It is not a secret that I use Matlab almost daily, and it is my main tool for preparing analytics you see on my blog. Which is why I'm so stoked to learn about a virtual conference on Matlab applications to finance to take place on June 9th. Some of the highlights among presentations:Building Models for High-Frequency Algorithmic Trading Strategies Using MATLAB
This presentation provides an overview of how MATLAB is used at Deutsche Bank for research, development, calibration, and monitoring of quantitative models that inform high-frequency trading strategies used in the latest suite of Autobahn Equity algorithms. [I don't know much about DB's algos, as I use Knight for executions at work, but some of the DB's research on algos that I came across was super]
MATLAB: A Corporate Development Tool at Banc Sabadell
In this presentation, we show how Banc Sabadell uses MathWorks products in the day‐to‐day operations of the trading desk. We focus on Banc Sabadell's deployment environment and how MATLAB CompilerTM enables us to reach, and cater to the specific needs of, more than a thousand users. In particular, we examine the notion of "parallel deployment" with MATLAB, and how we have sped up some of our performance-critical functions by running them in parallel. [Matlab compiler was greatly improved in the v 2011a, and I would like to find out more about how other trading desk use matlab tools]
Finally, there is a presentation from Attilo Meucci that does not seem to do anything with Matlab, but rather about different steps from model estimation to execution, to post-trade analysis. His paper on this topic is available from SSRN.
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