Algorithmic Trading

A Brief History Of Tail Risk: From LTCM, ABX, CDS, To VIX

"While I think valuations may be stretched, my bigger concern is that the real risk lies in market structure – more specifically to volatility and correlation strategies that quickly propagate through the financial markets with the aid of algorithmic trading..."

"Oil God" Andy Hall Blows Up, Closes Main Astenbeck Hedge Fund

Two years ago, we wondered how long the biggest oil permabull, Andy Hall, would last in an environment where oil prices refused to go up. Turns out the answer was about 2 and a half years, because moments ago, Bloomberg reported that Hall is shuttering his main Astenbeck hedge fund.

Risk... Is How Much You Lose When You're Wrong

"Historically speaking, such levels of exuberance have tended to have poor outcomes for investors who did not realize the level of 'speculative risk' that had built up in portfolios over time... This 'time' will not turn out any differently – it is just the 'timing' and the 'catalyst' that will be..."

FT's John Dizard Warns Of "Catastrophic Decline In Asset Values"

"Short term asset price declines have been reversed by the wall of money coming out of active investment managers and into the accounts of low-cost index products. But this comes at the expense of making the eventual decline in a broad range of asset values not just painful, but catastrophic."

Bob Prechter Warns Market Correction "Larger Than The Malaise Of The '30s" Looms

"Because people do not perceive their moods, tops and bottoms in markets sneak right past them. At the top, people will love the market, and events and conditions will provide them with ample bases for rationalizing being heavily invested... the degree of the corrective wave will be larger than that which created the malaise of the 1930s and 1940s."

FBI Arrests Former Susquehanna Trader For Stealing HFT Code

An HFT software developer and trader was arrested last Wednesday in New York for attempting to steal quantitative trading code from Susquehanna International Group, a secretive financial firm based in the Philadelphia area that specializes in making markets for options.