Themis Trading Blog

Be Wary of The Data

18

Nov, 2014

darkness

A new academic paper by Albert Menkveld  titled “Shades of Darkness: A Pecking Order of Trading Venues” caught our attention.  The paper looks to analyze how and when orders are routed based on cost and immediacy.  Here are a few main points from the paper:

-          The fragmentation of trading—between exchanges and dark venues, as well as across dark venues— is a double-edged sword. It creates a conflict between the efficient interaction among investors and investors’ demand for a diverse set of trading mechanisms.  

 -          We hypothesize that…
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If I Don’t Do It, Somebody Else Will; HFT in Advertising

17

Nov, 2014

bromberg

 

Never has so much been spent and invested towards the art of intermediation as has been spent in the last fifteen years. You know this of course from being traders in the stock market. Think about all the billionsinvested in: fiber networks under the seas, fiber networks through mountains, microwave networks, hardware – like this Cisco hardware, and of course the billions invested in technology by the stock exchanges, high frequency firms, and dark pools.

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Quote Stuffing The Gateway – How Exchanges Are Profiting From Manipulative Acts

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Do We Have Good Data? Elementary – Guest Post R.T. Leuchtkafer

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US Taxpayers Pay For SEC to Arrange Early Release of Data to High Speed Trading Firms

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Spoofing – Why Do Regulators Treat It Differently?

27

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The Canadian Cherry-picking “Anti-HFT” Payment for Order Flow Kaleidoscope

24

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What Really Happened in the US Government Bond Market on the Morning of October 15th?

21

Oct, 2014



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