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Algorithmic Trading and Market Microstructure
Man vs. Robot on the bleeding edge of computational finance
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More evidence that Thomson Reuters data may be leaking out earlier than it's ... - Quartz

More evidence that Thomson Reuters data may be leaking out earlier than it's ... - Quartz | Algorithmic Trading and Market Microstructure | Scoop.it
More evidence that Thomson Reuters data may be leaking out earlier than it's ...
Quartz
The data leak led to $28 million in trades, according to trading consultancy Nanex, LLC, partly because the data came in particularly weak.
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Tom @ HStarr's curator insight, June 11, 2013 3:53 AM

Given the world of HFT Trading that we now live in, a full two seconds difference is huge for data to be released and is something that could Thomson Reuters in some trouble. It'll be interesting to see how it will play out. 

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Unraveling Monday's Early Data Release To Traders - CNBC.com

Unraveling Monday's Early Data Release To Traders - CNBC.com | Algorithmic Trading and Market Microstructure | Scoop.it
Unraveling Monday's Early Data Release To Traders CNBC.com But analysts at Nanex LLC, a Chicago-area analysis firm spotted a sharp downward market reaction just before 10 a.m., setting up a mystery: How did some traders appear to know the data...
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Reuters Admits It Accidentally Leaked Key Market Data To High Frequency ... - Business Insider Australia

Reuters Admits It Accidentally Leaked Key Market Data To High Frequency ... - Business Insider Australia | Algorithmic Trading and Market Microstructure | Scoop.it
Reuters Admits It Accidentally Leaked Key Market Data To High Frequency ...
M. Edward (Ed) Borasky's insight:

"Accidentally"?? Bullshit!

 

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Video Shows How Insane Trading Goes Right Before Important Data Drops - Business Insider

Video Shows How Insane Trading Goes Right Before Important Data Drops - Business Insider | Algorithmic Trading and Market Microstructure | Scoop.it
Video Shows How Insane Trading Goes Right Before Important Data Drops Business Insider Eric Hunsader the CEO of market research firm Nanex, told Business Insider that the strange activity was most likely a case of 'banging the beehive.' That's the...
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Tom @ HStarr's curator insight, May 31, 2013 3:25 AM

This is very similar to a video from around a month ago but again it provides a fascinating insight into how HFT traders can affect the market. Well worth a watch for anyone interested in the markets. 

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There’s no such thing as an objective filter: Why designing algorithms that tell us the news is hard

There’s no such thing as an objective filter: Why designing algorithms that tell us the news is hard | Algorithmic Trading and Market Microstructure | Scoop.it
Technologists and humanists take different approaches — and speak different languages.
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Nanex ~ 10-May-2013 ~ Tighter Spreads? Not at Market Open

Nanex ~ 10-May-2013 ~ Tighter Spreads? Not at Market Open | Algorithmic Trading and Market Microstructure | Scoop.it
RT @nanexllc: If #HFT lowers spreads, why is $MSFT spread at the open 2 - 3 x wider than before? http://t.co/q7NdEtz8rd
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Semi Markov Model for Market Microstructure by Pietro Fodra, Huyên Pham :: SSRN

Semi Markov Model for Market Microstructure by Pietro Fodra, Huyên Pham :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes.
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My Research Blog: Granger Causality Test for Frequent Itemsets of Keywords in Financial Tweets

My Research Blog: Granger Causality Test for Frequent Itemsets of Keywords in Financial Tweets | Algorithmic Trading and Market Microstructure | Scoop.it
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The half variance approximation for mean returns | Portfolio Probe | Generate random portfolios. Fund management software by Burns Statistics

The half variance approximation for mean returns | Portfolio Probe | Generate random portfolios. Fund management software by Burns Statistics | Algorithmic Trading and Market Microstructure | Scoop.it
What's that thing about arithmetic and geometric returns and the variance?
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Munger Speaks His Mind: The Full Interview

