CASTrader Blog

New Blogs I read

Everytime I turn around, I find new and interesting financial/quant blogs, like over the past few days when I caught up on the backlog of 5000 or so posts jammed up in my RSS reader.  It's good to see what others are up to, and there continues to be a relative explosion of activity of people sharing information.  In no particular order:

Enhyper - "Financial Engineering, High Performance Computing and Data Visualisation."  Posts include: A Design Pattern Template for High Performance Messaging, Elements of High Performance Computing, A Lesson in Simplification: Heuristic methods, Genetic Algos and NP Complete Problems, News Analysis for Program Trading, Grid Computing Slowly Falls from Grace.

One Unified - This is a multipurpose site by Ray Burkholder with a blog that includes some posts on programming-, quant- and trading-related stuff.  Posts include:  Opportunities for High Frequency Traders, Trading Sites of the Day -- ETFs, Day Trading, Short Time Periods, and Futures Trading.

Minds and Markets - Khurram Naik is a researcher at Northwestern University and former futures broker.  Posts include: The ontological role of derivatives, What are the futures markets for?  and Behavioral Economics: A Primer.

Nerds on Wall Street -  A hopefully not dead blog by "Longtime financial markets AI geek" David J. Leinweber.  Posts include:  Stupid Data Miner Tricks, Algo vs. Algo,  and Information Driven Price Moves: A Case Study.

The Aleph Blog - by David J. Merkel, a commentator at RealMoney.com and senior investment analyst at Hovde Capital.  Posts include: For Wonks Only:  The Math of Volatility-Mean Reversion, and More Slick VIX Tricks.

The Financial Whiz - "Investment Strategies using Options, Currencies, and ETFs" by Brian Moore, a senior Finance Major at the Indiana University of Pennsylvania (yes there is such a place).   Posts include the Chinese Yuan Carry Trade Basket, Investment Strategies Carnivals, and How to Create Synthetic FOREX Currency Trading Pairs.

Neural Market Trends - "Using Neural Nets and AI to model trends in the markets." by Thomas Ott.  Posts include: When Traders Blow Up,  Understanding Fuzzy Trend following in EXCEL, and Backtesting the S&P500 Volatility Timing Model.   

More finance and quant blogs here and here.

Machines in the Market Linkfest & Blogs

Day Trading on Steroids: He's seated amid 24 computer screens, each of which flashes hundreds of numbers. Vos points out the one that matters: a line chart that shows he's made more than $5,000 after rapidly buying and selling millions of shares of stock. ... "I saw the world of computers and trading converging," Cummings said. "So the idea was really to just create a robot that traded like a pit trader." ... Cummings doesn't think his idea is unique. Instead, he was uniquely positioned to execute it -- he could code software with a trader's mind. ...Rizzello said he thinks Tradebot is one of the Nasdaq's top 10 traders, by volume.

Alea, a new to me blog, is all over Tradebots, and it's successor, BATS.  More from Alea:

Market Effects of Autodealing
High Frequency Automated Trading
Algorithmic Arms Race
Algorithmic Arms Race [2]

Chips with everything for traders:  This particular program, he says, is actually a modified version of a previous one he wrote for the Norwegian ministry of defence that could be used to track down nuclear submarines in the murky waters of the fjords...."One has some notion of what kind of sounds a sub can make and we try to spot this sound among an ensemble of signals," he says. "This works on the same principle - it is very much like eavesdropping on one specific conversation in a noisy crowded room. But I'm not going to tell you any more than that."...Computerised trading of one kind or another now dominates London's financial markets. At least 50 per cent of the trades made in FTSE100 stocks originate from so-called "black-box" trading systems, or trading algorithms. Some investment banks put the figure nearer 60 per cent.

The smartest (or nuttiest) futurist on Earth: Kurzweil says he is applying Simons-like quantitative analysis to take advantage of market inefficiencies. And he's confident that, just as he trained computers to recognize patterns in human speech or the sound of a violin, he can do the same with currency fluctuations and stock-ownership trends. The ultimate goal is to create the first fully artificially intelligent quant fund - a black box that can learn to monitor itself and adjust. Although he started the company back in 1999, the fund has only been trading for about a year....How's he doing? Kurzweil won't say, citing SEC rules, nor will his investors. "I view Ray as one of the best pattern-recognition people in the world," says Khosla, when asked why he put money into FatKat. "I am a happy investor in Ray's company. A very happy investor."

