Entries by AWP Administrator

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, […]