Munger Speaks His Mind: The Full Interview | Algorithmic Trading and Market Microstructure | Scoop.it
Warren Buffett's long-time business partner blasts bankers and HFT.
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Ellie Kesselman Wells's comment, May 11, 2013 9:38 PM
Charlie Munger pater seems sincere (but what do I know from watching three videos of him, not much). Charlie Munger, Jr., PhD Physics is spending millions with Bill Gates, on privatization of California's public school system, which I find distasteful. I wish today's "soi-disant" philanthropists were more like Andrew Carnegie and his libraries. Carnegie would donate money but not insist on running the library too. Why are hedge fund managers, Bill Gates and Charlie Munger's son so fascinated with K12 and K6 education? They have math/compsci PhD's, no education. Peter Thiel is the only decent sort in that crowd. He's the only one who tried teaching a real, live, semester long class. I read somewhere how the hero-worship crowd was so puzzled that he wasn't a dynamic speaker, and his classes weren't like a TED performance! As soon as I heard that, I realized that Peter Thiel might be okay, and have only found more evidence to support that subsequently. He actually has humility! He doesn't belong to any of the "social justice-cum PAC's" like MZuck's new Keystone Oil XL advocacy thing. He donates money, funds projects without hiding behind a screen of worst-practices corporate shells. I do hope you read these comments. Or that they don't bother you. Twitter is not sufficient for my expressive needs ;o)
M. Edward (Ed) Borasky's comment, May 12, 2013 12:17 AM
I wouldn't call Peter Thiel anything but what he is - a Libertarian with only profit as his driver.
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Semi Markov model for market microstructure. (arXiv:1305.0105v1 [q-fin.TR]) - Quantitative Finance at arXiv's blog - MoneyScience

We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a poi (Research: Semi Markov model for market microstructure.
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The Diversity of High-Frequency Traders by Björn Hagströmer, Lars Nordén :: SSRN

The Diversity of High-Frequency Traders by Björn Hagströmer, Lars Nordén :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it
The regulatory debate concerning high-frequency trading (HFT) emphasizes the importance of distinguishing different HFT strategies and their influence on market (RT @carlcarrie: Paper on Distinguishing several different firms of high frequency trading...
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Financial black swans driven by ultrafast machine ecology - MoneyScience's blog - HFT Review

Financial black swans driven by ultrafast machine ecology - MoneyScience's blog - HFT Review | Algorithmic Trading and Market Microstructure | Scoop.it
Neil Johnson, Guannan Zhao, Eric Hunsader, Jing Meng, Amith Ravindar, Spencer Carran, Brian Tivnan Abstract Society's drive toward ever faster socio-technical s (BTW, we understand very little about the stability of ultrafast markets driven mostly...
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Amazon Does 100,000 Quotes per Second

The stock of Amazon hit a rate exceeding 100,000 quotes/sec (107 in a millisecond).
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The 15-millisecond head start that led to $28 million in trades

The 15-millisecond head start that led to $28 million in trades | Algorithmic Trading and Market Microstructure | Scoop.it
Thomson Reuters is taking the heat for a glitch that on Monday (June 3) caused the US's ISM manufacturing data to go out to high-frequency traders 15 milliseconds before it was supposed to.
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Amazon.com: Trading Systems and Methods (Wiley Trading) eBook: Perry J. Kaufman: Kindle Store

Trading Systems and Methods (Wiley Trading) - Kindle edition by Perry J. Kaufman. Download it once and read it on your Kindle device, PC, phones or tablets.
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The Future of Financial Engineering by Charles Tapiero :: SSRN

The Future of Financial Engineering by Charles Tapiero :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it
Convergence of financial theory and practice heralded by the seminal and fundamental economic research by Arrow and Debreu in the early 1950’s has led in the ha

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Hayden Richards's curator insight, May 18, 2013 7:10 AM

By Charles S Tapiero.


Abstract:      
Convergence of financial theory and practice heralded by the seminal and fundamental economic research by Arrow and Debreu in the early 1950’s has led in the hands of financial engineers to an extraordinary financial innovation in the 70’s and ever since. The theoretical ability to price future assets has led to an explosive growth of financial trading, liquidity and to the growth of finance and its citadels. Options and credit derivative markets, securitization of non or partially liquid assets have provided extraordinary opportunities to “unearth” frozen assets for trade and profit. 

