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Archive for January, 2012

Articles

System Lab: January 2012 Performance

January was a fairly moderate month and its limited volatility offered pretty slim pickings.  The system had some nice returns right out of the gate, but these were pared back as the month progressed and most days were under +/- 1%.  The good news is that the system was still able squeeze out a modest gain of +1.8% for the month.  Not earth shattering, but I’ll take it.

More…

Links

Mean Reverting Processes (paper)

Video

Shit Programmers Say

Links

Three Months After The MF Global Bankruptcy, We Find That $1.2 Billion (Or More) In Client Money Has “Vaporized”

Links

Geometric Brownian Motion (paper)

Video

Algo CAD

An interesting algo development tool (Algo Design Lab) that uses a CAD metaphor to allow users to design algo trading “circuits” by dragging and dropping logic blocks onto a canvas and “wiring” them together.  Now why didn’t I think of that?

 

Video

The Speed Traders

Video

Trader or Gambler?

Quotes

Quote of the Day

Video

A SPY Algo Trading System

Here’s an interesting video of a commercial algo trading platform (AlphaEdge) trading the SPY ETF live intraday.  It apparently aggregates the signals from multiple strategies and generates buy/sell orders in real time.