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Into the Algorithms
...traders, program traders, index arb traders. Every trader has access. So, we get suggestions from these people that we are looking to test. We then take the internal flow and...
The Sudden Success of Program Trading: Does a new trend mean the demise of...
...a lot to change cultures in a hurry. So will unprecedented volatility. For example, back in the mid-1990s, the S&P 500 index could go some two years without rising or...
Program Trading Upheaval
...program trading involved stock index futures and options arbitrage. Index arbitrage was blamed for the crash of 1987. But today, another kind of program trading – portfolio or basket trading...
Extension on Trade Through
...quotes of other participants when the expected price improvement would not be significant," according to the SEC order. The exemption, which permits trade throughs in the Nasdaq 100 Index ETF...
Nasdaq on the Rebound
...most financial markets, not just stocks, but industry groups and the ratios of groups to an index, go through deviations from trend-and sometimes extreme deviations from trend, in the case...
Quants in the Steel City
...passive accounts. It uses ETFs to equitize cash in active accounts. The firm trades index futures in similar situations, but no single-stock futures or options on ETFs. New products get...
Program Trading Prospers: Quietly, Traders Become Techies in Game of Computers
...speeds up executions. Fair value arbitrage of the S&P500 futures, versus an S&P500 cash index replication using some 10 percent of the underlying stock, is a relatively simple example. This...
Gates Are Down On Market Close Orders
...an important one for many organizations. Index publishers, such as Standard & Poor's, use it to determine index values. Mutual fund complexes use it to determine their net asset values....
Stern Warning for Triple Witch
...sessions, which happen once a quarter when the Nasdaq-100 Index is rebalanced. Some Nasdaq members – using strategies such as spraying' and pounding' – are taking advantage of the rebalancing....
Beyond the Bubble
...in 1906, sank 48 percent and didn't recover for a decade. After the 1916 peak, the index plunged 56 percent, and took nine years to recover. Then, of course, came...
