Is High Frequency Trading Too Fast for Our Own Good?

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“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 amok.

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CNBC ‘Freaking Out’ Over Decline in Ratings

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“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…

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Diversification Is Broken

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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 on curatedalpha.com

Efficiency May Be Special Case of Adaptation

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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 may not hold.

See on allaboutalpha.com

The Case Against Lehman Brothers (60 Minutes)
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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…

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The Impact of Algorithmic Trading

3 Months After The MF Global Bankruptcy, We Find That $1.2 Billion (Or More) In Client Money Has “Vaporized”

Via Scoop.it - Algorithmic Trading
On the three month bankruptcy anniversary of the company whose rehypothecation gimmicks will one day be seen as a harbinger of everything that is  broken with the multi-trillion ponzi system, but not just yet despite loud warnings otherwise, we are…
Via zerohedge.com

Geometric Brownian Motion (paper)

Via Scoop.it - Algorithmic Trading
A quick study on GBM models as applied to energy commodity markets (click on title for paper).
Via algodude.com

Increasingly Complex Dynamics Over the Past Decade

Via Scoop.it - Algorithmic Trading
"In a paper just out (as a preprint), he and Vladimir Filimonov offer a really novel analysis on the old question about whether market movements are caused by A. external influences such as news (exogenous causes) or B. influences internal to the market itself such as emotions, avalanches of belief and opinion, etc. (endogenous causes)…"
Via physicsoffinance.blogspot.com

Algo CAD

Via Scoop.it - Algorithmic Trading
This Algo Design Lab strategy will be an example of using the Spreader Block in ADL to create a start to finish trading program that legs a specific price le…
Via youtube.com