Algorithmic Trading and Market Microstructure
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Algorithmic Trading and Market Microstructure
Man vs. Robot on the bleeding edge of computational finance
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Nanex ~ 22-AUG-2013 ~ AAPL

RT @BadAlgo: A look at $AAPL when NASDAQ went dark - http://t.co/TzMoC2Xbuu
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FMS Symphony - Bicoastal Datafest

FMS Symphony - Bicoastal Datafest | Algorithmic Trading and Market Microstructure | Scoop.it

Via M. Edward (Ed) Borasky
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US market portrait 2013 week 33

US market portrait 2013 week 33 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code...
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Technoverse Blog | Paul Revere’s Random Ride: Metadata And Social Attribute Networks

Technoverse Blog | Paul Revere’s Random Ride: Metadata And Social Attribute Networks | Algorithmic Trading and Market Microstructure | Scoop.it
Random walk with me through Paul Revere's metadata. Link prediction algos tell who's friends w. Paul. The answer is? http://t.co/HlALGyEefC
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Finance and open source

Finance and open source | Algorithmic Trading and Market Microstructure | Scoop.it
I want to bring up two quick topics this morning I’ve been mulling over lately which are both related to this recent post by Economist Rajiv Sethi from Barnard (h/t Suresh Naidu), who happened to be my assigned faculty mentor when I was an...
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Nanex ~ 07-Aug-2013 ~ Nanex Depth of Book Charts

Nanex ~ 07-Aug-2013 ~ Nanex Depth of Book Charts | Algorithmic Trading and Market Microstructure | Scoop.it
RT @nanexllc: How to read Nanex Depth of Book Charts http://t.co/rlWPWgPbn6 $ES_F $CL_F $GC_F
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Replacing market indices | Portfolio Probe | Generate random portfolios. Fund management software by Burns Statistics

Replacing market indices | Portfolio Probe | Generate random portfolios. Fund management software by Burns Statistics | Algorithmic Trading and Market Microstructure | Scoop.it
If equity markets suddenly sprang into existence now, would we create market indices? I'm doubtful. Why an index? The Dow Jones Industrial Average was born in
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The robots are even more baffled by Bernanke than the humans

The robots are even more baffled by Bernanke than the humans | Algorithmic Trading and Market Microstructure | Scoop.it
The Federal Reserve has spooked markets with its gnomic pronouncements, but human traders should take heart: Currency funds that rely on computer trading have fared much worse in 2013, as markets respond more to psychology and political...
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High Frequency Trading in the Equity Markets During US Treasury POMO by Cheng Gao, Bruce Mizrach :: SSRN

High Frequency Trading in the Equity Markets During US Treasury POMO by Cheng Gao, Bruce Mizrach :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it
We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve.
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Newedge Fined for Lax Oversight of Manipulative Trades

Newedge Fined for Lax Oversight of Manipulative Trades | Algorithmic Trading and Market Microstructure | Scoop.it
WASHINGTON—Wall Street's stock-market cops slapped a New York brokerage firm with a record fine for failing to stop computer-driven trading clients who sought to manipulate U.S. markets for nearly four ...
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Quant-Day: Technical(and not technical) strategy testing

Quant-Day: Technical(and not technical) strategy testing | Algorithmic Trading and Market Microstructure | Scoop.it
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Trading Community Looks To Big Data To Uncover Patterns of Abuse

Heralding the next big thing in financial market enforcement, regulators, exchanges and trading firms are turning their attention from specific alerts of insider trading to identifying larger patterns of abuse.

Via Hayden Richards
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Breaking: Nasdaq Halts Trading

Breaking: Nasdaq Halts Trading | Algorithmic Trading and Market Microstructure | Scoop.it
As of 12:20pm on Thursday, August 22nd, Nasdaq OMX has halted trading of its Tape C Securities. Updates coming.
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Forecast Disagreement Among FOMC Members - Working Papers - St. Louis Fed

Federal Reserve Bank of St. Louis Working Papers are preliminary materials circulated to stimulate discussion and critical comment.

