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Front-Run The Delta's Blog

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Bringing some balance to HFT

April 7, 2014 Comments (0)

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.  

For anyone still on the subscriber list...

April 5, 2014 Comments (0)

The blog is back up as a repository.    

Round the Clock Price Discovery: Evidence from Infosys and USDINR Futures

April 4, 2014 Comments (0)

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...

The Long, Dark Road Ahead

November 7, 2012 Comments (0)

Given last night's events, I'd like to make a few notes about an excerpt from Rand's Atlas Shrugged, collectively known as Francisco's "Money Speech". In light of the "redistribution of wealth" and the acceptance speech last night, I feel the need to draw some comparisons. [Please note - the following are ALL quoted from Atlas. I take no credit.] "Money is the material shape of the principle that men who wish to deal with one another must deal by trade and give value for value. Money is...

October 11 Webcast: The Global Outlook for Crude Oil

October 10, 2012 Comments (0)

FYI: The Global Outlook for Crude Oil Date: Thursday, October 11, 2012 Time: 11:00 am EDT | 4:00 pm BST | 11:00 pm HKT Duration: 60 minutes Abstract: As the end of 2012 draws closer, the crude oil market is entering the late stages of the commodity cycle. Despite political tension in the Middle East and monetary policies such as quantitative easing, the fundamentals still point to an increased risk of falling prices for crude oil. In this Webcast, Bloomberg Industries analyst...

Crude and Gasoline Forward Curves

September 11, 2012 Comments (0)

Global crude and gasoline benchmarks remain backwardated.  Crude Gasoline

Opalesque TV interviews volatility fund Maple Leaf Capital

August 21, 2012 Comments (0)

Description: Subduing the enemy: The Ins and Outs of Volatility Trading Michael Wexler is Chief Executive Officer and Co-Founder of Maple Leaf Capital. Opalesque BACKSTAGE video Michael Wexler says Volatility is the enemy of most investment strategies, which generally do better in rising than falling markets. Veteran volatility trader Michael Wexler from Maple Leaf Capital explains how investors can actually profit from volatility by employing strategies that make more money in higher...

Back to Microstructure: ETF Securities USD and EUR Coffee Offerings

August 5, 2012 Comments (0)

ETF Securities (ETFS) offers a multitude of dual-listed commodity, currency, and index ETFs.  This is a brief study of three of those securities designed to track the DJ-UBS Coffee Sub-Index.  ETFS offers a German-listed, Euro-denominated security under the ticker OD7B; an LSE-listed, US dollar-denominated security under the ticker COFF; and a French-listed, Euro-denominated security under the ticker COFFP. The cash EUR/USD was used for price discovery and all prices were recorded...

On global freight, network theory, and microstructure

July 24, 2012 Comments (0)

There is a strong similarity between the microstructure of high-frequency arbitrage and the vast network of global, national, and local dry and wet freight.  ICE and NOS exchanges offer physical and financially settled freight derivatives to manage freight risk when operating on a global physical scale.  These forwards provide a basis for pricing physical spreads between terminals and ports.  Cross market arbitrage uses currency as a general medium of price...

Urals buyers showing up at Primorsk for late July loading windows

July 21, 2012 Comments (0)

This is my new favorite hobby. Primorsk is busy again.  The tanker in the middle of the screen is the Minerva Alice, which I will be watching for the next few days and hope to post about.  It is currently en route to Rotterdam and at full capacity (13.9m draught). via Reuters, 2 July 2012: But they added that Surgut sold three July Urals cargoes from the Baltic Sea port of Primorsk with a July 22-23 stem selling at a premium of around 15 cents to dated Brent, a July 24-25...