Links – late July

First post with my Android, so there are some minor items that need polishing – mainly how to embed links. It’s a complicated process, compared with MS Word and Windows.

In any case,  there are couple of fairly deep pieces here.

Enjoy.

A detailed exposé on how the market is rigged from a data-centric approach

We received trade execution reports from an active trader who wanted to know why his large orders almost never completely filled, even when the amount of stock advertised exceeded the number of shares wanted. For example, if 25,000 shares were at the best offer, and he sent in a limit order at the best offer price for 20,000 shares, the trade would, more likely than not, come back partially filled. In some cases, more than half of the amount of stock advertised (quoted) would disappear immediately before his order arrived at the exchange. This was the case, even in deeply liquid stocks such as Ford Motor Co (symbol F, market cap: $70 Billion, NYSE DMM is Barclays). The trader sent us his trade execution reports, and we matched up his trades with our detailed consolidated quote and trade data to discover that the mechanism described in Michael Lewis’s “Flash Boys” was alive and well on Wall Street.

This is just beautifully done. clean, simple, irrefutable. i hope it gets read far and wide. –Michael Lewis after reading this article

Did the Other Shoe Just Drop? Black Rock and PIMCO Sue Banks for $250 Billion. Any award this size would destabilize the banking system.

Rand Paul eyes tech-oriented donors, geeks in Bay Area.  The libertarian wedge in a liberal-dem stronghold.

Predictive analytics at World Cup  – Goldman Sachs does a big face plant, predicts Brazil would win. Importance of crowd-sourcing.

A Hands-on Lesson in Return Forecasting Models. I’ve almost never seen a longer blog post, and it ends up dissing the predictive models it exhaustively covers. But I think you will want to bookmark this one, and return to it for examples and ideas.

 

Yellen Yap: Silliness, Outright Lies, and Some Refreshingly Accurate Reporting. Point of concord between libertarian free market advocates and progressive-left commentators.

 

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