Blogs with a quant/machine trading focus:

Tales from a Trading Desk

Dinosaur Technology and Trading

Magmasystems Blog

Coding the Markets

Chris Donnan: Programming - Brooklyn Style (you gotta love that title)

Last, but not least, another new to me blog, Zero Beta, takes a skeptical view of machines in the market:  "By handing over power and money to machines left unchecked we may be setting ourselves up for an ugly scenario.  What if they are THAT good?  What if they can learn? A mild result would be a lack of interest in the financial market system from the ordinary investor.  If expected returns go negative – much like a casino, you will see much less investment and much more hording of money.  There will always be the gamblers but those with the best machine will always win – I believe they are called the house at the Borgata."

Update:  C++ Trader links a Bloomerg article on AI and trading and has some thoughts.

Computer-guided stock trading reaches levels undreamed of in sci-fi: "In his cubicle overlooking the trading floor, Kearns, 44, consults with Lehman Brothers traders as Ph.D.s tap away at secret software. The programs they’re writing are designed to sift through billions of trades and spot subtle patterns in world markets.  Kearns, a computer scientist who has a doctorate from Harvard University, says the code is part of a dream he’s been chasing for more than two decades: to imbue computers with artificial intelligence, or AI."

Other People's Money Blogs

This post is long overdue, but it's better late than never to spotlight some of the blogs I read, in no particular order:

The Big Kahunas of the financial blog world (imo): The Big Picture and the Kirk Report, both of which linked to me a few weeks back.  A belated thanks, guys.  Both are very popular for many reasons. Ticker Sense is the blog of Lazlo Birinyi's firm - their graphs are typically worth a thousand words.

Brett Steenbarger's TraderFeed - Trading psychology guru and lots of market analysis deep into the mechanics of the market.  His weblog is chock full of interesting links.

C(omp)++ - Quant oriented computation - need I say more?

CXO Advisory - excellent summaries of applicable financial research.  Nearly every article is a must-read, imo.

Midas Oracle - Chris Masse's blog is a humorously provocative firehose of information on the prediction markets.  It's a community blog where Chris graciously invited me to be a guest author, and I've written a post on traders and the prediction markets and moi.  Someday in the not too distant future, I hope CASTrader will hook into prediction markets.  Until then, I'll just write about them there from time to time like I know what I'm talking about.

FINTAG - Adventures, commentary and opinions of a UK-based (soon to be ex?) hedge fund manager.  All About Alpha is a Canadian who appears to be tapped into the bleeding edge of the hedge fund world.

Ken's Nonsense - a misleading new blog title, because posts are anything but.  By a former math professor turned computer engineer/trader.

Lloyd's Investment Blog - Low volume, but interesting research.

Michael Covel - Author and trend follower - good links from time to time, plus he interviewed with Lindsay - what more could a blogger aspire to?

MoneyScience - Another relative firehose of information, with plenty of quantitative finance and science mixed in - a must read.

The Quants: QuantInvestor, World Beta and Quantitative Trading.  Must reads all.

C++ Trader - a new blog by Mathew Henry who works at a "boutique investment bank" and whose blog title says it all.  Mathew, along with Rod at Perfectly Reasonable Deviations (another blog I read religiously and link to often) nominated this blog for the Thinking Blogger Award, for which I am very honored.

The Park Paradigm

Herb Greenberg - There's $$$ hidden between the lines of some of his posts, as I can certainly attest.

Wall Street and Technology - Always nice to know how the big boys and girls do it.

Yaser Anwar - new to me, but good stuff from a range of perspectives.

Portfolio Analysis.  Very new, but looks like it will be a good one based on the articles so far. 

plus a couple of quant boards for good measure:

Nuclear Phynance

Elite Trader