Intro to high frequency trading

Have a look at this decent intro to algorithmic trading, just to get a sense of this works. The focus is actually more on high-frequency trading. In particular, listen in for more info on quote stuffing, one of the less attractive aspects of high-frequency trading.

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

Jim Simons

Nice career retrospective by Jim Simons: MIT Video – Mathematics, Common Sense, and Good Luck: My Life and Careers. Here were his so-called hot tips: go with the computer models great people great infrastructure open atmosphere everybody knows what everyone else is doing no compartmentalization

Weekend Linkfest 102: macro mini celebrities, revisiting software development ideas, and an XP practice smorgasbord

Global macro links Blog of macroeconomic mini-celebrity Steve Keen Ray Dalio of Bridgewater, and his ideas on how economies really work What we actually know about software development, and why we believe it’s true: given primarily to students, but still interesting and entertaining nonetheless. “Code review is the most effective (hour for hour) way to remove … Continue reading

ETF creation and redemption explained

iShares explains how an ETF works, so that it can track indices effectively. In contrast, take a look at How The VIX ETN Lost 50% In 48 Hours, where the TVIX, an ETF that is 2x the reverse of the VIX volatility index, is compared to a chainsaw. Jared Cummans summarizes: Many investors simply assume that … Continue reading

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 … 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