The 2007-2009 financial crisis has evoked a greater awareness that traditional financial dogma is based on assumptions that have become increasingly difficult to justify. Globalization, the growth of "Too Big To Fail" (TBTF) firms, insiders trading, information and power asymmetries and the growth of regulation have, among other factors, conspired to render the assumption of complete markets to be unsustainable. Deviant behaviors in financial markets, non-transparency of transactions, complexity and dependence on a global scale have created a fragile and contagious global economy, where systemic risks are no longer an exception but a permanent threat. 

By the same token, the explosive growth of information and data fueled by the internet and social media as well as an IT has created far greater dependence of financial systems and institutions on Information Technology (IT) emphasizing information as assets they seek to use for both financial management and competitive advantage. Technology, engineering and financial trends and developments have combined to yield an extraordinary growth of complexity, regulation and globalization, providing new opportunities and risks and undermine the traditional model based approaches to finance.

The purposes of this paper are to outline a number of factors, economic or otherwise that undermine the finance’s fundamental theories, their practice, regulation and their implications to the future of finance. In particular, we emphasize a strategic and multi-polar finance, beset by complexity, chaos and countervailing forces leading a multi-agent finance, computational and financial data-analytics driven rather than simple risk models of uncertainty.

A number of pricing models based on a strategic finance and a micro-matching of economic and financial states are also summarized and their practical implications drawn. In addition, topics such as Big Data finance and multi-agent financial modeling are outlined to provide elements for future theoretical and practical developments. This paper is a work in progress and therefore its intent is to attract greater attention to some elements (however selective and partial) that would contribute to potential transformations of a financial engineering future.


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The Algorithmic Trading Freak Show

The Algorithmic Trading Freak Show | Algorithmic Trading and Market Microstructure | Scoop.it
Their exhibition in Trafó Gallery shows through three installations the curiosities of algorithm based trading and they give an overview on the history of the automatisation of the stock exchange, from the now out of date technologies to mechanisms...
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Nanex's High Frequency Trading Model (Sped Up)

Nanex released a video showing the results of half a second of worldwide high frequency trading with Johnson and Johnson stock. I simply sped up the footage ...
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M. Edward (Ed) Borasky's comment, May 11, 2013 9:30 PM
I'll let @nanexllc speak to the business model ;-)
Ellie Kesselman Wells's comment, May 11, 2013 9:55 PM
znmeb! I have already asked him on "open Twitter"! He won't tell me! Do you know? Theories? Guesses?
M. Edward (Ed) Borasky's comment, May 12, 2013 12:19 AM
Well, the Nanex web site appear to be a 'data broker' - he collects and distributes highly detailed financial data for a fee. But I have no idea how his service compares with the others in that market.
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Nanex ~ Order Routing Animation ~ 07-May-2013 ~ CMCSA

1/3 second of trading activity in Comcast (symbol CMCSA) on May 7, 2013 The bottom box (SIP) shows the National Best Bid and Offer. Watch High Frequency Trad...
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Hedge fund Leverage Hits an All-Time High: BAML

Hedge fund Leverage Hits an All-Time High: BAML | Algorithmic Trading and Market Microstructure | Scoop.it
Hedge fund leverage has been on the rise over the past few months. We have already covered the topic several times in 2013.
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Ellie Kesselman Wells's comment, May 11, 2013 9:53 PM
If you haven't yet, you MUST peruse the SALT website. They just finished their yearly hedge fund bacchanal yesterday.
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Beware the Middleman: Empirical Analysis of Bitcoin-Exchange Risk

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You’ve never heard of one of the best-performing hedge funds in the world

You’ve never heard of one of the best-performing hedge funds in the world | Algorithmic Trading and Market Microstructure | Scoop.it
Norway is not what you would call a hotbed for hedge funds. Due to restrictive regulatory requirements and an almost uniformly long-only focused investor-community, there are only a handful of hedge funds managed out of Norway.
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Keynes the Stock Market Investor by David Chambers, Elroy Dimson :: SSRN

Keynes the Stock Market Investor by David Chambers, Elroy Dimson :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it
Keynes made a major contribution to the development of professional asset management. Combining archival research with modern investment analysis, we evaluate J
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