Category Archives: Algorithmic Trading

A Study in Gold

I want to take a look at a trading strategy in the GDX Gold ETF that has attracted quite a lot of attention, stemming from Jay Kaeppel’s article: The Greatest Gold Stock System You’ll Probably Never Use (http://www.optionetics.com/market/articles/2012/11/28/kaeppels-corner-the-greatest-gold-stock-system-youll-probably-never-use). The essence … Continue reading

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Measuring Toxic Flow for Trading & Risk Management

A common theme of microstructure modeling is that trade flow is often predictive of market direction.  One concept in particular that has gained traction is flow toxicity, i.e. flow where resting orders tend to be filled more quickly than expected, while … Continue reading

Posted in Algorithmic Trading, ARMA, Direction Prediction, Econometrics, Econophysics, Forecasting, High Frequency Finance, Market Microstructure, Order Flow, Risk Management, Time Series Modeling, Toxic Flow | Tagged , , , | Comments Off

Master’s in High Frequency Finance

I have been discussing with some potential academic partners the concept for a new graduate program in High Frequency Finance.  The idea is to take the concept of the Computational Finance program developed in the 1990s and update it to … Continue reading

Posted in Algorithmic Trading, Econometrics, Education, Financial Engineering, Graduate Programs, High Frequency Finance, High Frequency Trading, Market Microstructure | Tagged , , , , , , | 6 Comments