Trading Systems

The Market Wizard's Wizard - An Interview With Jack Schwager

"...someone with a great risk-adjusted return might have employed a strategy of selling way out-of-the money puts on equities since late 2008. That strategy would have produced great return/risk performance, almost like a money machine, but the trouble is that type of strategy also embeds a large tail risk. So even though the track record of this strategy would show low volatility, there would be the risk of catastrophic losses... Ironically, many strategies with low volatility are the most susceptible to event risk.

"Panicked" Citi Trader "Who Fired Off Repeated Sell Orders" Behind Pound Flash Crash

A probe into October’s sterling "flash crash" has focused on the Japanese trading operations of Citigroup, which fired off repeated sell orders that exacerbated the pound’s fall. One of the US bank’s traders "panicked" and placed multiple sell orders when the currency slumped in unusually fragile market conditions.

Trading For A Living

"...you have a choice to make. If you treat trading as a hobby... remember hobbies cost money... If you want to make money in the market then you need to make the commitment to trade with a professional mindset...the hobbiest has doesn't have much of a chance to make money."

Do You Believe In QE Miracles?

"This is a very artificial market," warns Allianz' Mohammed El-Erian, and while markets are expecting an ever increasing pace of central bank buying of assets, their policies are no longer working...

What DOJ Probe: Citadel Acquires Electronic Trading Pioneer ATD To Cement HFT Dominance

Less than a week after Reuters broke the story that the Department of Justice is probing HFT powerhouse Citadel, which admits it executes 35% of all trades by retail investors in U.S.-listed stocks, whether it is also frontrunning those orders (an allegation that many are convinced is a rock-solid fact) we find that billionaire Ken Griffin is not at all concerned about the outcome of the investigation on his core business model and is instead expanding. Citadel is acquiring the equity-trading operations of Citigroup’s Automated Trading Desk division, one of the pioneers of high-frequency trading.

DOJ Probing Whether Citadel Is Frontrunning Its Clients

We were not surprised, though certainly delighted, to see that after years of railing against Citadel's dominant position at the intersection of HFT trading and retail orderflow - recently Citadel was found to be the largest private US trading venue - this morning Reuters reports that Federal authorities are investigating the market-making arms of Citadel LLC and KCG Holdings looking into the possibility that the two giants of electronic trading are giving small investors a poor deal when executing stock transactions on their behalf. In other words, the DOJ is looking into whether Citadel is frontrunning its clients, something we have claimed for years.