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…
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.
- “The Sexiest Girl in the Class” (twistedeconotwist.wordpress.com)
- Do we need another stock exchange without computers? (trejdify.com)