A few days back I was browsing my tweets when I ran across this one from @news.yc: “How I made $500k with machine learning and high frequency trading” (link to actual post here, link to news.yc discussions here) “Oh, this might be interesting”, I though to myself. So I clicked the link and started reading.. […]
Some time ago I posted about the topic of my dissertation. There were some interest in getting access to the report when it was completed, and I’m glad to say that it’s finally done. So if you want to go straight to the details, here’s the link: The profitability of technical analysis in a high frequency […]
UPDATE: The report has been completed, available here. One busy month behind me, and another one up next. Currently doing exam revisions and had some rather time consuming coursework so far, which has sadly prohibited me from doing anything here on this blog. So, to make up for a month of no blog activity I’ll set aside […]
So I’ve been trying to push my self into writing a book review of “High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems”, written by Irene Aldridge. But I’m not really a book review kind of guy, so I’ve been putting it off. It’s been ages since I last wrote a book review, so I thought I would link to a few reviews and then give a few notes instead.
In general I view this book as an intro book. It eases the readers journey by starting out with the evolution and business aspects of HFT, before diving into the more technical parts. It also has a metric ton of references throughout the book for those interested in a deep dive.
On my way home from work today, the front page on the news paper Dagens Næringsliv caught my attention. It says “Tiltalt for å ha lurt aksjerobot”, which translates to something like “Prosecuted for having fooled shares robot”.
So what is this? Socialism on a stock exchange? Poor bot owner, who had a non-optimal sub-performing algorithm that lost them money? Or are the people at Oslo stock exchange just not getting high frequency trading, or not liking it? Or are they loving the high volume that algorithmic trading might bring them so much that they try to protect the big fishes?