Tag Archives: algo trading

Stability of Currency Markets to HFT

Last week @gappy3000 shared the Bank of International Settlements’ autumn 2011 assessment of the impact of high-frequency trading on foreign exchange (currency) markets. For the lazy, here’s a summary of the executive summary: HFT in FX operates on high volume but … Continue reading

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Stat Arb

The point of statistical arbitrage is to make markets consistent. For example, if GBP trades against USD at 2:1, and USD trades against JPY at 10 000:1, then GBP had better be trading against JPY at 20 000:1 !! ! Anything else wouldn’t … Continue reading

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GARCH stands for Generalized Autoregressive Conditional Heteroskedasticity. To translate, skedasticity refers to the volatility or wiggle of a time series. Heteroskedastic means that the wiggle itself tends to wiggle. Conditional means the wiggle of the wiggle depends on something else. … Continue reading

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This really puts my mind at ease as far as whether it’s an economically doomed strategy to pursue quantitative finance: The Efficient Markets Hypothesis is neither necessary nor sufficient for the Random Walk Hypothesis. Apparently the Cowles Commission was the … Continue reading

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No-arbitrage conditions are so often assumed in economics papers that they’ve come to seem magical.  As I read more books by arbitrageurs, the obvious has become apparent:  real people have the job of making financial markets equilibrate. Given that companies … Continue reading

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Should I buy this? (Source: http://www.amazon.com/gp/product/0821849743?ie=UTF8&tag=hiremebecauim-20&linkCode=as2&camp=1789&creative=9325&creativeASIN=0821849743)

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