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Publication Name: Front-Run the Delta

Brief description: Arbitrage models, spread trading, model risk, market microstructure

Publication URL: frontrunthedelta.blogspot.com

Joined: December 17th, 2011

Activity

Front-Run The Delta wrote a new blog post titled Bringing some balance to HFT

This guy gets it.  There needs to be a more thorough conversation about HFT and its merits.  The same people fighting against HFT today would probably have protested new sailing technology in the 1700s. Embrace change.  It's the only constant.  
(1561 days ago)

Front-Run The Delta wrote a new blog post titled For anyone still on the subscriber list...

The blog is back up as a repository.    
(1563 days ago)

Front-Run The Delta wrote a new blog post titled Round the Clock Price Discovery: Evidence from Infosys and USDINR Futures

Infosys is dual listed in USD on the Nasdaq (INFY) and in INR on the National Stock Exchange of India (NSE) (INFY).  I do not have access to any spot INR facilities, however I do have available some NSE listed USD/INR futures.  These futures allow for the currency-adjusted value of either equity to be derived.  Similar price transmission studies have been discussed using prices from Glencore, RWE, Apple, and Sino-Forest, all four however using the spot FX as the pricing...
(1564 days ago)