Tag Archives: trading

Free Money

@isomorphisms: Higgs Boson Particle to be observed on/before 31 Dec 2012 = 68.0% @Intrade bit.ly/MP3Eo0 @isomorphisms: Higgs 2013 = 80%, Higgs 2014 = 85%, Higgs 2015 = 80.1%. Oops #EMH #arb There’s $2 three years from now sitting on the … Continue reading

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[T]his disparate level of penalties between the exchange (stiff penalty) and repo (basically no penalty) is precisely the play Deutsche Bank AG did in their Bobl squeeze in March 2001. They simply didn’t return the bonds they had reverse repoed … Continue reading

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We showed in Chapter 6 that side information Y for the horse race X can be used to increase the growth rate by the mutual information I(X;Y). We now extend this result to the stock market. Here, I(X;Y) is an … Continue reading

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XIV does not get you short the VIX. Not even close. (Source: http://www.youtube.com/)

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Mostly in finance we assume that we have the equivalent of a standard dice. That is, while we assume we don’t know what number will come up next, we think that we know the distribution of numbers perfectly. In fact … Continue reading

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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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