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Archive for April, 2012

Articles

System Lab: March 2012 Performance

The system closed the month of March with a modest gain (+2.5%).  With the exception of a few days, most of the market’s movement continues to be in the gaps, with relatively narrow intraday ranges.   Again and again the market gaps up/down and then just lays there.  Everyone seems to be guarding their chips and waiting for the other guy to make the first move.

So why all the caution?  My personal view is that the ever-looming Euro debt crisis has instilled quite a bit of fear into the markets and the retail investor (after loosing all of his home equity and most of his 401K) has run screaming, fleeing equities for the foreseeable future.  Thus, what we seem to have now is a listless market comprised largely of HFT bots trading money back and forth.  A zero sum game and a difficult environment for the retail day trader, to be sure.

More…

Video

Money, Power, and Wall Street (FRONTLINE)

Video

An Imperfect Union (60 Minutes)

Links

HFT, Correlations and Trend Following

“We think that HFT strategies, in particular the trend-following ones, are playing a key role…the very existence of cross-market correlations at high frequencies favours the presence of automated trading strategies operated by robots on multiple assets. Our analysis suggests that commodity markets are more and more prone to events in global financial markets and likely to deviate from their fundamentals.”