Algorithmic Trading
Follow
Find
8.7K views | +2 today
 
Scooped by algodude
onto Algorithmic Trading
Scoop.it!

Is MF Global a Deadbeat Dad?

Is MF Global a Deadbeat Dad? | Algorithmic Trading | Scoop.it
Just what kind of parent is MF Global Holdings Ltd.?
more...
No comment yet.
Algorithmic Trading
Algo Trading Tips, Strategies, and Techniques
Curated by algodude
Your new post is loading...
Your new post is loading...
Scooped by algodude
Scoop.it!

Is High Frequency Trading Too Fast for Our Own Good?

“Most disturbing of all, however, may be the tendency of HFTs to follow similar strategies — raising the question of whether some confluence of factors could trigger a runaway market event as HFTs run amok.
more...
No comment yet.
Scooped by algodude
Scoop.it!

Efficiency May Be Special Case of Adaptation

Efficiency May Be Special Case of Adaptation | Algorithmic Trading | Scoop.it
In a new paper, Andrew Lo has educed from his Adaptive Markets Hypothesis five practical conclusions, among them that during times of crisis, the usual positive relationship between risk and return may not hold.
more...
No comment yet.
Scooped by algodude
Scoop.it!

Why The Market Is Slowly Dying

Why The Market Is Slowly Dying | Algorithmic Trading | Scoop.it
Three years ago, when virtually nobody had yet heard of High Frequency Trading, Zero Hedge wrote "The Incredibly Shrinking Market Liquidity, Or The Upcoming Black Swan Of Black Swans" in which we asked "what happens in a world where the very core...
more...
No comment yet.
Scooped by algodude
Scoop.it!

The Impact of Algorithmic Trading

Yan Ohayon demystifies and shares his experience with algorithmic trading and its impact on markets, our lives, and everything in between. About TEDx, x = in...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Tail Risk: About 5x Worse Than You May Think

"...we examined 50-years of historical S&P 500 Index data and compared the actual tail risk frequency and magnitude to the expectations of a typical investor operating under modern portfolio theory. The difference between the two is surprising, and it suggests that investors have significantly underestimated tail risk frequency and severity."

more...
No comment yet.
Scooped by algodude
Scoop.it!

A Public Exit From Goldman Sachs Hits at a Wounded Wall Street

A Public Exit From Goldman Sachs Hits at a Wounded Wall Street | Algorithmic Trading | Scoop.it
Greg Smith’s resignation is bringing new attention to Wall Street’s culture, which he decried in an open diatribe.
more...
No comment yet.
Scooped by algodude
Scoop.it!

Understanding the Link Between Volatility and Compound Returns

It is clear from looking at the current landscape that volatility is rapidly becoming a key focus for asset management. Witness the birth of “low-volatility” ETFs and the popularity of...
more...
No comment yet.
Scooped by algodude
Scoop.it!

FX Trader Spends $323,483 At Liverpool Night Club

FX Trader Spends $323,483 At Liverpool Night Club | Algorithmic Trading | Scoop.it
In what could be the largest (known) bartab in history, an unknown gentleman spent £203,948.80 ($323,483 at the closing GBPUSD spot rate) at Liverpool nightclub PlayGround - a purchase which included a £125,000 bottle of the world's most expensive...
more...
No comment yet.
Scooped by algodude
Scoop.it!

A Constant Volatility Framework for Managing Tail Risk (paper)

“During crises, historical correlations between asset classes and their volatility characteristics tend to break down; asset classes which have, in normal times, been uncorrelated, suddenly become correlated and alternative investments, which have...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Battle lines forming between MF Global customers, hedge funds

Battle lines forming between MF Global customers, hedge funds | Algorithmic Trading | Scoop.it

(Reuters) - The MF Global saga could soon become a legal battle between hedge funds and the futures brokerage's shortchanged customers, with more than a billion dollars at stake.As the investigation into...

more...
No comment yet.
Scooped by algodude
Scoop.it!

High-Frequency Trading (paper)

“High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies.
more...
No comment yet.
Scooped by algodude
Scoop.it!

