My Keybase

Or, on Freenode as cerealguy

PGP Fingerprint: 1E1F DCD0 8D78 545E D9F3 7418 5F03 2613 A497 7931

Why impetus novem? Impetus (Impulse) | Novem (Nine)


Many of my interests and side projects are related to high frequency and algorithmic securities trading. Crypto trading is attractive because most exchanges have programmatic API's that allow you to write code to trade, and the data is free. With stock and securities trading, attempting this feat is both cost-prohibitive and practically impossible. So I typically focus on crypto trading in an effort to understand a piece of what real HFT is all about. What follows are informative links related to HFT and algo trading in general. Check back regularly for updates.

Significant links:

  • Harris, L. (2002). Trading and Exchanges: Market Microstructure for Practitioners (1st ed.). Oxford University Press. This is the de facto standard on market internals. Available from Amazon.
  • Algorithmic Finance, all articles online are free.

Technical Analysis

# Citation
1 Smith, D. M., Wang, N., Wang, Y., & Zychowicz, E. J. (2016). Sentiment and the Effectiveness of Technical Analysis: Evidence from the Hedge Fund Industry. Journal Of Financial & Quantitative Analysis, 51(6), 1991-2013.

Trend / Momentum Indicators

# Citation
1 Gold, S. (2015). The Viability of Six Popular Technical Analysis Trading Rules in Determining Effective Buy and Sell Signals: MACD, AROON, RSI, SO, OBV, and ADL. Journal Of Applied Financial Research, 28-29.
2 da Costa, T. C., Nazario, R. T., Bergo, G. Z., Sobreiro, V. A., & Kimura, H. (2015). Full length article: Trading System based on the use of technical analysis: A computational experiment. Journal Of Behavioral And Experimental Finance, 642-55.
3 Chong, T., Ng, W.-K., & Liew, V. (2014). Revisiting the Performance of MACD and RSI Oscillators. Journal of Risk and Financial Management, 7(1), 1-12.
4 Cohen, G., & Cabiri, E. (2015). Can technical oscillators outperform the buy and hold strategy?. Applied Economics, 47(30), 3189-3197.

Portfolio Rebalancing

# Citation
1 Dayanandan, A., & Lam, M. (2015). Portfolio Rebalancing - Hype or Hope?. Journal Of Business Inquiry: Research, Education & Application, 14(2), 79-92.

Mass Times is a skill for Amazon Echo that tells you what time Sunday Mass is in any place in the U.S.

While using the popular website, I noticed it was getting its data from another website's API. After some investigation, I realized that this API only accepted a lattitude, longitude argument. The challenge, then, was to convert a location to its LAT,LON coordinates and query the API with that information, parse the data, and return it to the user in a relatively short period of time. I used Google Maps' Geocoding API to figure out the coordinates of the specified location, calling it from the same AWS Lambda function that's invoked by Alexa. This allows me to speedily return data to the user. The skill was published in May 2017. It has been used by a massive 45 unique people since it was published.

Some sample phrases you can ask the skill:

  • "What time is Mass in Miami?"
  • "When is Mass in Atlanta?"

Below is a diagram of how data flows through the system: