I received my Ph.D. from Chicago, where my research was in theoretical astrophysics and cosmology. I was especially interested in the connection between fundamental particle physics and the universe as a whole. After a postdoc in the General Relativity group at Cambridge I left academia and arrived in quantitative trading through a circuitous path that involved, among other things, a role in management consulting (at McKinsey). I now trade a proprietary high-frequency equities portfolio at KCG.
This talk presents an broad overview of processes associated with building signals to use for equities trading, with a focus on high frequency market making. Topics include categories of signals, statistical fitting techniques, simulation, cluster computing, and market microstructure.