Pinboard (jm)
https://pinboard.in/u:jm/public/
recent bookmarks from jmNanex: "The stock market is rigged" [by HFTs]2014-07-16T13:14:04+00:00
http://www.nanex.net/aqck2/4661.html
jmAll this evidence points to one inescapable conclusion: the order cancellations and trade executions just before, and during the trader's order were not a coincidence. This is premeditated, programmed theft, plain and simple. Michael Lewis probably said it best when he told 60 Minutes that the stock market is rigged.
Nanex have had enough, basically. Mad stuff.]]>hft stocks finance market trading nanex 60-minutes michael-lewis scams sec regulation low-latency exploits hackshttps://pinboard.in/https://pinboard.in/u:jm/b:8f00f85dfa2a/Online Algorithms in High-frequency Trading - ACM Queue2013-10-19T20:38:52+00:00
http://queue.acm.org/detail.cfm?id=2534976
jmlinear-regression variance mean variability volatility stream-processing online algorithms hft tradinghttps://pinboard.in/https://pinboard.in/u:jm/b:a346d6588063/Barbarians at the Gateways - ACM Queue2013-10-19T20:36:17+00:00
http://queue.acm.org/detail.cfm?id=2536492
jm
I am a former high-frequency trader. For a few wonderful years I led a group of brilliant engineers and mathematicians, and together we traded in the electronic marketplaces and pushed systems to the edge of their capability.
Insane stuff -- FPGAs embedded in the network switches to shave off nanoseconds of latency.]]>low-latency hft via:nelson markets stock-trading latency fpgas networkinghttps://pinboard.in/https://pinboard.in/u:jm/b:89014695d9aa/High-frequency trading: The fast and the furious | The Economist2012-08-03T15:34:00+00:00
http://www.economist.com/node/21547988
jm
"The NYMEX panel found that Infinium had finished writing the algorithm only the day before it introduced it to the market, and had tested it for only a couple of hours in a simulated trading environment to see how it would perform. The firm's normal testing processes take six to eight weeks. When the algorithm started its frenetic buying spree, the measures designed to shut it down automatically did not work. One was supposed to turn the system off if a maximum order size was breached, but because the machine was placing lots of small orders rather than a single big one the shutdown was not triggered. The other measure was meant to prevent Infinium from selling or buying more than a certain number of contracts, but because of an error in the way the rogue algorithm had been written, this, too, failed to spot a problem."