MF Global: The Blame Game

MF Global: The Blame Game | Algorithmic Trading | Scoop.it

"The Enron bankruptcy was not the result of a failed energy industry; it was the result of a criminal conspiracy. The Madoff bankruptcy was not the result of a failed hedge fund industry; it was the result of a criminal conspiracy. The MF Global bankruptcy is not the result of a failed futures industry; it is the result of criminal activity on the part of senior staff at MF Global...”

more...
No comment yet.
Scooped by algodude
Scoop.it!

Interview: Ernest P. Chan Quantitative Trading

Interview: Ernest P. Chan Quantitative Trading | Algorithmic Trading | Scoop.it
He also offers training to clients via workshops or individualized consulting to trade for themselves using Matlab. Dr. Ernest P. Chan is the author of the famous book "Quantitative Trading: How to Build Your Own Algorithmic ...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Diversification Is Broken

Diversification Is Broken | Algorithmic Trading | Scoop.it
Two heat maps from a HSBC study on risk-on risk-off ("RORO"). The first heat map shows the correlation of several assets before the financial crisis.
more...
No comment yet.
Scooped by algodude
Scoop.it!

The Case Against Lehman Brothers (60 Minutes)

Steve Kroft talks to the bank examiner whose investigation reveals the how and why of the spectacular financial collapse of Lehman Brothers, the bankruptcy t...
more...
No comment yet.
Scooped by algodude
Scoop.it!

HFT, Correlations and Trend Following

HFT, Correlations and Trend Following | Algorithmic Trading | Scoop.it
In yesterdays note, we referenced a paper written for the United Nations Conference on Trade and Development titled The Synchronized and Long-Lasting Structural Change on Commodity Markets: Evidence from High Frequency Data We ...
more...
No comment yet.
Scooped by algodude
Scoop.it!

EU lawmaker turns screw on ultra-fast trading

EU lawmaker turns screw on ultra-fast trading | Algorithmic Trading | Scoop.it
* Ferber proposes tougher high-frequency trading rules * Takes harder line on commodity position limits * Rejects ban on commission on products sales (Adds detail, exchanges reaction) By Huw Jones...
more...
No comment yet.
Scooped by algodude
Scoop.it!

The Microstructure of the ‘Flash Crash’

The ‘flash crash’ of May 6th 2010 was the second largest point swing (1,010.14 points) and the biggest one-day point decline (998.5 points) in the history of th...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Why I Am Leaving Goldman Sachs

Why I Am Leaving Goldman Sachs | Algorithmic Trading | Scoop.it
An executive resigns from his position over an integrity problem too big to ignore.
more...
No comment yet.
Scooped by algodude
Scoop.it!

Is MF Global a Deadbeat Dad?

Is MF Global a Deadbeat Dad? | Algorithmic Trading | Scoop.it
Just what kind of parent is MF Global Holdings Ltd.?
more...
No comment yet.
Scooped by algodude
Scoop.it!

A Reality Check for Data Snooping (paper)

Do we really know what we think we know?
more...
No comment yet.
Scooped by algodude
Scoop.it!

A Study of Fat-Tail Risk (paper)

“…whereas the normal distribution of the daily return of the S&P would suggest a negative three-sigma event (between -3.56% and -2.36% daily returns) should have occurred 27 days over the last one hundred years, this has actually occurred over a hundred...
more...
No comment yet.
Scooped by algodude
Scoop.it!

High-Frequency Follies

“HFT traders were also very active from July 2011 to September 2011. From July 8 to Aug. 8 the Dow fell 17.3%—13.4% in the first six trading days of August alone.
more...
No comment yet.
Scooped by algodude
Scoop.it!

James Rickards on the Huge Threats to the Financial Markets

James Rickards on the Huge Threats to the Financial Markets | Algorithmic Trading | Scoop.it
James Rickards is a global expert on financial markets and global security. In this exclusive interview, he discusses some of the massive threats our financial...
more...
No comment yet.
Scooped by algodude
Scoop.it!

Nanosecond Trading Could Make Markets Go Haywire

Nanosecond Trading Could Make Markets Go Haywire | Algorithmic Trading | Scoop.it
The afternoon of May 6, 2010 was among the strangest in economic history. Starting at 2:42 p.m. EDT, the Dow Jones stock index fell 600 poin...
more...
No comment yet.