This is really a busy week...Exhausted after 5 days...Everything needs to be take care of including myself. But I am also excited. My office is located right next to the World Trade Center, and by the side of Hudson River. Nice ha? Now a new grand building is under construction at site. This week, I spent most time on getting familiar with the work they are doing and help them with data mining and statistical analysis of recent data. The major task is futures trading and hedging. As a trading company closely cooperated with the clearing house, the company has its own programming team. Since the things I learned about the finance market date back to my undergraduate study, so it took some time to remember those things and pick up the memories. This week, I helped the programming team to summarize the test results. By comparing the estimated value of the settlement price of futures and the final settlement price posted by the CME(Chicago Mercantile Exchange)in last 15 days, I can clearly see the improvements the programming team has made according to the difference between the estimated value and the real value. The error has been reduced to almost 0 in the last two days.
Next week, I will start my real project on market research. I need to check out other large exchanges around the world, from Europe to Singapore, and to see what the listed products are, and how large the open interests are.
Well, hope I can have a nice weekend with my old friends! Finally get two days' rest to take a look at the beautiful city-New York!
Very nice! I might have to head up to NYC while I am here on the east coast in Washington, DC. Do the programmers use a particular statistical package or do they create their own.
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