Monday, November 12, 2012

MoneyScience News

MoneyScience News

Research Library: Introduction to HFT Scalping Strategies (pdf)

Posted: 12 Nov 2012 02:10 AM PST

Haim Bodek and Mark Shaw Decimus Capital Markets, LLC / Haim Bodek ConsultingSM November 2012 This paper summarizes the intentions, key properties and observable effects of the particular class of high frequency trading known as HFT scalping. By using market structure advantages that have in effect circumvented the regulatory framework of Regulation NMS, HFT firms employing these strategies...

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Research Library: High-Frequency Trading Synchronizes Prices in Financial Markets

Posted: 12 Nov 2012 02:08 AM PST

Austin Gerig Abstract High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence suggests that HFT contributes to the efficiency of markets, there are concerns it also adds to market instability, especially during...

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Blog Post: TheFinancialServicesClub: The $20 trillion fraud

Posted: 12 Nov 2012 12:56 AM PST

Derek Wylde, Group Head of Fraud at HSBC, presented at the Financial Services Club last week. read more...

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Published / Preprint: Market Liquidity and Convexity of Order Book (Evidence From China). (arXiv:1211.2078v1 [q-fin.TR])

Posted: 11 Nov 2012 05:38 PM PST

Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the high-frequency data of each stock included in the SSE (Shanghai Stock Exchange) 50 Index for the year 2011, we report several statistical properties of...

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Published / Preprint: Recovering a time-homogeneous stock price process from perpetual option prices. (arXiv:0903.4833v2 [math.PR] UPDATED)

Posted: 11 Nov 2012 05:38 PM PST

It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock price model which reproduces the given option prices.

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Blog Post: Falkenblog: Interview with Eugene Fama

Posted: 11 Nov 2012 05:08 PM PST

Always insightful:I was in Belgium for two years working solo. When I returned, I showed Merton Miller my research produced over that two year period, and he put aside most of it with the comment, “Garbage.” He was right on every count...[Pensions] should be discounting the liabilities at the expected return implied by the risk of the liabilities, not the expected return on the assets. The...

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Blog Post: ThePracticalQuant: Beyond bag-of-words: Using markup to Understand How Science is Written

Posted: 11 Nov 2012 09:34 AM PST

Newspapers and academic publications have long been popular data sources among text mining and natural language researchers. The advent of the web shifted some attention to unstructured text from online sources, but many researchers continue to use corpuses of academic papers. Their semi-structured nature make academic publications convenient to work with and built-in bibliometrics (citations)...

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Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @automatedtrader @TradeTech @john_avery

Posted: 08 Oct 2012 05:50 AM PDT

fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @automatedtrader @TradeTech @john_avery

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