Matlab development

Cancelled Posted May 22, 2008 Paid on delivery
Cancelled Paid on delivery

Matlab developer needed to develop financial model uncover patterns in client trades and optimize hedging strategies. Must be experienced with current methods of financial markets analysis (e.g. fractals, wavelets, neural nets etc) in order to be able to apply appropriate tools to data. Limited transaction and tick data will be provided to ensure confidentiality. Must be able to develop user friend model that can be run and assumed by client.

Please give examples of development projects previously completed

## Deliverables

Flow analysis/ Autohedging and trading model additional requirements

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* Decompose spot cross trades into their underlying ccy vs USD components

* Synchronize date/timestamps on trades with FX tick data

* Determine if netting opportunities exist:

* Single time period (e.g. every X seconds or Y minutes)

* Multiple time periods (e.g. every Y minutes between 9 a.m. and 11 a.m. and every Z minutes for the rest)

* Opportunity defined as profit retention before offsetting risk position into spot market

* Incorporate price smoothing into tick data to reduce false triggers (e.g. if price must be held for X ticks or seconds)

* Incorporate variables to allow for min/max trade sizes to be included in analysis

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* Simulate auto-hedging spot risk into market based on above variables using tick data over

* Calculate netting profit/loss over period by currency

* Calculate min/max profit over period by currency

* Chart distribution of daily P&L by currency

* Calculate number of hedging trades over period

* Calculate min/max number of hedging trades /day

* Calculate min/max/mean size of hedging trade per currency

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* Simulate transference of auto-hedging risk into a new model trading book and determine if profit can be extracted by managing model book using a combination of:

* Patterns of client flow, client type & signals

* Patterns of market price movement & signals

* Combination of above

* Trailing stop losses and take profits on positions

* Position limits and daily/monthly loss limit variables

* Incorporate price smoothing into tick data to reduce false triggers (e.g. if price must be held for X ticks or seconds)

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* Evaluate model performance

* Calculate netting profit/loss over period by currency

* Calculate min/max profit over period by currency

* Chart distribution of daily P&L by currency

* Calculate Sharpe ratio

* Calculate number of trades/day

* Calculate min/max/mean number of trades/day

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* Allow for both in and out of sample testing

* Allow for modeling price slippage of trades into market

* Transactions and market data will be loaded either via csv or could also be accessed from mysql database

Engineering MySQL PHP Project Management Software Architecture Software Testing

Project ID: #3942790

About the project

2 proposals Remote project Active Jun 13, 2008

2 freelancers are bidding on average $829 for this job

monarcvw

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$1020 USD in 14 days
(5 Reviews)
4.0
facility

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$637.5 USD in 14 days
(2 Reviews)
3.3