Photoillustration by: Ji Lee
This afternoon I read by far the best and most interesting article yet on “The End” of wall st by Michael Lewis. Of course, as I was reading this engrossing tale on the inevitable failure of greed to create a perpetual money machine, the market rallied some 6%…
While the hero of Lewis’ piece found value in effectively shorting the credit bubble just as it reached its shimmering peak, this set of “investors” looks to profit in these tougher times ahead by going long man’s baser tendencies…
dereferenced, hedge funds
Normally I spend my design-oriented thoughts on object models – when I’m working on StratBox – or about volatility, latency, executions, &tc – when I’m working on a trading strategy. But a recent trip abroad has inspired me to consider more fanciful design horizons.
After more than a year of blogging I’ve finally decided to refresh the look of the site and you’re looking at the first iteration of this effort. Blogging software is pretty remarkable as it allowed me to essentially change the “skin” of the blog without affecting its content. This is like Kirill Grouchnikov’s lovely open source “Substance” Look&Feel for Java which does the same trick for swing-based applications: just include his magic code and your system automagically looks a lot better!
More substantively, my recent trip to Israel and the subsequent agreement to open a Tel Aviv office to take advantage of a felicitous new partnership and Israeli algorithmic talent, has led to a broadening of our mission. This in turn led to the foray into graphic design I describe below. Read more…
dereferenced, open-source software, startup
I’ve written here about exchange simulation in service of back-testing trading algorithms and briefly mentioned the difficulties of simulating the behavior of an order book. I just came across “A stochastic model for order book dynamics” by Cont, Stoikov and Talreja of Columbia and Cornell financial engineering groups. (I’ve also saved a local copy of the paper here.) While their focus isn’t on simulation for the purpose of back-testing but on probabilistic reasoning in real-time for high-frequency strategies, they illustrate a variety of models/methods for such reasoning. The equation depicted above is part of their description for reasoning about the likelihood of being able to make the spread in a stat arb strategy which places orders simultaneously at the bid and ask. It’s very technical, but interesting even if only to illustrate the kinds of tools being wielded in the service of algorithmic trading!
EMS Internals, dereferenced, strategy development
I was looking for a couple of books on amazon today and came across this offering of a hoodie (pictured above) which reads: “I helped bailout the banking system and all I got was this lousy tee shirt!” which I’d (admittedly more rancorously) suggested only a few days ago…
Just as curious, the search that revealed this gem was meant to find books similar to one I’ve recently read by Dr. Andrew Lo, “Hedge Funds: an Analytic Perspective” (pictured left) and which, like all of his work, I found interesting and informative. I’m not sure exactly how Amazon matched these two products together, but it’s funny to imagine that the same people buying the one are also buying the other!
books, dereferenced, our managed markets
A friend of mine sent me this chart and it reminded me of those spot the difference games. I guess we’re all commercial bankers now…
Somewhat more poignantly, it also reminded me of this great article in the NYT a few years ago which cited a couple of studies (one specific to careers in IB) suggesting that one of the strongest determinants of the pecuniary success of a career is the state of the economy when you graduate. Graduating in a recession is bad timing indeed and the effects are measurable over the long term. If you are clutching a sparkling new MBA (and its attendant debt!) we can only hope that you were greatly enriched by the experience…
The Greeks had it right: even mighty Zeus need fear the capricious Fates!
dereferenced, our managed markets
I went to assemble my day’s market-neutral portfolio this morning – including, of course, its fair share of shorts – when I came across this fun bit of news:
“The Commission is committed to using every weapon in its arsenal to combat market manipulation that threatens investors and capital markets,”
SEC Chairman Christopher Cox said in a press release. (I got this from Forbes, but it’s everywhere…)
Pretty rich stuff. Talk about manipulating markets.
As a small business owner, I love seeing the taxpayer-financed backstop our financials are getting… Where’s mine?
dereferenced, our managed markets
I came across a cute tool, Wordle, while reading this post on the Big Picture and decided to run wordle against my blog. The above picture is how wordle depicts this blog. Given my last post, it’s pretty funny that “data” wins by a landslide.
Wanting to always be a paragon of netiquette, I decided to also run it against the Big Picture. This yielded an interesting insight into that blog’s focus:
Update – I’ve fixed the link to wordle (.net not .com), thanks to Luca’s eagle-eyed editing.
dereferenced, technology
While doing some research on the quality and volume of executions at the open and close of US equity markets, I came across two topical research reports by Celent, a finance consultancy. The first report is a detailed look at execution quality on nasdaq issues while the second addresses the same topic for the nyse. An abstract of the first report can be found here and of the second here. Both are interesting enough on their own, though I’ve yet to acquire the full reports.
Read more…
dereferenced, execution quality, performance analysis
