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Man vs. Machine on Wall Street: How Computers Beat the Market
"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...
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Nanex: The Rise of the HFT Machines
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...
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Why Bank of America is the new Citigroup
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...
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Man vs Machine: The Revenge of the Nerds
CNBC video clip on Sept 14, 2010....See it on Scoop.it, via Algorithmic Trading
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Man vs Machine: Inside the World of Computer-Driven Stock Trading
Computers, algorithms and mathematician-traders have made modern stock trading a high-tech business and it may be more than the system can handle.See it on Scoop.it, via Algorithmic Trading
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Interview: Ernest P. Chan Quantitative Trading
He also offers training to clients via workshops or individualized consulting to trade for themselves using Matlab. Dr. Ernest P. Chan is the author of the famous book "Quantitative Trading: How to...
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Nanosecond Trading Could Make Markets Go Haywire
The afternoon of May 6, 2010 was among the strangest in economic history. Starting at 2:42 p.m. EDT, the Dow Jones stock index fell 600 poin...See it on Scoop.it, via Algorithmic Trading
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James Rickards on the Huge Threats to the Financial Markets
James Rickards is a global expert on financial markets and global security. In this exclusive interview, he discusses some of the massive threats our financial...See it on Scoop.it, via Algorithmic...
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High-Frequency Trading (paper)
“High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies.See it on...
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High-Frequency Follies
“HFT traders were also very active from July 2011 to September 2011. From July 8 to Aug. 8 the Dow fell 17.3%—13.4% in the first six trading days of August alone.See it on Scoop.it, via Algorithmic...
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MF Global: The Blame Game
"The Enron bankruptcy was not the result of a failed energy industry; it was the result of a criminal conspiracy. The Madoff bankruptcy was not the result of a failed hedge fund industry; it was the...
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A Study of Fat-Tail Risk (paper)
“…whereas the normal distribution of the daily return of the S&P would suggest a negative three-sigma event (between -3.56% and -2.36% daily returns) should have occurred 27 days over the last one...
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A Constant Volatility Framework for Managing Tail Risk (paper)
“During crises, historical correlations between asset classes and their volatility characteristics tend to break down; asset classes which have, in normal times, been uncorrelated, suddenly become...
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A Reality Check for Data Snooping (paper)
Do we really know what we think we know?See it on Scoop.it, via Algorithmic Trading
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Battle lines forming between MF Global customers, hedge funds
(Reuters) - The MF Global saga could soon become a legal battle between hedge funds and the futures brokerage's shortchanged customers, with more than a billion dollars at stake.As the investigation...
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FX Trader Spends $323,483 At Liverpool Night Club
In what could be the largest (known) bartab in history, an unknown gentleman spent £203,948.80 ($323,483 at the closing GBPUSD spot rate) at Liverpool nightclub PlayGround - a purchase which included...
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Is MF Global a Deadbeat Dad?
Just what kind of parent is MF Global Holdings Ltd.?See it on Scoop.it, via Algorithmic Trading
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Understanding the Link Between Volatility and Compound Returns
It is clear from looking at the current landscape that volatility is rapidly becoming a key focus for asset management. Witness the birth of “low-volatility” ETFs and the popularity of...See it on...
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A Public Exit From Goldman Sachs Hits at a Wounded Wall Street
Greg Smith’s resignation is bringing new attention to Wall Street’s culture, which he decried in an open diatribe.See it on Scoop.it, via Algorithmic Trading
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Why I Am Leaving Goldman Sachs
An executive resigns from his position over an integrity problem too big to ignore.See it on Scoop.it, via Algorithmic Trading
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The Microstructure of the ‘Flash Crash’
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 th...See it on Scoop.it, via Algorithmic...
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Tail Risk: About 5x Worse Than You May Think
"...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...
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EU lawmaker turns screw on ultra-fast trading
* Ferber proposes tougher high-frequency trading rules * Takes harder line on commodity position limits * Rejects ban on commission on products sales (Adds detail, exchanges reaction) By Huw...
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The Impact of Algorithmic Trading
Yan Ohayon demystifies and shares his experience with algorithmic trading and its impact on markets, our lives, and everything in between. About TEDx, x = in...See it on Scoop.it, via Algorithmic Trading
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HFT, Correlations and Trend Following
In yesterdays note, we referenced a paper written for the United Nations Conference on Trade and Development titled The Synchronized and Long-Lasting Structural Change on Commodity Markets: Evidence...
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Why The Market Is Slowly Dying
Three years ago, when virtually nobody had yet heard of High Frequency Trading, Zero Hedge wrote "The Incredibly Shrinking Market Liquidity, Or The Upcoming Black Swan Of Black Swans" in which we...
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The Case Against Lehman Brothers (60 Minutes)
Steve Kroft talks to the bank examiner whose investigation reveals the how and why of the spectacular financial collapse of Lehman Brothers, the bankruptcy t...See it on Scoop.it, via Algorithmic Trading
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Efficiency May Be Special Case of Adaptation
In a new paper, Andrew Lo has educed from his Adaptive Markets Hypothesis five practical conclusions, among them that during times of crisis, the usual positive relationship between risk and return...
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Diversification Is Broken
Two heat maps from a HSBC study on risk-on risk-off ("RORO"). The first heat map shows the correlation of several assets before the financial crisis.See it on Scoop.it, via Algorithmic Trading
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Is High Frequency Trading Too Fast for Our Own Good?
“Most disturbing of all, however, may be the tendency of HFTs to follow similar strategies — raising the question of whether some confluence of factors could trigger a runaway market event as HFTs run...
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