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New York Times Letter to the Editor: Automated Stock Trading - Cameron Smith's blog - High Frequency Trading Review

October 20, 2011 Comments (0)

An open letter to the New York Times from Cameron Smith, President of Quantlab Financial and Richard Gorelick, Chief Executive of RGM Advisors, about a recent article entitled "Clamping Down on Rapid Trades in Stock Market". Mr Smith & Mr Gorelick believe that the NYT article perpetuates misunderstandings about modern professional traders, and they point out that professional traders consistently support steps aimed at improving the integrity and performance of our modern electronic...

MiFID 2 – The script for part two of the integration of European markets in financial instruments

October 20, 2011 Comments (0)

London, 19 October 2011 Deutsche Bank Research: Tomorrow, the European Commission will publish a proposal for a Regulation (MiFIR) and a Directive (MiFID 2) that will extend what is currently regulated by the existing Directive on markets in financial instruments (MiFID). The existing MiFID created a regulatory framework for investment services in the EU. Some of the new proposals are necessary considering changed market circumstances. Others are at least worth discussing regarding their...

Clear and present danger [HFM Week]

October 20, 2011 Comments (0)

Proposals for a tax on financial transactions have been on the periphery of the political agenda for a while. But with renewed support for the tax from the EU President, it may be time for the hedge fund industry to seriously consider the impact of such a measure Amid the flood of post-2008 industry regulation, proposals for a new Europe-wide tax on all financial transactions had gone by largely unnoticed until last month. EU president José Manuel Barroso’s speech in support...

Proposed Algorithmic Trading Obligations Under MiFID II â What Are the Implications?

October 14, 2011 Comments (0)

I finally managed to get hold of the latest “final” draft of MiFID II (195 pages) and MiFIR (59 pages) yesterday. Various versions of these documents have been floating around the City in recent weeks, but I’m reliably informed that what I’m looking at is pretty close to the official version due to be released next week, some time between the 17th and 21st October.read more...

Guy Debelle: High frequency trading in foreign exchange markets

October 14, 2011 Comments (0)

Address by Mr Guy Debelle, Assistant Governor (Financial Markets) of the Reserve Bank of Australia, to the ACI High Frequency Trading Conference, Sydney, 12 October 2011. Thanks to the participants of the BIS Working Group who  all made significant contributions to the report, and James O’Connor and James Whitelaw for helpful comments.  High Frequency Trading (HFT) is somewhat of the bête noire of financial markets at the moment. It has been blamed for many...

Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility (Szafarz)

October 12, 2011 Comments (0)

Abstract: When a financial crisis breaks out, speculators typically get the blame whereas fundamentalists are presented as the safeguard against excessive volatility. This paper proposes an asset pricing model where two types of rational traders coexist: short-term speculators and long-term fundamentalists, both sharing the same information set. In this framework, excess volatility not only exists, but is actually fueled by fundamental trading. Since fundamentalists use buy-and-hold investment...

Alpha Representation for Active Portfolio Management and High Frequency Trading in Seemingly Efficient Markets (Cadogan)

October 12, 2011 Comments (0)

Abstract:  We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timing based on behavioral transformation of the hedge factors design matrix. Second, we find that the typical trade strategy process is a local martingale with a...

Discussing "The Fear Index" With Robert Harris on Radio 4

October 12, 2011 Comments (0)

Yesterday I was given the opportunity to discuss Robert Harris's new novel "The Fear Index" with the author on BBC Radio 4's Today programme.read more...

Welcome to the All-New HFT Review

October 12, 2011 Comments (0)

We are delighted to announce the launch of our new version of the HFT Review website, the first dedicated socially-enabled online publication for the high frequency trading community.read more...

High-frequency trading in the foreign exchange market: new report from the Markets Committee [BIS]

October 12, 2011 Comments (0)

27 September 2011 The Markets Committee today released a report entitled High-frequency trading in the foreign exchange market. The report was prepared by a Study Group chaired by Guy Debelle, Assistant Governor of the Reserve Bank of Australia. The report examines the facts about high-frequency trading (HFT) in foreign exchange (FX), including its definition, effect on other market participants, behaviour in normal and stressed times, and key differences compared with HFT in equities. It...