Via Christopher Gandrud
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Stocks and Bonds Behavior by Decade

Stocks and Bonds Behavior by Decade | Algorithmic Trading and Market Microstructure | Scoop.it
I struggled with whether or not I should even post this.  It is raw and ugly, but it might help somebody out there.   I might use this as a basis for some more gridSVG posts, but I do not think I have the motivation to finish the analysis.
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Noahpinion: A healthy side effect of High Frequency Trading?

Noahpinion: A healthy side effect of High Frequency Trading? | Algorithmic Trading and Market Microstructure | Scoop.it
High Frequency Trading is nearly universally reviled. The Tournament Externality is just too obvious; it yields no social value to bring a piece of information to the market 1 millisecond before it would otherwise have arrived, ...
M. Edward (Ed) Borasky's insight:

I'm skeptical, as usual. ;-) Read the comments - quite a bit of discussion of the theory can be found therein.

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US market portrait 2013 week 32

US market portrait 2013 week 32 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code...
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Nanex ~ 05-Aug-2013 ~ SPY Lowest Volume Since 2007

Nanex ~ 05-Aug-2013 ~ SPY Lowest Volume Since 2007 | Algorithmic Trading and Market Microstructure | Scoop.it
M. Edward (Ed) Borasky's insight:

Look at the last chart - quotes per 100 shares. Note a moderate noisy growth up till the middle of 2Q 2010. Then there's a *huge* jump! Do you remember what "else" happened in 2Q 2010? That's right, the 'flash crash' was in May 2010. *After* the Flash Crash, quotes got a *lot* more active. ;-)

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US market portrait 2013 week 31

US market portrait 2013 week 31 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code...
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CFTC charges Panther Energy Trading in first spoofing case - Futures

CFTC charges Panther Energy Trading in first spoofing case - Futures | Algorithmic Trading and Market Microstructure | Scoop.it
David Meister, the CFTC's Enforcement Director, said, “While forms of algorithmic trading are of course lawful, using a computer program that is written to spoof the market is illegal and will not be tolerated.
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Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series

Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series | Algorithmic Trading and Market Microstructure | Scoop.it

In financial markets, participants locally optimize their profit which can result in a globally unstable state leading to a catastrophic change. The largest crash in the past decades is the bankruptcy of Lehman Brothers which was followed by a trust-based crisis between banks due to high-risk trading in complex products. We introduce information dissipation length (IDL) as a leading indicator of global instability of dynamical systems based on the transmission of Shannon information, and apply it to the time series of USD and EUR interest rate swaps (IRS). We find in both markets that the IDL steadily increases toward the bankruptcy, then peaks at the time of bankruptcy, and decreases afterwards. Previously introduced indicators such as ‘critical slowing down’ do not provide a clear leading indicator. Our results suggest that the IDL may be used as an early-warning signal for critical transitions even in the absence of a predictive model.

Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series
Rick Quax, Drona Kandhai & Peter M. A. Sloot
Scientific Reports 3, Article number: 1898
http://dx.doi.org/10.1038/srep01898

 


Via Complexity Digest, Eric L Berlow, ukituki
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Michael Power's comment, June 7, 2013 3:45 PM
Investment bankers will build this into their models and it will become a late-warning sign.
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PIN: Measuring Asymmetric Information in Financial Markets with R

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Scenario analysis and trading options using R

Scenario analysis and trading options using R | Algorithmic Trading and Market Microstructure | Scoop.it
I present you with my restructured project on options trading and scenario analysis. You are more than welcome to try it out. Firstly, I will give a small presentation that will reveal what you can do with it and whether you need to continue reading.
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Optimal limit order execution in a simple model for market microstructure dynamics

Optimal limit order execution in a simple model for market microstructure dynamics | Algorithmic Trading and Market Microstructure | Scoop.it
Market participants who have the task of acquiring a certain position in a listed security at a predetermined price on behalf of a third party with no time urgency,...
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