EE310 Integrated Circuits Seminar, 10/7/03
guerra at par.stanford.edu
Wed Oct 1 13:40:37 PDT 2003
EE310 Integrated Circuits Technology and Design Seminar
"Resistor-Capacitor Circuits for Fun and Profit"
Tuesday, October 7, 2003
Building 380, Room 380X
The goals of this work are: (1) to have fun, and (2) to possibly
make some money. We'll discuss some very simple electronic
filter circuits, realized with resistors, capacitors, and
opamps. These filters are fed an input "signal" which is the
price data stream of a traded security such as a stock, bond,
stock option, commodity, etc. The outputs from these filters
are unambiguous binary digital signals "BUY" and "SELL".
Perhaps surprisingly, these circuits made from 99 cents' worth
of Radio Shack parts perform agreeably well when tested on 20
years of actual market data. In simulated trading the profits
exceed 40% / year, compounded, even after including the effects
of commissions and adverse trade executions ("slippage").
These concepts have also been implemented and tested in real-
world trading, executing real trades on real exchanges using
real money, for the past seven years (12/31/96 to 9/25/2003).
Performance results collected in the seven year real-money
test will be presented.
Biography of speaker:
Mark Johnson received a BSEE from Rice University in 1979,
and an S.M. from MIT in 1982. His career as a circuit
designer has alternated between memory chips and micro-
processors. He began at Mostek where he designed 16 Kbit
SRAMs, 64K and 1Megabit DRAMs. Then he moved to MIPS Computer
Systems, where he helped design 3 generations of CMOS CPUs
and an ECL CPU. Returning to DRAMs, he joined Rambus where he
helped develop the 4MBit and 16Mbit generations of R-DRAM
circuits. Then he joined Transmeta, where he designed RAMDAC,
PLL, and low voltage I/O circuits aboard the Crusoe CPU.
In 1988 he co-founded Matrix Semiconductor, where he holds
the position of Chief Circuit Technologist. Mr. Johnson is a
member of Sigma Xi, has received the ISSCC Best Paper Award
twice, and has been awarded 28 U.S. Patents.
More information about the labmembers