MUNDELEIN, Ill. (HedgeWorld.com)–While some people are focused on predicting stock prices over weeks, months or years, Izzy Nelken’s latest trading software targets the next 15 seconds.
Called Snappy, the idea behind the software is to give active traders, such as statistical arbitragers, additional information before placing a trade, said Mr. Nelken, who is president of Super Computing Consulting Inc. He doesn’t recommend its use as the basis of a trading or investment strategy.
Any time a trader wants to buy or sell, it can consult the software for a signal on whether to trade or wait 15 to 30 seconds for an advantageous price change, he said. (Potential buyers will be told buy or don’t buy, while sellers will be told to sell or don’t sell). The model uses price, trade and volume data to arrive at its forecasts.
So far, the model has generated a correct trade signal 50% to 60% of the time, an incorrect trade signal about 20% of the time, and no signal the rest of the time, Mr. Nelken said. Super Computer Consulting tested the software live with an options market maker on the Chicago Board Options Exchange, he said.
The software itself costs US$4,000 to US$25,000 per month, depending on the needs of the user, he said. Mr. Nelken’s firm has previously sold derivatives and trading software for convertible bonds, exotic options and weather-related derivatives.