https://pinboard.in/u:vivekarora/public/ recent bookmarks from vivekarora 2018-12-15T20:18:38+00:00 https://www.elitetrader.com/et/threads/automating-closing-out-stock-position-with-large-spread-and-high-volatility.317833/#post-4598352 vivekaroraSmallCap Algorithmic_Trading https://pinboard.in/u:vivekarora/b:d7967dd043f1/ 2018-12-15T17:16:28+00:00 https://www.bofaml.com/content/dam/boamlimages/documents/articles/C1_062/guide_to_us_cash_equities_electronic_trading_services_final.pdf vivekaroraBAML Algorithmic_Trading https://pinboard.in/u:vivekarora/b:d6021a9e5999/ 2018-12-15T17:07:56+00:00 https://campus.bankofamerica.com/content/dam/boamlimages/documents/PDFs/electronic_trading_guide.pdf vivekaroraWhitePaper BAML Algorithmic_Trading FIX_Spec https://pinboard.in/u:vivekarora/b:81ac549f2235/ 2018-12-15T16:59:54+00:00 https://autobahn.db.com/microSite/docs/DeutscheBank_OrderBookLiquidityonPrimaryMarketsPostMiFID2.pdf vivekaroraWhitePaper Algorithmic_Trading Limit_Order_Book VWAP https://pinboard.in/u:vivekarora/b:00f34245290a/ 2018-06-03T23:31:44+00:00 https://github.com/lily9423/RLinTrading vivekaroraAlgorithmic_Trading Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:2dbad8a2c190/ 2017-11-25T18:00:24+00:00 http://www.goldmansachs.com/what-we-do/securities/gset/equities/liquidity-access/electronic-trading-questionaire-gset.pdf vivekaroraGoldman WhitePaper Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:ff5a39990d11/ 2017-07-19T16:18:30+00:00 http://cslt.riit.tsinghua.edu.cn/mediawiki/images/a/aa/07407387.pdf vivekaroraDeep_Learning Algorithmic_Trading Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:e538eacf6dc5/ 2017-06-30T02:08:32+00:00 http://www.cqg.com/Docs/CQGSpreaderUserGuideTrader.pdf vivekaroraFutures Spread Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:a082597c8f09/ 2017-06-16T21:54:59+00:00 http://www.neonet.com/Global/Auction_Neonet_LM_150423_final.pdf vivekaroraAlgorithmic_Trading WhitePaper Intrday_Auctions https://pinboard.in/ https://pinboard.in/u:vivekarora/b:a8b5fb0e60ef/ 2017-02-26T00:16:57+00:00 https://iextrading.com/trading/algos/ vivekaroraLiquidity_Seeking Dagger Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:2d41c193e685/ 2017-02-24T12:10:45+00:00 http://deepvalue.net/how-three-phase-commits-led-to-better-testing/ vivekaroraTesting Deep_Value Algorithmic_Trading https://pinboard.in/u:vivekarora/b:a8e55dfb9f26/ 2017-02-17T19:22:00+00:00 https://arxiv.org/pdf/1206.5324.pdf vivekaroraDagger Algorithmic_Trading WhitePaperIdeas https://pinboard.in/u:vivekarora/b:18e28ebc3a89/ 2017-02-06T12:35:25+00:00 http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-5.pdf vivekaroraMeanReversion Algorithmic_Trading https://pinboard.in/u:vivekarora/b:907216ec68bb/ 2016-05-03T01:57:13+00:00 http://faculty.som.yale.edu/zhiwuchen/HedgeFund/Trading-costs-lecture.ppt vivekaroraITG Algorithmic_Trading Peg https://pinboard.in/ https://pinboard.in/u:vivekarora/b:a2d63768ce40/ 2015-10-06T19:35:46+00:00 http://e-spacio.uned.es/fez/eserv/tesisuned:CiencEcoEmp-Mnoguer/Documento.pdf