Noon@costa. Is algorithmic trading, by definition bounded to high-frequency domain ? Treasury bills as riskless securities forming baseline for riskless rate of interest. How about if we remove this assumption and account for risk of default, which, to make things worse, cannot be estimated from historical data. Fluctuating finance. "Give me the rock to stand on". What is the rock? Portfolio analysis is based on sampling the distribution of underlying assets, but though we're estimating the distribution, there are always unknowns. Well diversified portfolio should be able to handle even the unknowns, but the system risk is what spoils the party. A lot of effort is spent in eliminating this risk, but still no cigar. What if we simpy need to acknowledge system risk as fact of life rather than hoping we'll mitigate it ? Can modern finance still work ?
One of alternative approaches would simply be the "best effort" finance, where we simply discount systematic risk. For example, the notion of "covariance" is dramatically skewed by systematic risk. Discount it.
Data generalization issues. Is simple json descriptive enough ? Troubles with maintaining piles of xml configs. Meeting expectations while creating buffer - an eternal challenge. Wrap soap objects in jms serialization - automatic for the people ? Migrating old production code to new release is such a drag.
Save the Platanus in King Alexander Boulevard. Endless dreamy days in front of the University Library.
