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[Forum | Quant Network] Algo trading software went wild, lost $1M in one second | QuantNet ...: The documents, dated March, reveal that Infinium used an algorithm that was less than a day old to execute a "lead/lag" strategy between an exchange-traded fund called United States Oil Fund, which tracks oil prices, and the U.S. crude benchmark future, West Texas Intermediate.

[No Free Hunch] Mind Over Market: The Algo Trading Challenge 4th Place Finishers ...:  Like Chris and Anil, my first data mining contest was the Netflix prize, where I placed somewhere around 30,000th (the leaderboard doesn’t go past 1000, but what’s a few thousand places among friends).  Several years and many competitions later, I am lucky to rub elbows with the clever minds and talented folks on Kaggle.

[Econbrowser] Econbrowser: Oil prices and trading mechanics: Jim Brown offered these details on the oil trading: .There are features of markets -- trending and mean-reversion -- that enable both short-term algo traders and systematic trend followers to make money over time.

[PoliEcon] Optimal algorithmic trading and market microstructure: For the first three (single-asset, general multi-asseet and balanced portfolios) we will assume that the underlyings follow a Gaussian diffusion, whereas for the last two portfolios we will suppose that there exists a combination of assets such that the corresponding portfolio follows a mean-reverting dynamics. The optimal trading curves can be computed by solving an N-dimensional optimization problem, where N is the (pre-determined) number of trading times.

[MacroBusiness] Is there a bank worth buying? - MacroBusiness: The bank sector is unusually sensitive to the economic outlook firstly because the combination of private sector debt to GDP and government debt to GDP stands at all time highs, and secondly because the assumption that credit quality improves accounts for around 90% of estimated 2011 earnings growth and 35% of 2012 earnings growth in developed markets. Whatever the ultimate outcome of the Eurozone crisis, the bottom line to us is that the problems in the periphery economies, Italy and Spain, are potentially quite to very negative for the GDP outlook, may put further pressure on normal asset quality measures, and possibly set the scene for a “super severe” downturn in credit quality with unquantifiable spill-over effects.

[silveristhenew] John Embry – Conditions are Deteriorating at an Alarming Rate ...: With gold down $35 and silver trading $1.25 lower, today John Embry told King World News that current economic conditions around the world are deteriorating rapidly.  Embry, Chief Investment Strategist at Sprott Asset Management, also said that in the midst of these deteriorating conditions we are seeing aggressive manipulation.  But first, Embry had this to say about what is happening in the gold market:  “You are seeing gold take out some short-term technical support levels.  I guess the next one of significance is at $1,650.  If gold were to take $1,650 out, that would get more of the hedge funds and the algorithm traders shorting.”

[The American Scene - Main] So Simple a Caveman Could Do It | Subprime Freakout | Economics ...: – however, due to their market influences, the moment one of them stopped playing the game .This is, I think, a decomposition of the “external shock applied to monolithic algortihmic trading dominated market leads to collapse” into “external shock causes one particpant in monolithic algorithmic trading dominated market to .

[CSS Analytics] Improving Trend-Following Strategies With Counter-Trend Entries ...: The value of improving the performance of a short-term trend signal cannot be overstated because it allows you to better track the trend of the underlying with substantially less lag. As the SPY/S&P500 has become fundamentally mean-reverting since 1998, most traders have resorted to using longer-term moving averages and trend filters such as the 200sma or a golden crossover.

[Financial news - dabozzz.com] Published news upcoming news submit a new story groups ethics in ...: Great Video – Doyne Farmer: Macroeconomics from the bottom Up – an Agent Based Model for the Current Crisis – http:/ / bit.ly/ ooH0O8; High-Frequency Trading: Methodologies and Market Impact – http:/ / bit.ly/ qVX6a7; Credit Ratings ... Vikas Shah interviews Nobel Laureate, Edmund Phelps –; Cosma Shalizi Reviews “Algorithmic Learning in a Random World” by Vovk, Gammerman and Shafer – .... ST]); arXiv: a Mean-Reverting SDE on Correlation matrices.

[Fantasy Baseball Blog at Razzball.com] Fantasy Baseball Blog at Razzball.com | Shortstops To Target, 2012 ...: I like the balance he offers a touch better than Gordon’s elite single-cat potential, and their ADPs are similar (the Gordon hype machine actually seems to have him going a bit earlier in most drafts I’ve done), so Aybar’s been the SS I’ve most frequently found myself winding up with. I’m not a fan of the risk levels with Tulo, Hanley, and Reyes, won’t touch Andrus with a 10 foot pole and I’d need Castro or Asdrubal to fall a bit before I’d consider them, but I don’t have the cojones to rely on Cozart, though I do like him a lot too.

[The Official Klout Blog] A More Accurate, Transparent Klout Score « The Official Klout Blog ...: Since you are so defensive of Klouts new scoring model perhaps you can explain to me the following…In the last 30 days Ive had more unique mentions and RTs on Twitter than Ive had in my 3+ yrs on the site-My follower count has increased by over 500 through my my manual approval…my FB page has grown by over 200 with an even more visible increase in my unique likes and shares…my Soundclick music player link has received double the amount of plays in the last 30 days strictly from Twitter/FB sharing…yet all of my indices measured by Klout have gone down..and continue to go down….these are all “quantifiable online interactions” that are being measured correctly by other sites…I see you spending alot of time shooting people down with rhetoric that is not matched by factual response to legitimate questions…I challenge you to explain how this is possible in a way that is fact based…not based on your opinion…

[Locust blog] Omigod! NakedCapitalism and ZeroHedge discover ... - Locust blog: Now, I know that Yves Smith is aware of this web site, and it’s possible that Durden does as well, so you’d think that one of them might have given me some credit for saying all this for several years, but it’s typical of today’s nasty world that such a thing is impossible.

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