Bodek claims HFT is an artificial industry

Fueled largely by price sliding, preferential order types, and other exchange funny business. In other news, the SEC’s Berman thinks most flash crashes are caused by (human) fat fingers. [image: bark]

Ernie Chan on the pitfalls of backtesting

Nice overview from a practitioner on potential biases when backtesting. Ernie is the author of the decent algorithmic trading  intro called Quantitative Trading, which I recommend for anyone getting their head around this business. He blogs over on blogspot. [Warning: I may be able to afford a coffee if you happen to buy the book through … Continue reading