Posts filed under “Quantitative”

Buy Neutrinos

 

Must read article in Spetember edition of Wired Magazine on How Wall Street Got Addicted to HFT. In light of the JKnight Trading snafu, Wired decided to post it on line earlier than suual.

Here is an excerpt:

“Faster and faster turn the wheels of finance, increasing the risk that they will spin out of control, that a perturbation somewhere in the system will scale up to a global crisis in a matter of seconds. “For the first time in financial history, machines can execute trades far faster than humans can intervene,” said Andrew Haldane, a regulatory official with the Bank of England, at another recent conference. “That gap is set to widen.”

This movement has been gaining momentum for more than a decade. Human beings who make investment decisions based on their assessment of the economy and on the prospects for individual companies are retreating. Computers—acting on computer-generated market trend data and even newsfeeds, communicating only with one another—have taken up the slack. Conventional economics views all this as an unalloyed good: It is axiomatic that all trades are a net benefit to the economy because they enhance “liquidity,” the ability of investors to buy or sell assets at the best price. Indeed, in 2007 the SEC instituted an ambitious new rule, the national market system, that opened the door to dozens of new venues for stock trading, but now that transaction times are measured in micro­seconds and prices are carried out to six decimal places, those opportunities have arguably gone past a point of diminishing returns.”

Go read the full article . . .

 

Source:
How Wall Street Got Addicted to Light-Speed Trading
Jerry Adler
Wired, 08.03.12
http://www.wired.com/business/2012/08/ff_wallstreet_trading/all/

Category: Quantitative, Really, really bad calls, Trading

Nanex: Speed Kills

Whenever I have no idea about some event, rather than hypothesize some half-assed theory, I prefer instead to go to the pros who know their area of expertise better Thus, for the the Knight Trading glitch, I direct your attention to Nanex: Knightmare on Wall Street On August 1, 2012, starting at market open (9:30 EDT), our…Read More

Category: Markets, Quantitative, Trading

Uncertainty Quantified (Not)

No sooner does this morning’s “Uncertainty” piece go up when someone emails me this “quantified” version of uncertainty. The claim is made that “Nick Bloom and Scott Baker of Stanford University and Steve Davis of the University of Chicago” have figured out how to measure uncertainty:     Sadly, no. This is merely an index…Read More

Category: Digital Media, Investing, Psychology, Quantitative

How Facebook Fucked Up Its Own IPO

What a piece of work is a man, how noble in reason, how infinite in faculties, in form and moving how express and admirable, in action how like an angel, in apprehension how like a god! the beauty of the world, the paragon of animals—and yet, to me, what is this quintessence of dust? Man…Read More

Category: IPOs, Markets, Quantitative, Trading

Re-Entry Signals Following 10 Month Moving Average Exit

Back in the beginning of the year, I mentioned that Mebane Faber and I were exploring updating his Spring 2007 Journal of Wealth Management paper titled “A Quantitative Approach to Tactical Asset Allocation.” (He is the Chief Investment Officer of Cambria Investment Management). As we discussed back earlier, Meb reviewed a simple timing model — the…Read More

Category: Investing, Quantitative

Factors Institutional Investors Are Favoring

Every year since 1989, Merrill Lynch surveys a few 100 institutional investors using a broad variety of quantitative, valuation, process and modeling questions. Their responses get summarized in a 39 chart, 27 page report. You can get a sense of the depth and breadth of the report in just a few charts — but overall,…Read More

Category: Hedge Funds, Investing, Markets, Quantitative, Trading

Are Stocks Ahead of the Economy?

> Today, I want to bring a simple analysis to your attention. It is based upon the chart of GDP versus the total stock market valuation: Another measure bodes worse, however. That’s a comparison of the total value of U.S. shares with the yearly output of the U.S. economy (see chart). The stock market is…Read More

Category: Cycles, Data Analysis, Markets, Quantitative

Jim Simons on Math

Math for America Founder Jim Simons’ interview on Need to Know on PBS, April 15, 2011.

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Physicist C.N. Yang and mathematician/philanthropist James Simons interviewed by Bill Zimmerman

Hat tip Frank Voison

Category: Hedge Funds, Mathematics, Quantitative, Video

Colbert: Surrender to a Buyer Power

By using predictive analytics, Target doesn’t just track when customers buy sheets, they know what customers are doing between the sheets. The Word – Surrender to a Buyer Power The Colbert Report Get More: Colbert Report Full Episodes,Political Humor & Satire Blog,Video Archive Wednesday February 22, 2012

Category: Consumer Spending, Quantitative, Weekend

The Big Apple (AAPL)

> Apple is disproportionately impacting indices and earnings data, skewing the picture of what is actually occurring. WSJ: “While most U.S. companies have struggled to meet earnings expectations, the Cupertino, Calif.-based maker of iPads and iPhones has surpassed even the most bullish of expectations, reporting $13.1 billion in profits during the fiscal 2012 first quarter…Read More

Category: Investing, Quantitative, Valuation