timbass
Wed, 13 Jun 2007 20:01:15 +0000
There are a number of people who believe that “rules” are the “brains” of CEP. I would argue that rules are only “one of the many brains of CEP”, and will address this topic in a later post.
Speaking of rules, look no further than Instinet and their algorithmic trading offerings. According to Cecilia Bergamaschi of DWT, Instinet uses JESS for most of their algorithmic offerings.
Instinet, a global agency broker and wholly-owned subsidiary of Nomura Holdings, Inc, has recently launched a new cyber-trading offering, Sidewinder. Sidewinder is a CEP application of a “dynamic participation” algorithm that automatically adjusts the volume participation rate as stock price moves relative to a benchmark, allowing traders to take advantage of dynamic “value” or “momentum” situations.
According to DWT, Sidewinder is the 12th algorithm in Instinet’s portfolio of global cyber-trading strategies (eight are listed here). These include Instinet’s scheduling algorithms Wizard, Wizard PRO, Global VWAP or Volume Participation; investment strategy-specific algorithms for pairs trading and risk arbitrage; and intelligent access algorithms, such as BlockPeg, Cobra and Nighthawk.



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