Automated Trader Magazine Issue 41 Q4 2016
Featured in this issue
Linking underlying returns to IV Dynamics
An analysis of the casual relationship between changes to S&P 500 and VIX
The future of dark liquidity in Europe
How MiFid 2 will signicantly reshape trading in dark pools
Engineering software for low latency
Applications that are latency sensitive require a different programming mindset
Regulation AT: Next steps
The CFTC and its recent supplemental proposal on Regulation AT
- Automated trading in IndiaIndia's securities market regulator, the Securities Exchange Board of India (SEBI), has released a discussion paper on proposed regulation in the algorithmic trading/high frequency trading space.
- What I've learned building low latency systemsSoftware development for low latency trading tends to be shrouded in mystery. Development practices are often wrapped in layers of computational alchemy that tend to be impenetrable to outsiders. The industry rarely gives insights, even though it borrows heavily from other sectors to drive its own progress.
- The future of dark liquidity in EuropeThe dark trading landscape faces fundamental change once again. The changes in MiFID 2/MiFIR, including dark volume caps, will profoundly affect most dark trading activity, fundamentally altering how institutional investors interact with hidden liquidity.
- Fetching market data into Excel using PythonMicrosoft Excel is the 'go-to' solution for data manipulation and analysis in finance. However, it lags behind the reality of how data, particularly financial or trading data, is consumed in the age of the Internet. Here is a simple, yet powerful way to enable Excel to work with a wide variety of financial databases and sources.
- A novel and quantitative perspective of the SECQuantitative analysis of speeches by the Securities and Exchange Commission (SEC) to categorize topics shows that regulators focus too often on issues of disclosure and transparency rather than on issues of market architecture and design.
- Supplemental proposal to regulation AT: What traders need to knowSupplemental Proposal to Regulation AT: What Traders Need to Know by J.P. Bruynes and Libbie Walker. The CFTC is revisiting some of its most controversial proposals on regulating algorithmic trading, most notably which market participants will be subject to regulation and CFTC access to proprietary source code.
- What is an algorithm? Financial regulation in the HFT eraRegulators are increasingly concerned with automated trading and its potential risks. Can they learn something from the algorithm tagging rule in Germany's High Frequency Trading Act?
- High frequency trading: Reaching the limitsThe tremendous growth in high frequency trading (HFT) seems to have reached its limits in recent years. Massively increased costs for infrastructure and relentless competition are probably to blame.
- The causal relationship between S&P 500 and VIX Index changesThe level of the underlying, the shape of the volatility surface and the links between them affect the dynamics of the VIX. The question is how to quantify these relationships.
- No SignalNO SIGNAL is a regular column where we examine various snafus in the trading, particularly the automated trading, world. In 'No Storage For You' Uri Stocks considers the dangers of being penny wise, pound (or Euro) foolish when it comes to Xetra data storage. And in 'Sellers Only' - what happened on Borsa Istanbul when Buy and Sell translated into Sell and Sell. 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.