5 ms·

I think he means smart as in "how long your model prediction takes". If your neural net (haven't actually met anyone who uses these in trading) takes 5ms to mak

I think he means smart as in "how long your model prediction takes". If your neural net (haven't actually met anyone who uses these in trading) takes 5ms to make a prediction that'll lock you out of a whole lot of trading opportunities/strategies. Speed always matters, no matter where on the smartness spectrum you are, but it's relative. If your model prediction takes 5ms you're not getting much ROI out of investing $1M into shaving off 50ns in your data processing. But if your end-to-end latency without prediction is 1ms, you better invest in getting that down.

howlin 6y ago
> If your neural net (haven't actually met anyone who uses these in trading) takes 5ms to make a prediction that'll lock you out of a whole lot of trading opportunities/strategies. Let's say you have trading opportunities once every 100ms. They need to be acted upon within 2ms or they vanish. You don't have the time budget to run a NNet every time the state of the market changes. You can, however, train a NNet to output a very small decision tree that can run in under 1ms. The NNet can then decide which "micro-strategy" in the form of a much faster and more reactive decision tree is more appropriate for the current market context.