Automated Trader Magazine Issue 40 Q3 2016
Featured in this Issue
Market Reaction to Insider Purchases
Capturing price movements after Form-4 releases in US equity markets
Hacking Korean index options
How low-level engineering eventually led to success in market making
Precision timing on Windows
Synchronization benchmarks in the Microsoft Windows Universe
Trading realized variance
A look at how to generalize variance trading using listed options
- Capturing the reaction to insider purchasesVisibility into insider trading (or director dealing) is important to market participants. Studies have consistently shown insiders' trades are informed and followed by significant abnormal returns. Consequently, market participants race to follow insiders who make unexpected moves.
- Hacking Korea: The accidental HFT firmNecessity is the mother of invention. This is true in all areas of life, including the domain of high frequency trading. Discover how some impressive hardware and software engineering over the years led to capturing significant market share in KOSPI options.
- Software development and the SECWhile the CFTC is still mulling over 'Regulation AT', the SEC has quietly been putting in place its own regulations on automated trading. This brings big changes to developers working on cash equities and bonds in the US.
- Precision Timekeeping on WindowsMicrosoft Windows has long been the ugly stepchild when it comes to precision timekeeping. Once upon a time, this reputation was deserved, but it is obsolete nowadays. Modern kernels coupled with third-party timekeeping programs now make Windows highly competitive. We let the data speak for itself.
- Reducing the lag of exponential moving averagesMoving average-based filtering techniques bring much needed smoothing to noisy time series. But they do so at the unavoidable cost of an introduced lag. There are a number of ways of trying to mitigate this. One approach, aptly called 'twicing', is to simply add the lag itself back into the equation
- Trading realized variance using listed vanillasListed futures on VIX and its cousins give exposure to implied variance. But getting exposure to realised variance is very different and usually has been the realm of OTC variance swaps. Here we examine strategies to trade the realised variance using only listed instruments, with simple time-independent formulas not requiring models such as Black-Scholes.
- Shining Light on new Dark Pool RegulationsDark pools used to be places for large block trades where institutions could transact significant deals away from prying eyes in order to prevent information leakage. However, the average trade size has come down to rival that of lit venues and regulations are adapting to the fact that dark pools are starting to look like just another exchange.
- 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 facepalm 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.