Bad Medicine: regulating high frequency traders won’t address muddling of dark pools

Recently, I read Scott Patterson’s (@pattersonscott) Dark Pools, the somewhat disturbing recent history of high frequency trading, packaged in a superb narrative that is probably the closest to a Bond thriller that the industry will ever get. He eloquently points out the twists and turns that lead to where we are today. Starting with 24 dead … Continue reading

If you believe the efficient markets hypothesis, don’t follow this blog

In order to help you understand how to improve your investment returns, dear reader,  I wanted to rant on how academic economists, supposedly the bastions of rational thinking, independent of commercial bias, the smartest of the smart, created and promoted a completely irrational theory, causing millions of people to not even consider investing for fear … Continue reading

Fundamental indexing

Blogger-at-large, Yours Truly, wandered over to a debate organized by the London Quant Group (LQC) last Tuesday, on the topic of fundamental indexing. In one corner, we had Dr Adam Olive of HSBC, arguing for fundamental indexing, primarily as an improvement over pure market-cap (market capitalization) based indices. In the other corner, we had Ed … Continue reading

Downloading free financial data

It’s a bit grungy, but nowadays it’s much easier than it’s ever been. I mean getting financial data. Shockingly, you can get a lot for free. Milton Friedman, eat your heart out. Granted, the data’s delayed. The breadth of available data is as wide as the English Channel, including not only price data, but also … Continue reading

program trading

from http://www.programtrading.com on US equities: Program Trading Averaged 64.00 Percent of the Volume from Feb 26 to March 2, 2007 Buy programs were 47.37% of the total program trading volume. That is down a lot from the previous week. Sell programs were 52.63%. That is up a lot from the previous week. Pure index arbitrage … Continue reading

shrinking equity supply

The following note comments on the shrinking supply of equities, and how it is impacting equity prices across the board: http://web-xp2a-pws.ntrs.com/content//media/attachment/data/econ_research/0703/document/dd030807.pdf The analysis looks into how US equity shareholders are selling to international in investors. As far as I can tell, each stock is different. A shrinking aggregate supply would mean that in aggregate, prices … Continue reading