I recently came across your webinar on Algorithmic Trading in 2009 and it is a great one. However for the " simple market making system based on a paper by Sanmay Das" part, I am wondering which paper you are refering to and it seems that this system is not about market making but a directional bet system. Finally, would you please provide more resource on the code "callnnpiter" such as relevant papers? I really appreciate it and thank you in advance!
I tried the 'callnnpiter' with parfor ...loop and for ... loop, and got quite different results. I then checked the nnpiter.m. and found it rely on the order of the loop (So parfor cannot be used). Is this a bug?
i'm playin around with the nnpiter function .. can anybody explain why the results vary from run to run (number of trades) and why i get completly different results if i change the parfor loop into a for loop?