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A new perspective on risk? Read more about the entropy. Also, following recent research on the speed. Of financial markets, should the HKEx adopt periodic auctions? As an estimate for fair price, comparing it to the 5 minute moving VWAP. A look at market liquidity. And related topics using data from the HKEx. About me and gbkr.com. Be aware interactive content that relied on Java is unlikely to be working but the tutorials on building trading systems with kdb /q are still there.

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gbkr.com | gbkr.com Reviews
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A new perspective on risk? Read more about the entropy. Also, following recent research on the speed. Of financial markets, should the HKEx adopt periodic auctions? As an estimate for fair price, comparing it to the 5 minute moving VWAP. A look at market liquidity. And related topics using data from the HKEx. About me and gbkr.com. Be aware interactive content that relied on Java is unlikely to be working but the tutorials on building trading systems with kdb /q are still there.
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1 gbkrcom
2 calculate
3 of prices
4 other articles
5 using kalman filtering
6 some utilities
7 for execution support
8 wwwgbkr com
9 coupons
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gbkr.com | gbkr.com Reviews

https://gbkr.com

A new perspective on risk? Read more about the entropy. Also, following recent research on the speed. Of financial markets, should the HKEx adopt periodic auctions? As an estimate for fair price, comparing it to the 5 minute moving VWAP. A look at market liquidity. And related topics using data from the HKEx. About me and gbkr.com. Be aware interactive content that relied on Java is unlikely to be working but the tutorials on building trading systems with kdb /q are still there.

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gbkr.com gbkr.com
1

gbkr.com

http://www.gbkr.com/main/about/index.html

We often get labelled with acronyms to make life in HR interesting. UBS excelled in this by reducing everyone to a three letter code. Mine was BAR which, perhaps, now has too many memories of the champagne lifestyle in investment banking in the 1990s. At Capco my acronym was GBKR, so that became the domain name by default. I have been working with software since 1976 and working in electronic execution since 2002. You can find a short résumé here. And, yes, I still code. First published 2004.09.29.

2

www.gbkr.com

http://www.gbkr.com/index-old.html

Welcome to the professional website of Gordon Baker. Articles, research and software. Limit order book execution. Applications of kdb and the q language. In implementing an algo strategy with q. A postscript on minimum variance. Essential reading from Wilmott. A Java application library. For building trading systems. Since this was written for Java 1.4 it is now of more historical interest. To get the most from this site you will need the. Adobe Acrobat reader and the Java plug-in.

3

gbkr.com

http://www.gbkr.com/main/subjects/fair/index.html

Next: VWAP as a fair price. Execution algorithms know about order book and traded prices but it is also useful for them to know the 'fair' price of the listing being traded. This can prevent the algorithms from trading at atypical prices. Often the VWAP price over the last few minutes is used for this purpose. Is an algorithm for estimating the true signal from noisy input, and has many applications in guidance systems and robotics. It can also be used on financial time series, such as prices. The filter...

4

gbkr.com

http://www.gbkr.com/main/subjects/util/index.html

The pages above use information on market structure which has been coded into a JSON file, markets.json. This structural information can be read and used in a variety of languages. Var x = JSON.parse(jsonString);. The variable x will be an object with properties for each of the top level attributes in the JSON structure. With kdb version 3.2:. X: jk raze read0 jsonFilename;. The variable x will be a dictionary with keys for each of the top level attributes. First published 2014.11.21.

5

gbkr.com

http://www.gbkr.com/main/subjects/entropy/index.html

The variation in prices for an asset, the volatility or risk, is defined by the standard deviation of the prices, or more strictly the standard deviation of returns. Recently there has been some interest about an alternative measure of riskiness, entropy. H1: { neg sum x * log x } h2: { neg log sum x * x }. Where the x's are probabilities. Let's work through some examples to explain how the entropy calculation works. Imagine being given some playing cards. The table below shows some possible ...Adding mo...

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code.kx.com code.kx.com

Articles - Kx Wiki

http://code.kx.com/wiki/Articles

Q for Gods Whitepaper Series. Financial Math in Q. A conversation with Arthur Whitney (2009). An interview with Arthur Whitney (2004). Array languages for Lisp programmers. Slobodan Blazeski, Vector 24#2. Boyko Bantchev's K place. Enhancing Time Series Data by Applying Bitemporality. Fire from Heaven - review of Q for Mortals. Adrian Smith, Vector 23#4. K as a Prototyping Language. Book review: Q Tips: Fast, Scalable and Maintainable Kdb. Yang Guo, Vector 26#2. Tables with calculated columns. 7 Common De...

code.kx.com code.kx.com

Contrib - Kx Wiki

http://code.kx.com/wiki/Contrib

User contributed examples and utilities, in the contrib. Area of the code repository or external sites. Contributed kdb code can also be found on common sharing platforms like GitHub. Links to a collection of kdb related projects on GitHub. Haskell bindings for encoding data in Q IPC format. Pure Q code, and C bindings for finding Longest common subsequence/diff. Non linear least squares for q. A translation of qserver for python users. Stock charts for visualizing kdb data. An IDE for q. A set of utilit...

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A new perspective on risk? Read more about the entropy. Also, following recent research on the speed. Of financial markets, should the HKEx adopt periodic auctions? As an estimate for fair price, comparing it to the 5 minute moving VWAP. A look at market liquidity. And related topics using data from the HKEx. About me and gbkr.com. Be aware interactive content that relied on Java is unlikely to be working but the tutorials on building trading systems with kdb /q are still there.

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