, Compustat, I/B/E/S

• FRED, FLASH
  CSI

• TickData

• Design With Simplicity In Mind

• Focus On Probability Not Prediction

• Robust Performance Measures

• Rolling Optimization Windows

• Optimization Without Over-Fitting

• Dynamic Position Sizing

• Portfolio-Level Risk Management

• Diversification Development

• (Multi) Factor Identification

• Entry-Edge, Exit-Edge, Risk-Edge

• Monte Carlo Simulation

• Numerical Methods & Algorithms

• R

• S-Plus

• Mathematica

• MATLAB

• C++, VBA/.Net

• C#, JAVA

• SQL

• Python

• PERL

• API

• GUI

• FIX

• UNIX

• WINDOWS