Edge

Derman’s Volatility Laughter notes

more trading platform: Tethys, Flextrade, and Portwrare (again!)

Academia run asset management firm: INTECH(robert fernhortz ~50b AUM), research(factor model, arbitrage& probability, stoch portfolio theory)

Headline risk, hedge fund blow-up->post here

glad to see some INRIA news

here is a glimp of what Tito is doing(notes Lo, ETF rotation, Peter Stone(see below) MM, VWAP scalping, HMM, auto gamma)

Interesting finding by tito, any reason why? here is a related bb news(gotcha!). leverage etf and reverse etf WSJ article, and paper (madhaven is with blackrock, author of ‘microstructure for practitioner’, and this review. oil ETF ft article.

Trade against broker’s execution algo would be another line of attack, havn’t seen much execept for the detect iceberg paper.

Wordle ->

Rama Count ‘ order book dynamics stoch model’, I’ve recommended his ts review paper before->paper

Tobias Preis has done some interesting modelling work (order book, corr structure) using GPU

James Str and one of their talk at CMU, CAML page

regime change, multi-strategy.

avellaneda’s stat arb got referred again.  and carlos alexandre’s book.

apply information theory to derivative pricing and fraud detection? paper.

you may find some interesting ideas here.