vivekaroraStatistical_Arbitrage Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:e7a9a17fac40/ 2015-04-18T14:24:21+00:00 http://iaqf16.wildapricot.org/Resources/Documents/Moallemi%20Presentation.pdf vivekaroraHFT Algorithmic_Trading Alpha Queue_Priority WhitePaperIdeas https://pinboard.in/ https://pinboard.in/u:vivekarora/b:ba7396b9bf76/ 2015-03-14T23:30:48+00:00 http://www.homepages.ucl.ac.uk/~ucakgwp/QRSLab/BlaiseStandish.pdf vivekaroraDynamic_Programming Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:80f5a91c8544/ 2015-03-14T23:26:47+00:00 http://web.stanford.edu/class/msande444/2009/2009Projects/2009-6/mse444ReportGroup6.pdf vivekaroraDynamic_Programming AlphaDecay Alpha Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:3f2b114162a6/ 2015-03-14T23:26:05+00:00 http://www.afajof.org/SpringboardWebApp/userfiles/afa/file/Presentation%20Slides/2013/6/7373.pdf vivekaroraDynamic_Programming Algorithmic_Trading AlphaDecay Alpha https://pinboard.in/ https://pinboard.in/u:vivekarora/b:250b652d077c/ 2015-02-26T15:39:18+00:00 http://financialsystems.sungard.com/~/media/fs/brokerage/resources/brochures-datasheets/Fox-River-Brochure.pdf?sfdcCampaignId=701W00000009i2s&la=en vivekaroraAlgorithmic_Trading Competition https://pinboard.in/ https://pinboard.in/u:vivekarora/b:17a9c07e99ba/ 2015-02-19T21:13:36+00:00 http://www.gbkr.com/subjects/q/spec.html vivekaroraKDB Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:560a2b9caee5/ 2014-10-21T18:44:07+00:00 https://edge.credit-suisse.com/edge/Public/Bulletin/Servefile.aspx?FileID=21127&m=-13834098 vivekaroraETF Credit_Suisse Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:8032b4a45a39/ 2014-10-21T18:35:06+00:00 https://secure.csfb.com/conferences/globalequitytradingforum2011/pdf/2011_etfsp.pdf vivekaroraETF Credit_Suisse Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:2775e1adfbfc/ 2014-10-18T16:20:07+00:00 http://corp.bankofamerica.com/business/bi/perspective/resource?p_a_id=656828&g_id=10157 vivekaroraETF Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:5c3e788e3113/ 2014-10-18T16:17:06+00:00 http://www.etf.com/docs/presentation2014/InsideETFs/GeneratingExcess.pdf vivekaroraETF Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:435529283143/ 2014-07-27T21:04:37+00:00 http://www.atmonitor.co.uk/content/researchimages/ATM-interview-DB.pdf vivekaroraSuperX Dark_Pools Deustche_Bank Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:ef7c3dc1741e/ 2014-07-27T21:00:49+00:00 http://www.thetradingmesh.com/pg/blog/mike/read/5380/how-deutsche-banks-new-stealth-algorithm-uses-hft-models-to-source-liquidity vivekaroraAlpha Deustche_Bank Algorithmic_Trading Limit_Order_Book https://pinboard.in/ https://pinboard.in/u:vivekarora/b:92cae6e2d2f3/ 2014-07-27T20:58:39+00:00 https://autobahn.db.com/microSite/docs/DB_Equities_-_Smarter_Liquidity_on_Autobahn_A4.pdf vivekaroraDeustche_Bank Algorithmic_Trading WhitePaper https://pinboard.in/ https://pinboard.in/u:vivekarora/b:d35e10445221/ 2014-07-07T03:29:32+00:00 