Michigan Daily article on U.Michigan Consumer Sentiment Survey and HFT
quotes Uday Rajan, me http://michigandaily.com/news/university-participation-giving-data-high-frequency-trading-raises-questions
Author Archive for: sr-admin
Entries by AWP Administrator
Trading Faster than the Speed of Reality
My guest column on TechCrunch.
Michigan Sells 2-Second Advance Version of Consumer Confidence Survey
The University of Michigan and Thomson Reuters are getting a lot of heat from recent reports about a million-dollar deal whereby Michigan releases a data feed with survey results a full two seconds before the results are available to select Thomson clients—who in turn get it five minutes before the public. I do not know […]
Off to Sarawak (Malaysian Borneo)
Giving a keynote at PRIMA 2012.
The Microsecond Market
IEEE Spectrum has a nice feature article (written by David Schneider) in their June 2012 issue about high-frequency trading and the latency arms race in particular. The article quotes me advocating discrete-time markets.
Going to Liverpool
Visiting the CS dept, will talk about EGTA for Canonical Auction Games.
Trading Agents lecture published
Morgan & Claypool has just published my volume Trading Agents, in its “Synthesis Lecture” series. Check out the description here.
Market Reductions
Last month, Ye Du defended his dissertation in Computer Science at the University of Michigan. His thesis included several interesting contributions at the boundary of economic and computational theory, for example regarding the complexity of equilibrium computations, connecting game theory and general equilibrium. One particular result I found interesting was a reduction from Markov chains […]
Threads of Research on Generic CDA Strategies
Research on trading strategy for generic continuous double auctions (CDAs) seems to take place on four parallel and minimally interacting threads. By “generic CDA”, I mean models of two-sided continuous trading of an abstract good, as distinct from strategies for predicting movements in financial markets. 1. Auction Theory. The static or one-shot double auction is […]
Technology Enablers of Latency Arbitrage
Ralph Frankel, CTO of Solace Systems, has a fascinating article on the technology for shaving microseconds and milliseconds off the market-response time they can achieve for high-frequency trading functions. He classifies “tricks of the trade” into five categories, each incorporating sophisticated specializations that combine to provide a significant edge. (And aptly labels this latency arbitrage, […]