Tag Archives: hedge funds

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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market makers are normally paranoid that the other side of the trade “knows” what is going on and that it is a pickoff. as a market maker, you think “what can i do against this that makes sense?” so you … Continue reading

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With the the increasing availability of complicated alternative investment strategies to both retail and institutional investors, and the broad availability of financial data, an engaging debate about performance analysis and evaluation is as important as ever. There won’t be one … Continue reading

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[A] strong case can be made for the [random walk hypothesis]… This market view is supported by the fact that the vast majority of mutual funds fail to beat the broader market year after year, and history shows us that … Continue reading

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The Biggest Middle Finger

“What I have learned about the hedge fund business is that I hate it.”  I was in this game for the money. The low hanging fruit, i.e. idiots whose parents paid for prep school, Yale, and then the Harvard MBA, … 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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μ d𝓽 + σ dW𝓽, my #$$

μ dt + σ dWt, my #$$ The simplest model of a stock price movement is that the log of the price moves in a direction, plus some noisy drift (like adding a Gaussian W𝓽 at every timestep). Agustin Silvani … Continue reading

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