http://tigger.uic.edu/~daler/perf-decomp-cqa.pdf vivekaroraTCA Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:7acb95595b05/ 2014-06-21T15:21:58+00:00 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2233980 vivekaroraOptimal_Execution Algorithmic_Trading Volatility Dynamic_Programming https://pinboard.in/ https://pinboard.in/u:vivekarora/b:1719f9789d07/ 2014-01-14T16:26:11+00:00 http://www.utstat.utoronto.ca/sjaimung/advances-in-hft/presentations_2013.zip vivekaroraWhitePaperIdeas HFT Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:13a73335d8b7/ 2013-11-06T03:43:57+00:00 https://equity.natixis.com/netis/accueil/documents/Algorithmic_Trading.pdf vivekaroraAlgorithmic_Trading WhitePaper https://pinboard.in/ https://pinboard.in/u:vivekarora/b:b00c4a09115a/ 2013-07-22T20:26:35+00:00 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2130611 vivekaroraLiquidity Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:c3e3b7dd9c8b/ 2013-07-09T09:16:45+00:00 http://www.orie.cornell.edu/engineering2/customcf/iws_events_calendar/files/shorttermsignaldevusage-sotiropoulos.pdf vivekaroraAlgorithmic_Trading WhitePaper Alpha Prediction News_trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:e41f19e37a46/ 2013-05-29T14:54:11+00:00 http://www.math.nyu.edu/faculty/avellane/QuantCongressUSA2011AlgoTradingLAST.pdf vivekaroraMarket_Microstructure Algorithmic_Trading Prediction Presentations https://pinboard.in/ https://pinboard.in/u:vivekarora/b:5afd55dac2b9/ 2013-04-01T02:06:18+00:00 http://www.maths.univ-evry.fr/pages_perso/garnaud/liqrisk/transp/LRM2011_lehalle.pdf vivekaroraMarket_Microstructure Algorithmic_Trading Optimal_Execution Intra-day_volatility https://pinboard.in/ https://pinboard.in/u:vivekarora/b:9f152e10d2c0/ 2013-03-20T01:21:32+00:00 http://davesbrain.blogs.com/files/ssrn-id937847.pdf vivekaroraMachine_Learning Algorithmic_Trading Forecasting https://pinboard.in/ https://pinboard.in/u:vivekarora/b:ca00869e5a9d/ 2013-03-18T01:42:10+00:00 http://www.thetradenews.com/sites/thetradenews.com/files/magazine/algo_1.pdf vivekaroraImplementation_Shortfall Algorithmic_Trading Switching https://pinboard.in/ https://pinboard.in/u:vivekarora/b:e0591da0c004/ 2013-01-03T22:50:05+00:00 http://www.itg.com/news_events/papers/Alpha_Algo.pdf vivekaroraAlpha Optimal_Execution Algorithmic_Trading AlphaProfiling https://pinboard.in/ https://pinboard.in/u:vivekarora/b:72dab72203b2/ 2012-12-05T16:24:12+00:00 http://www.cibcwm.com/wm/pdf/capital-markets/high-freq-trading.pdf vivekaroraHFT WhitePaperIdeas Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:37208d20c837/ 2012-10-12T20:13:56+00:00 http://kolmogorov.math.stevens.edu/conference2012/images/StoikovOB3.pdf vivekaroraLimit_Order_Book Optimal_Execution Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:306846de175e/ 2012-07-01T18:27:57+00:00 http://casl.ucd.ie/hosted/CSTEPHENS_211210.pdf vivekaroraPipeline Algorithmic_Trading Algo_Selection_Switching https://pinboard.in/ https://pinboard.in/u:vivekarora/b:48a9e41be769/ 2012-06-27T00:49:21+00:00 