Berkeley CIFT 

trading the news

Inevitably one of the first ideas people have when they start thinking about how to write a trading algorithm turns out to be among the hardest: tr...

first the Doors and now Michael Lewis

This afternoon I read by far the best and most interesting article yet on “The End” of wall st by Michael Lewis.  Of course, as I was r...

Every sunken ship’s got a room full of charts

I came across this gem of a quote in a comment on the big picture and it reminded me, somewhat circuitously, of another one of the things I view as...

beyond the bull puppet

Normally I spend my design-oriented thoughts on object models - when I’m working on StratBox  - or about volatility, latency, executions, ...

why they exist: regime-switching models

making the spread

I’ve written here about exchange simulation in service of back-testing trading algorithms and briefly mentioned the difficulties of simulatin...