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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Asset Pricing Theory (Princeton Series in Finance): Costis Skiadas: Amazon.com: Kindle Store

Asset Pricing Theory (Princeton Series in Finance): Costis Skiadas: Amazon.com: Kindle Store
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Cluster Portfolio Allocation

Cluster Portfolio Allocation | Algorithmic Trading and Market Microstructure | Scoop.it
Today, I want to continue with clustering theme and show how the portfolio weights are determined in the Cluster Portfolio Allocation method. One example of the Cluster Portfolio Allocation method ...
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Random Walks, liquidity molasse and critical response in financial markets

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Realtime market microstructure analysis: online Transaction Cost Analysis

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Momentum in R: Part 4 with Quantstrat

Momentum in R: Part 4 with Quantstrat | Algorithmic Trading and Market Microstructure | Scoop.it
The past few posts on momentum with R focused on a relatively simple way to backtest momentum strategies. In part 4, I use the quantstrat framework to backtest a momentum strategy. Using quantstrat...
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Nanex CEO: 'HFT Makes A Mockery Of Markets' - Home - The Daily Bail

Nanex CEO: 'HFT Makes A Mockery Of Markets' - Home - The Daily Bail | Algorithmic Trading and Market Microstructure | Scoop.it
'It's all about one class of people who are not following the rules. It's that simple.'

-- E...
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[1302.4592] Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process

Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process: http://t.co/xSzbl5UI
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Requiem for Investing Twitter

I don’t have a lot of specific investing thoughts lately which is ironic because there’s been more activity than usual in my PA. Two full positions have been added – a brewer with big emerging mark...
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Market Microstructure: Confronting Many Viewpoints

Market Microstructure: Confronting Many Viewpoints (The Wiley Finance Series): Jean-Philippe Bouchaud, Fré Abergel, dé, ric, Thierry Foucault, Charles-Albert Lehalle, Mathieu Rosenbaum, Frédéric Abergel: Amazon.com: Kindle Store...

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Nanex ~ 12-Feb-2013 ~ Manipulation a Child Could Spot

RT @nanexllc: What manipulation looks like (this happens all the time - occasionally it becomes very visible) http://t.co/GAfxOeEC #SEC #Fail
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@WSJ/WSJ Money on Twitter

@WSJ/WSJ Money on Twitter | Algorithmic Trading and Market Microstructure | Scoop.it
Instantly connect to what's most important to you. Follow your friends, experts, favorite celebrities, and breaking news.
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Cluster Risk Parity back-test

Cluster Risk Parity back-test | Algorithmic Trading and Market Microstructure | Scoop.it
In the Cluster Portfolio Allocation post, I have outlined the 3 steps to construct Cluster Risk Parity portfolio. At each rebalancing period: Create Clusters Allocate funds within each Cluster usin...
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Open Source Finance 1. QuantLib - An Interview with Luigi Ballabio - MoneyScience's blog - MoneyScience

This is the first in a new series of interviews with leading developers involved in open source financial software. In the first interview I talk to Luigi Ba (Open Source Finance 1.
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Random walks, liquidity molasses and critical response in financial markets

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Twitter / znmeb : Play against me in "Beat the ...

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Nanex ~ Flash Crash Animation (by EricHunsader)

Nanex ~ Flash Crash Animation (by EricHunsader) | Algorithmic Trading and Market Microstructure | Scoop.it
Video: Nanex ~ Flash Crash Animation (by EricHunsader) http://t.co/Ro6dAyxoN7
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TICK Plunges As Suddenly Everyone Sells | Zero Hedge

TICK Plunges As Suddenly Everyone Sells | Zero Hedge | Algorithmic Trading and Market Microstructure | Scoop.it
It took the algos a good hour of digesting the Fed's PR before slowly and surely, as we observed when noting the stealthy action in the VIX, the crowd shifted suddenly from the right side of the boat to the left.
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Tuesday's SEC Presentation: Regulation Of High Frequency Trading Is Coming - Seeking Alpha

Tuesday's SEC Presentation: Regulation Of High Frequency Trading Is Coming - Seeking Alpha | Algorithmic Trading and Market Microstructure | Scoop.it
Tuesday's SEC Presentation: Regulation Of High Frequency Trading Is Coming Seeking Alpha High frequency trading (HFT) is a hot topic among investors due to allegedly causing the "Flash Crash" of 2010 and last year's massive trading losses at Knight...
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A new app promises to let anyone use social media sentiment to guide them in the stock market

A new app promises to let anyone use social media sentiment to guide them in the stock market | Algorithmic Trading and Market Microstructure | Scoop.it
Derwent Capital Markets raised eyebrows when it launched a hedge fund that used analysis of Twitter to predict movements in the stock market. Now the London-based firm is set to open ...
M. Edward (Ed) Borasky's insight:

I read the 2010 paper (in 2010!) Like most such "paper trading" academic studies, it doesn't hold up in actual trading with real-world transaction costs, taxes and emotions of the trader.

 

First there was a paper. Then there was a "hedge fund". Now there's a "trading system." I call bullshit!

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Cancellation Latency: The Good, the Bad, and the Ugly by Pawan Jain, Steven Jordan :: SSRN

Cancellation Latency: The Good, the Bad, and the Ugly by Pawan Jain, Steven Jordan :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it
HFT involves submitting large numbers of orders to generate congestion. Regulators classify such stuffing activity as a type of market manipulation.
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