http://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&ved=0CGIQFjAA&url=http%3A%2F%2Fwww.numericalmethod.com%2Fpapers%2FMy%2520Experience%2520with%2520Algorithmic%2520Trading.ppt&ei=VljqT7q7CMOG6QG2lLmtBQ&usg=AFQjCNHCHatVk5cFVz2KDnzcT9pj2O2gbA&sig2=N6rTYN-ZwkapULHwO3qZZQ vivekaroraAlgorithmic_Trading Backtesting https://pinboard.in/ https://pinboard.in/u:vivekarora/b:c2e3b0d7cb14/ 2012-06-26T02:11:56+00:00 http://www.advancedtrading.com/tca/229400525?pgno=1 vivekaroraPrediction Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:111650961972/ 2012-06-24T04:21:20+00:00 http://www.bima.ca/Resources/tabid/884/Default.aspx vivekaroraAlgorithmic_Trading WhitePaperIdeas Smart_Order_Routing https://pinboard.in/ https://pinboard.in/u:vivekarora/b:2cd639f8728c/ 2012-04-29T18:12:42+00:00 http://www.ieor.columbia.edu/pdf-files/Fishler_E_FESeminar_Fa11.pdf vivekaroraDark_Pools Algorithmic_Trading WhitePaperIdeas https://pinboard.in/ https://pinboard.in/u:vivekarora/b:a5dd0b8b30b4/ 2012-04-25T12:47:08+00:00 http://www.tradingphysics.com/Resources/Papers/ vivekaroraPrediction Algorithmic_Trading High_Frequency WhitePaperIdeas LockedMarkets https://pinboard.in/ https://pinboard.in/u:vivekarora/b:5e67d1038fa0/ 2012-04-11T17:03:35+00:00 https://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&ved=0CCgQFjAA&url=http%3A%2F%2Fwww.cmap.polytechnique.fr%2F~euroschoolmathfi09%2FMichaelSimmonds_Nomura_1%25201.ppt&ei=1riFT8zVO6bd0QGg1_W5Bw&usg=AFQjCNHTzHQ0FwOCN-u6f7n4sDKr888Eiw&sig2=3mC1TZYvGe04JL5b59HqHA vivekaroraOptimal_Execution WhitePaper Nomura Algorithmic_Trading Volume_Prediction https://pinboard.in/ https://pinboard.in/u:vivekarora/b:334e53d8a9eb/ 2012-02-21T03:56:13+00:00 http://dl.dropbox.com/u/39904/maxdama.pdf vivekaroraAlgorithmic_Trading Statistical_Arbitrage Prediction Machine_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:67e9a0371a10/ 2012-02-21T01:11:07+00:00 http://quantitativebrokers.com/wp-content/uploads/2011/06/ATQ2-Anatomy-of-an-Algo1.pdf vivekaroraAlgorithmic_Trading Almgren Microprice WhitePaperIdeas https://pinboard.in/ https://pinboard.in/u:vivekarora/b:db25512f25bc/ 2012-02-21T00:39:14+00:00 http://math.nyu.edu/faculty/avellane/QuantCongressUSA2011AlgoTradingLAST.pdf vivekaroraWhitePaper Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:7901832777f0/ 2012-02-04T22:42:57+00:00 http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-056.pdf vivekaroraLimit_Order_Model Optimal_Order_Size Algorithmic_Trading https://pinboard.in/ https://pinboard.in/u:vivekarora/b:b570cea0a433/ 2011-11-22T14:24:58+00:00 http://www.bima.ca/LinkClick.aspx?fileticket=JVZeUoHpAfc%3D&tabid=884 vivekaroraAlgorithmic_Trading VWAP Volume_Prediction WhitePaperIdeas VWAP_Profiles https://pinboard.in/u:vivekarora/b:60c899815fb3/ 2011-11-22T14:20:29+00:00 http://www.bima.ca/LinkClick.aspx?fileticket=0H333ODutMQ=&tabid=884 vivekaroraAlgorithmic_Trading WhitePaperIdeas https://pinboard.in/u:vivekarora/b:588bd574a4ca/ 2011-11-18T17:39:15+00:00 http://www.quantnet.com/forum/threads/opportunities-bibliography.1070/ vivekaroraAlgorithmic_Trading Statistical_Arbitrage https://pinboard.in/u:vivekarora/b:a79ae9ff810e/ 2011-11-15T17:25:29+00:00 http://www.cfr.statslab.cam.ac.uk/events/content/20067/SimmondsPresentation.pdf vivekaroraAlgorithmic_Trading Presentations WhitePaperIdeas Market_Impact Optimal_Execution https://pinboard.in/u:vivekarora/b:d70c2f6d71d8/ 2011-11-06T13:42:22+00:00 http://pages.stern.nyu.edu/~jhasbrou/Research/Working%20Papers/HS10-11-10.pdf vivekaroraAlgorithmic_Trading HFT https://pinboard.in/u:vivekarora/b:9bb5f68a3e36/ 2011-11-06T13:32:47+00:00 http://www.instinet.com/includes/pdf/msr/Instinet_GTR_Towards_an_Understanding_of_HFT_.pdf vivekaroraAlgorithmic_Trading HFT WhitePaperIdeas https://pinboard.in/u:vivekarora/b:27256f0a4818/ 2011-10-28T17:54:17+00:00 https://www.cheuvreux.com/pdf/Navigating_Liquidity_november2008.pdf vivekaroraAlgorithmic_Trading Hidden_Liquidity_Prediction https://pinboard.in/u:vivekarora/b:6fd618043b6c/ 2011-09-07T12:30:50+00:00 http://orfe.princeton.edu/QuantTrading/pres/Princeton-Almgren-Mar2011.pdf vivekaroraAlgorithmic_Trading Futures Microprice Cointegration https://pinboard.in/u:vivekarora/b:dac3a2a1c22c/ 2011-08-29T22:58:43+00:00 http://tr8dr.wordpress.com/ vivekaroraAlgorithmic_Trading Blogs HFT R https://pinboard.in/u:vivekarora/b:b291e0951fec/ 2011-08-05T19:50:40+00:00 http://www.algotradinggroup.com/cgi-bin/yabb2/YaBB.pl?num=1214230287/45 vivekaroraAlgorithmic_Trading https://pinboard.in/u:vivekarora/b:ebd52b2982d9/ 2011-07-13T20:10:26+00:00 http://www.citeulike.org/user/lehalle/tag/microstructure/order/year,asc,last/page/3 vivekaroraAlgorithmic_Trading Market_Microstructure https://pinboard.in/u:vivekarora/b:cca212d56edb/ 2011-07-13T19:43:07+00:00 http://www.oxford-man.ox.ac.uk/events/advances/Lehalle.pdf vivekaroraAlgorithmic_Trading Limit_Order_Model Optimal_Execution https://pinboard.in/u:vivekarora/b:9658b366d549/ 2011-06-06T01:38:40+00:00 http://www.slideshare.net/charles_lehalle/cqfclehalle01 vivekaroraAlgorithmic_Trading Intra-day_volatility Spread Volume_Prediction https://pinboard.in/u:vivekarora/b:bb73e9968855/ 2011-05-25T22:22:53+00:00 http://quantivity.wordpress.com/ vivekaroraAlgorithmic_Trading Blogs https://pinboard.in/u:vivekarora/b:3e3f2ea41a6e/ 2011-05-25T22:19:36+00:00 http://quantivity.wordpress.com/2010/01/12/how-to-learn-algorithmic-trading-part-2/ vivekaroraAlgorithmic_Trading Books https://pinboard.in/u:vivekarora/b:e24018db777f/ 2011-05-23T02:17:06+00:00 http://www.technicalanalysis.org.uk/volume/AGLL97.pdf vivekaroraAlgorithmic_Trading Intra-day_volatility https://pinboard.in/u:vivekarora/b:63922c058259/ 2011-05-18T02:57:51+00:00 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1722202 vivekaroraAlgorithmic_Trading Forecasting Hidden_Markov_Models High_Frequency https://pinboard.in/u:vivekarora/b:7164e2061eb7/ 2011-05-18T02:34:43+00:00 http://www.cis.upenn.edu/~mkearns/finread/impshort.pdf vivekaroraAlgorithmic_Trading Implemntation_Shortfall VWAP https://pinboard.in/u:vivekarora/b:b2f9e98fcc56/