Automated Trader Magazine Issue 39 Q2 2016
Featured in this issue
Trade Sizing under Uncertainty
Fractional betting for non-constant probabilities and payoffs
Timestamp Precision under MiFID 2
Compatibility matrix for timestamp data in different databases and runtimes
Gamma hedging & the underlying
Analyzing the potential impact of dynamic hedging by market makers
Tools and metrics to quantify the propensity to overfit
- Confidence intervals for the Kelly criterionTrade-sizing under constant probabilities and fixed payoffs is straight-forward. But having varying probabilities and payoffs introduces uncertainty into how much to bet and therefore requires additional inputs.
- The cloudCloud adoption is revolutionizing how technology businesses operate. The financial services industry has been slow in adopting it. Could this be about to change?
- The delay (or not) of MiFID 2 and the release (or not) of the Commission Delegated Acts for MiFID 2The biggest news in compliance this year is that MiFID 2 is likely to be delayed until January 2018. What are the implications?
- To spoof, or not to spoof, that is the questionSpoofers place orders with no intention to trade. They are accused of distorting the market. But if order books in mature markets do not contain information, why ban spoofing?
- Liquidity and quote fadingCommentators on electronic markets claim that liquidity can 'disappear in an instant'. Quotes, they say, tend to fade as soon as the market notices that there is a seller around. By Remco Lenterman
- Backtest overfitting in financial marketsSystematic traders are cursed by the tendency of strategies - and indeed even simple estimators - to overfit historical data. A group of university researchers provide an online tool to estimate the propensity to overfit, even for very parsimonious strategies.
- Timestamp resolution under MiFID 2Many production systems fall short of the new MiFID 2 requirements when it comes to handling and storing timestamp data. We look at the most commonly used systems and examine their suitability going forward.
- Option gamma: identifying levels of painThe increasing popularity of shorter expiry S&P 500 options has the potential to significantly impact the underlying market. Analyzing the hedging pressure of market makers can help to identify critical points.
- Market data considerations in a new regimeThere is an ever increasing need for market participants to improve returns and at the same time to manage risk. Yet these opposing forces are fraught with challenges.
- Is all trading now low latency?Tick-to-trade latency is not just about being fast. It's about being first.
- Regulation AT: What investment managers need to knowThe latest in a series of regulatory moves highlighting heightened scrutiny of automated trading came late last year with the CFTC's Notice of Proposed Rulemaking on Regulation Automated Trading (Regulation AT).
- The kerf time series database systemToday's automated traders have many difficult data and infrastructure problems that revolve around large and complex time series. - Increasingly, they turn to specialized tools to address these challenges.
- No SignalNo Signal is a regular column where we examine various snafus in the trading, particularly the automated trading world. We look at errors in application logic, mistakes by overzealous co-workers, failures in technology and temporary losses of power to both infrastructure as well as craniums. These all make for good stories that everyone can alternatively either learn from or be amused by. If you have a story that you think makes for a valuable lesson or is simply funny in a face palm moment kind of way, please get in touch with us at firstname.lastname@example.org. Naturally, we treat all submission with the highest confidentiality. We are only interested in the lesson value, or in some cases the humour value, and not in identifying involved parties.