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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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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Goldman Sachs, Citigroup, Received Fed Minutes Early

Goldman Sachs, Citigroup, Received Fed Minutes Early | Algorithmic Trading and Market Microstructure | Scoop.it
Banks including Citigroup Inc. and Goldman Sachs Group Inc., along with congressional staff members and trade groups, received potentially market-moving Federal Reserve information 19 hours before the public in a release the central bank called...
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Dire consequences of company results on Twitter - BDlive

Dire consequences of company results on Twitter - BDlive | Algorithmic Trading and Market Microstructure | Scoop.it
Dire consequences of company results on Twitter BDlive That first message may trigger 1-million trades with 1-million counterparties, each with recommendations or warnings to their followers — before you know it you've got nanosecond algorithmic...
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The Most Detailed Forensic Analysis Of The Flash Crash To Date (And Likely Ever) | Zero Hedge

The Most Detailed Forensic Analysis Of The Flash Crash To Date (And Likely Ever) | Zero Hedge | Algorithmic Trading and Market Microstructure | Scoop.it
Our friends at Nanex have completed a full forensic analysis of the flash crash, on a tick for tick basis, between the fateful times of 14:42pm and 14:52pm on May 6.
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Ellie Kesselman Wells's comment, May 11, 2013 9:50 PM
0Hedge LOVES charts too ;o)
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The Lurkers of Wall Street

The Lurkers of Wall Street | Algorithmic Trading and Market Microstructure | Scoop.it
Wall Street has supposedly dropped trading activity that could be construed as "proprietary" as part of the new financial reforms that seek to limit gambling at
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Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets by Vladimir Filimonov , David Bicchetti, Nicolas Maystre, Didier Sornette :: SSRN

Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets by Vladimir Filimonov , David Bicchetti, Nicolas Maystre, Didier Sornette :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it

We propose a novel index of short-term endogeneity (or reflexivity) derived by calibrating the Hawkes self-excited conditional Poisson model on empirical time

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DevOps and High Frequency Trading

DevOps and High Frequency Trading | Algorithmic Trading and Market Microstructure | Scoop.it
Companies and even the entire stock market can suffer from "glitches". Some of these failures can be mitigated by using DevOps practices.
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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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Econometry of Financial Markets with R-project

RT @Piboonrungroj: Econometry of Financial Market with R-project
by Daniel Herlemont
http://t.co/ltO8a3II2E #rstats #econ #finance #Econometrics
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My Time at Lehman

I started at Lehman Brothers on June 1st, 2007 as a first year analyst. It was my first job out of college.
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Daily State Of The Markets: Man Vs. The Machines - The State Of HFT

Daily State Of The Markets: Man Vs. The Machines - The State Of HFT | Algorithmic Trading and Market Microstructure | Scoop.it
Good Morning.With the stock market currently doing a fine imitation of a Mexican jumping bean (the S&P's close has changed colors each and every day for the past fourteen straight days), it is safe to say that major indi...
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Blockbuster Lawsuit: Whistleblower Alleges Reuters Releases Data ...

Blockbuster Lawsuit: Whistleblower Alleges Reuters Releases Data ... | Algorithmic Trading and Market Microstructure | Scoop.it
Very interesting, but unsurprising, allegations have surfaced in a lawsuit brought forth by former Thomson-Reuters employee Mark Rosenblum that alleges the company released sensitive economic data early to HFT (high ...
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Ellie Kesselman Wells's comment, May 11, 2013 9:49 PM
I wonder what he would have to say now, about Bloomberg reporters spying on Goldman Sachs through the Bloomberg machine. There really should have been a firewall, preventing the election of a Mayor of NYC who is also the developer of the most widely used financial markets data information system AND one of the largest financial and business news media organizations. I wonder who runs Bloomberg (the terminal) and media conglomerate while Michael Bloomberg is being mayorial? I don't know why any of this failed to occur to me before now. I always saw Bloomberg as a trustworthy, math-quant who remained good. I loved using the Bloomberg. It is just so... useful! Versatile! I first used it in 1990, through 1999, and the last time was 2003 - 2003. It was the same intuitive, excellent resource in 2003 as in 1990. Hadn't been "improved", other than getting charts out of it, more tickers, stuff like that. Is Max Keiser actually _0ch Max, do you think?
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Supercomputers could generate early-warning system for stock market crashes - San Jose Mercury News

Supercomputers could generate early-warning system for stock market crashes - San Jose Mercury News | Algorithmic Trading and Market Microstructure | Scoop.it
Supercomputers could generate early-warning system for stock market crashes
San Jose Mercury News
"Electronic markets ...
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Are Academics for Hire Influencing the High Frequency Trading Debate?

Are Academics for Hire Influencing the High Frequency Trading Debate? | Algorithmic Trading and Market Microstructure | Scoop.it
Last week, Professor Charles M. Jones, a noted economist at Columbia, published an opinion piece in POLITICO claiming to enlighten readers on the realities of high-frequency trading (or “HFT&rdq (Are Academics for Hire Influencing the High...
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R/Finance 2013 -- Agenda

R/Finance 2013 -- Agenda | Algorithmic Trading and Market Microstructure | Scoop.it
R/Finance 2013: Applied Finance with R (RT @eddelbuettel: Agenda for R/Finance 2013 now posted: http://t.co/eK1macr7Ld #rstats #rfinance)
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