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core arb
FIX interface? Cloud computing looks to have turned yet another interesting corner. This time the turn leads towards the development of a liquid, fully electronic new marketplace in “spot instances”....
View Article“the SEC made Madoff”
Bill Harts, a friend of mine who has, as they say, forgotten more about electronic trading and market structure than most will ever be burdened by, has recently taken an interest in the public letters...
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dingbat kabuki
Like many Americans, last night I dutifully switched on my TV at 9pm to see the State of our Union. Always a spectacle, America’s leadership have upped the surreality ante with the bizarre backdrop...
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Kooderive
photo by Simon Rogerson Some time back, I’d written about NVidia’s CUDA noting that it looked ideal for many asset-pricing and monte-carlo type problems in finance. At the time, I was hopeful that it...
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transitions
Today we return to our series on regime switching and the topic of managing portfolios of strategies. In particular, we build on the examples illustrated in sensitivity testing and steppin’ out, in...
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lock free
One of the recurring technology themes in these pages has been the ongoing and dramatic move from single to multi-core systems and the need to seriously increase the parallelism in our software...
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basic economics of an algorithmic trading startup
or: how to quit your job to riches! Recently I had a thought-provoking email exchange with a reader of this blog. It was with a fellow who wanted to startup an algorithmic trading business and was...
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pairs portfolio
People have asked me how I go about implementing a strategy in Stratbox. While I’ve illustrated a good number of strategies running in Stratbox in these pages, I’ve never walked through a non-trivial...
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head in the clouds
or: scaling with elastic map-reduce Between a rapidly evolving compute environment in which cores are multiplying like springtime rabbits, and a business domain in which the fecundity of market data is...
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into a pool, darkly
photo credit: Jochen Abitz @flickr This past spring I was compelled to rejoin what one of my former partners had longingly referred to as “civilization.” The process of rejoining the civilized was...
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