point

 

 Remember me

Register  |   Lost password?










All site blogs

Things worth reading: 18th May 2012

May 18, 2012 by skinnercm   Comments (0)

Things we're reading today include ...

read more...

Blog Post: Falkenblog: Ira Sohn Conference Results

May 18, 2012 by MoneyScience   Comments (0)

I wasn't really aware of the Ira Sohn Conference, but some very big names were there. As Richard Posner pointed out, however, intellectual reputation invariably lags achievement, so the biggest names almost by definition are over the hill. A great example of this was Ronald Coase, who remarked upon winning the Nobel Prize in 1991, "it is a strange experience to be praised in my eighties for work I did in my twenties." In any case, last year's recommendations generated an average return...

, , ,

Published / Preprint: Price manipulation in a market impact model with dark pool. (arXiv:1205.4008v1 [q-fin.TR])

May 18, 2012 by MoneyScience   Comments (0)

For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus on a class of dark-pool models whose market impact at the exchange is described by an Almgren--Chriss model. Conditions for the absence of price manipulation for all...

, , , ,

Published / Preprint: Penalty Decomposition Methods for Rank Minimization. (arXiv:1008.5373v3 [math.OC] UPDATED)

May 18, 2012 by MoneyScience   Comments (0)

In this paper we consider general rank minimization problems with rank appearing in either objective function or constraint. We first establish that a class of special rank minimization problems has closed-form solutions. Using this result, we then propose penalty decomposition methods for general rank minimization problems in which each subproblem is solved by a block coordinate descend method. Under some suitable assumptions, we show that any accumulation point of the sequence generated by...

, , , , ,

Blog Post: rob_daly: How Sacrosanct is Matching Engine Design?

May 18, 2012 by MoneyScience   Comments (0)

Since covering the electronic trading markets for more than a decade, convention wisdom on matching engine design has been keep it simple, scalable and dedicated to matching. Any other ancillary functions should hang off the engine but not incorporated into the engine.read more...

Capitalizing on Data without Doing the Dirty Work

May 17, 2012 by Jenz514   Comments (0)

Derrick Harris reports that as data continues to explode, business owners don’t need to rush back to school for a degree in Big Data analytics in order to capitalize on it. He writes, “Machine learning is high data science — a discipline focused on algorithms that automatically detect complex patterns hidden within datasets — and it’s fast becoming something that anyone leverages to sell more handbags, or solve a research problem, or build the next LinkedIn or Facebook… If you’re a small business or maybe even an individual, you need something easier. You need something in the cloud. And you need someone else to handle the hard parts.” continued…

read more...

, , , , , , , , ,

Kapow Partners with Informatica

May 17, 2012 by Jenz514   Comments (0)

Kapow Software has partnered with Informatica to provide Big Data solutions. According to the companies, “The partnership introduces Informatica PowerExchange for Kapow Katalyst which will be made available as part of Informatica 9.5 announced at the Informatica World 2012 user conference this week. Informatica PowerExchange for Kapow Katalyst harnesses the power of web, cloud applications and social media, and enables IT to quickly access and extract relevant information from the long tail of disparate data sources.” continued…

read more...

, , , , , ,