Assessing the impact of algorithmic trading on markets: a simulation approach

Innovative automated execution strategies like Algorithmic Trading gain significant market share on electronic market venues worldwide, although their impact on market outcome has not been investigated in depth yet. In order to assess the impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is presented that provides stylized implementations of algorithmic trading behavior and allows for modeling latency. As simulations allow for reproducing exactly the same basic situation, an assessment of the impact of algorithmic trading models can be conducted by comparing different simulation runs including and excluding a trader constituting an algorithmic trading model in its trading behavior. By this means the impact of Algorithmic Trading on different characteristics of market outcome can be assessed. The results indicate that large volumes to execute by the algorithmic trader have an increasing impact on market prices. On the other hand, lower latency appears to lower market volatility

Curriculum Guidelines for Undergraduate Programs in Data Science

The Park City Math Institute (PCMI) 2016 Summer Undergraduate Faculty Program met for the purpose of composing guidelines for undergraduate programs in Data Science. The group consisted of 25 undergraduate faculty from a variety of institutions in the U.S., primarily from the disciplines of mathematics, statistics and computer science. These guidelines are meant to provide some structure for institutions planning for or revising a major in Data Science

Demon-like Algorithmic Quantum Cooling and its Realization with Quantum Optics

The simulation of low-temperature properties of many-body systems remains one of the major challenges in theoretical and experimental quantum information science. We present, and demonstrate experimentally, a universal cooling method which is applicable to any physical system that can be simulated by a quantum computer. This method allows us to distill and eliminate hot components of quantum states, i.e., a quantum Maxwell's demon. The experimental implementation is realized with a quantum-optical network, and the results are in full agreement with theoretical predictions (with fidelity higher than 0.978). These results open a new path for simulating low-temperature properties of physical and chemical systems that are intractable with classical methods.Comment: 7 pages, 5 figures, plus supplementarity material

A comprehensive evaluation of alignment algorithms in the context of RNA-seq.

Transcriptome sequencing (RNA-Seq) overcomes limitations of previously used RNA quantification methods and provides one experimental framework for both high-throughput characterization and quantification of transcripts at the nucleotide level. The first step and a major challenge in the analysis of such experiments is the mapping of sequencing reads to a transcriptomic origin including the identification of splicing events. In recent years, a large number of such mapping algorithms have been developed, all of which have in common that they require algorithms for aligning a vast number of reads to genomic or transcriptomic sequences. Although the FM-index based aligner Bowtie has become a de facto standard within mapping pipelines, a much larger number of possible alignment algorithms have been developed also including other variants of FM-index based aligners. Accordingly, developers and users of RNA-seq mapping pipelines have the choice among a large number of available alignment algorithms. To provide guidance in the choice of alignment algorithms for these purposes, we evaluated the performance of 14 widely used alignment programs from three different algorithmic classes: algorithms using either hashing of the reference transcriptome, hashing of reads, or a compressed FM-index representation of the genome. Here, special emphasis was placed on both precision and recall and the performance for different read lengths and numbers of mismatches and indels in a read. Our results clearly showed the significant reduction in memory footprint and runtime provided by FM-index based aligners at a precision and recall comparable to the best hash table based aligners. Furthermore, the recently developed Bowtie 2 alignment algorithm shows a remarkable tolerance to both sequencing errors and indels, thus, essentially making hash-based aligners obsolete

Deep Learning can Replicate Adaptive Traders in a Limit-Order-Book Financial Market

We report successful results from using deep learning neural networks (DLNNs) to learn, purely by observation, the behavior of profitable traders in an electronic market closely modelled on the limit-order-book (LOB) market mechanisms that are commonly found in the real-world global financial markets for equities (stocks & shares), currencies, bonds, commodities, and derivatives. Successful real human traders, and advanced automated algorithmic trading systems, learn from experience and adapt over time as market conditions change; our DLNN learns to copy this adaptive trading behavior. A novel aspect of our work is that we do not involve the conventional approach of attempting to predict time-series of prices of tradeable securities. Instead, we collect large volumes of training data by observing only the quotes issued by a successful sales-trader in the market, details of the orders that trader is executing, and the data available on the LOB (as would usually be provided by a centralized exchange) over the period that the trader is active. In this paper we demonstrate that suitably configured DLNNs can learn to replicate the trading behavior of a successful adaptive automated trader, an algorithmic system previously demonstrated to outperform human traders. We also demonstrate that DLNNs can learn to perform better (i.e., more profitably) than the trader that provided the training data. We believe that this is the first ever demonstration that DLNNs can successfully replicate a human-like, or super-human, adaptive trader operating in a realistic emulation of a real-world financial market. Our results can be considered as proof-of-concept that a DLNN could, in principle, observe the actions of a human trader in a real financial market and over time learn to trade equally as well as that human trader, and possibly better.Comment: 8 pages, 4 figures. To be presented at IEEE Symposium on Computational Intelligence in Financial Engineering (CIFEr), Bengaluru; Nov 18-21, 201