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Posts tagged ‘algo trading’

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IAMA High Frequency Trader (reddit)

“As a quick background, I’ve been working in HFT since graduating with an undergrad in mathematics and CS, I trade primarily equities (stocks, basically), market making (posting bids and offers and collecting the spread in between) in ~1700 different stocks…”

(click title for article)

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Is High Frequency Trading Too Fast for Our Own Good?

“…intermediate traders are backing away from the market at critical times lest they get tricked by HFTs, and all the traffic being generated by HFTs gaming each other is raising the costs for those intermediate traders, accelerating their flight from the market.”

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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.

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Money, Power, and Wall Street (FRONTLINE)

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An Imperfect Union (60 Minutes)

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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.”

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The Impact of Algorithmic Trading (video)

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Tail Risk: About 5x Worse Than You May Think (paper)

“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”

 

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How Algorithms Shape Our World (video)

Kevin Slavin’s TED talk on high-frequency trading.  He shows how these complex computer programs determine: espionage tactics, stock prices, movie scripts, and architecture. And he warns that we are writing code we can’t understand, with implications we can’t control.

 

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The Microstructure of the Flash Crash (paper)

“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 the Dow Jones Industrial Average. For a few minutes, $1 trillion in market value vanished. In this paper, we argue that the ‘flash crash’ is the result of the new dynamics at play in the current market structure…”