On a normal day, 4 billion shares of stock change hands on the New York Stock Exchange. One in 10 belongs to a single company. It's not McDonald's or IBM, both of which have been on a tear.It's Bank of ...
"Because quants hold so many stocks, ones that are even slightly misvalued may still make sense ... If you can find 500 stocks to bet on where each has a 51 percent chance of beating the market, then through diversification, the odds of your overall portfolio start to look pretty good..."
“We used to rely on the public making dumb investing decisions,” one well-known Manhattan hedge-fund manager told me. “but with the advent of the public leaving the market, it’s just hedge funds trading against hedge funds. At the end of the day, it’s a zero-sum game.”
On the three month bankruptcy anniversary of the company whose rehypothecation gimmicks will one day be seen as a harbinger of everything that is broken with the multi-trillion ponzi system, but not just yet despite loud warnings otherwise, we are...
"...offer a really novel analysis on the old question about whether market movements are caused by A. external influences such as news (exogenous causes) or B. influences internal to the market itself such as emotions, avalanches of belief and opinion, etc. (endogenous causes)..."
As Cadogan notes, Madhavan's paper “distinguishes between rules based algorithmic trading” on the one hand, and “comparatively opaque high frequency trading” on the other. In the latter context, traders can place and ...
This nifty little animated GIF chronicles the rise of the HFT Algo Machines from January 2007 through January 2012. It starts out slow, but gets pretty interesting during August 2011 debt crisis (click GIF for source).
"Step by step, a handful of physicists, computer scientists and economists have transformed this curiosity into what are now arguably the most realistic models of markets. Such models treat markets as ever- evolving ecologies of investors who aim to profit on the basis of strategies they keep updating as they learn, or at least try to learn, from the past..."
The authors of this paper ran some fairly rigorous tests on the classic J/K momentum strategy and concluded that intermediate term (7-12mos) momentum outperforms short term momentum. They also claim that these results and conclusions are not...
Interesting paper that discusses outlier losses experienced by long/short hedge funds during 2007 and proposes an interesting EOD RTM strategy (one I developed and tested myself prior to coming across this paper, dammit!
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