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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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High-Speed Trading: Profit—and Danger—in Milliseconds

“Markets today are even more susceptible to sudden failure than they were two years ago during the flash crash, which brought the stock market down by about 1,000 points in mere minutes…”

 

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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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CNBC ‘Freaking Out’ Over Decline in Ratings

“Squawk Box is down 16 percent in total viewers and 29 percent in the important 25-54 demographic bracket that advertisers buy.  On Tuesday, the show drew its lowest numbers of the year in total viewers — 99,000.”

 

Another indicator that the battered retail investor has finally left the party…
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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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EU Lawmaker Turns Screw on Ultra-Fast Trading

“Banks should be banned from giving outside brokers direct access to markets as part of a sweeping crackdown on computerised high-frequency trading, a European Parliament report said on Monday.  The report was the assembly’s initial response to a draft law aimed at reining in computerised or algorithmic trading and other advances in technology which have made it harder for supervisors to see the full picture and control markets”

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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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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…”

 

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Complex Event Processing

“CEP is a new paradigm of computing that allows organizations to quickly respond to data that is continuously changing.  CEP algorithms are structured as sets of event-based rules. These rules monitor items in incoming data streams—termed “events”. Each event represents an update within the system…”

 

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

“Wall Street traders come and go all the time, but few have quit with the flair of Greg Smith. The way he resigned from Goldman Sachs, and what he had to say, could reignite a debate over how much Wall Street has changed in the wake of the financial crisis. “

Here’s the original NYT Op-Ed:  Why I Am Leaving Goldman Sachs