Weekend Linkfest 101: Algorithmic Trading Blogs, Parallelism, and Trend Trading

Here’s my shortlist of interesting items for you take a look at this week. Enjoy! If you have any to suggest, do let me know.

Creating & Compounding Wealth via Trend Following – Andrew Abraham

New Blogs I Found

Bigger Capital: Former head of single stock trading at Citi, and D.E. Shaw dude. Looks like he has some decent content. Looking forward to what comes out next…

Sybase has a few trading and risk blogs

Anyway, the survey highlighted an increase in end-to-end automation, with (for me) a surprising number of buy side organizations (35%) that tied 100% of machine generated signals into orders with no human supervision (only 10-15% of sell side organizations are equally robotic. It would be tempting to point to HFT as the cause of this, however more than 60% of the buy side respondents were executing at an average rate of less than second (over 45% were at less than one order per minute). The buy-side were (not unexpectedly) also less interested in being the fastest in the market – with less than 40% indicating that latency was important to their trading. The similar figure for the sell side was about 60%.

summarizing Automated Trader’s 2011 survey results.

Open Source Parallelism libraries

  • FastFlow: props to Chris Donnan, FastFlow is a multi-cores programming framework implementing lock-free FIFO queues specifically designed to support the development of high-level programming frameworks on cache-coherent multi-core architectures.
  • Theron: Theron is a concurrency library for C++ that allows parallel applications to be written naturally and intuitively, without the headache of shared memory and thread synchronization.
  • Trad4: Trad4 is a fully concurrent, thread safe, graph-based programming language that scales linearly on multiple cores. It is initially intended for deployment in the financial industry to model real-time risk.
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