Posts filed under “Quantitative”
What does it say about the state of our exchanges that trader on proprietary and execution desks now can buy a software program to alert them to the activities of Co-Located Algo Servers?
“HFT Alert, the first real time software designed to detect high frequency and algorithmic trading systems. HFT Alert identifies when these trading systems are running and what stocks are being affected. HFT Alert can detect several types of algorithms as well as stocks experiencing elevated quote rates associated with algorithmic trading.”
We are now apparently in a silicon based arms race to learn when quotes are real and when they are spoofed faux quotes driven by HFT algos designed to increase volatility.
The exchanges once operated fro the greater good of the investing public, akin to nonprofit utilities. They are now hellbent on chasing away private investors who will eventually learn that this is a zero sum game, and co-located HFTs are a tax on saving and investments . . .
An NYU Poly Department of Finance and Risk Engineering professor has a forthcoming paper in Algorithmic Finance that claims that “Markets are efficient if and only if P = NP.” Why is this important? Most economists think markets are at least weakly efficient (I disagree). Computer scientists think that P != NP — that current…Read More
click for larger chart > Michael Gayed observes: “When the TIP/IEF price ratio (Inflation-Protection/Nominal-No-Inflation-Protection) trends higher, it means bond market is swinging towards increased inflation expectations. When the ratio is trending down, bond market is favoring deflation through outperformance of Nominal bonds. Inflation hedge tends to be equities: risk-on. Deflation hedge tends to be nominal…Read More
Kevin Slavin argues that we’re living in a world designed for — and increasingly controlled by — algorithms. In this riveting talk from TEDGlobal, 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
Hat tip Flowing Data
We’ve been doing a lot of behind the scenes tweaks to FusionIQ, and there are some wicked cool features coming in the fall. Meanwhile, the redesigned home page is up — its much lighter, cleaner, and easier to read. We are bringing the same critical eye to the redesign of the interior as well. I…Read More
History may not repeat, but it often rhymes. This table, assembled by Ron Griess of The Chart Store, shows what markets have done over the past century following any stretch of down 6 consecutive weeks. The data reads both binary and inconclusive: If the markets are merely oversold, then you get a nice snapback, and…Read More
Earlier this week, we looked at the impact the financials had on the S&P. Today, I want to bring two charts to your attention that might give you some pause. The first is from Ron Griess (The Chart Store), showing NYSE market cap as a percentage of GDP. It indirectly relates stock prices and valuation…Read More
Global Slowdown to Hit by Summer, Even for U.S., Says Achuthan
Yahoo Daily Ticker
The equity market has made a little bit history in the first three days in May. Only four other times in the last fifty years has the S&p500 opened May with three consecutive down days. Bespoke did some great work yesterday analyzing the first two consecutive down days in the new month and we thought we’d add…Read More
Birthdays and Investment Risk By John Mauldin April 4, 2011 > “Tail risk (the risk of large losses) is dramatically underestimated by many investors and the tools we have available to manage such risks are hopelessly inadequate. Financial theory which is taught at business schools and universities all over the world is plainly wrong.” This…Read More