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Twitter-based Trading Strategy

Submitted by Lee Fig on Sat, 2011-04-02 13:27

The recent Dow Jones eFinancialNews coverage of U.K.-based hedge fund Derwent Capital Markets leveraging social media, Twitter, is particularly interesting.

To hedge or formulate an investment strategy based on essentially a community consensus of market sentiment is certainly not an innovation. StockTwits for instance has already established itself providing a thriving community. Through such micro-blogging individuals share ideas, events and news as they occur. And because the platform sits on top of the Twitter API, the assumption is that these are responsive and contemporaneous. 

The new Google realtime search service follows the trend. Twitter of course has always been used by Wall Street as have Bloomberg Network. Whereas in the past users of Yahoo messenger and other widgets would send messages to personal contacts current web technology enables us to post to entire communities and intereact in realtime. This represents a new paradigm in communication and sharing of ideas.      

This is an interesting development and harbinger of a debate within classical economics - that economics is the story of people, how they think and behave.
The idea raises intriguing questions about whether we really are the rational, self-interested agents described by the machine-like economic models.
As a trader is my, or your, economic judgement as sound as we probably both like to think? Are we both swept along by the market mob and the opportunity? Are we prisoners of time and place whose choices aren't calculated, but absorbed from society?
 
All this human emotional stuff certainly complicates the quant calculations. Add that to everything else we have discovered about economics (or not) is it any wonder economists disagree? What is clear, is that whereas "pure" quant based  algo-bots perceive the world through a narrow technical prisim, what if we were to try and unify this with an economics that is more enriched incorporating a moral, political, scientific, technical, statistical, theoretical, cultural, historical dimension? Now that is a thought.

2011 Online Broker Survey

Submitted by Lee Fig on Sat, 2011-01-22 23:50

 

Online traders should always continuously review their operating environment. It is critical to have not just the best set of tools, indicators etc. but also to ensure that they have a brokerage relationship that is right for them.

With this in mind you may wish to check out TradeWiser who have just released their 2011 broker survey. I was a little surprised that E*Trade took the #1 spot in a sense. Here’s what you can expect to find in their results:

After several hundred hours of research, testing, etc. I am excited to announce that the tradeWISER 2011 Online Broker Review is now live.

tradeWISER.com is currently the largest and most trafficked website for comparing online brokers. We formally launched the site last year which currently reviews 20 different brokers and includes a commissions calculator for stocks, etfs, mutual funds, and options alongside direct broker versus broker comparisons and even a full broker comparison chart.
The full broker review includes 23 different brokers which is more than Barron’s, SmartMoney, and Kiplinger and is over 4,000 words of detailed research and analysis on the top brokers. Ratings are out of 5 stars and cover the following categories:

  • Commissions and Fees
  • Ease-of-Use
  • Tools and Research
  • Customer Service
  • Offering of Investments
  • Education
  • Mobile Trading
2011 online broker review

E*TRADE topped the list with TD Ameritrade and Charles Schwab coming in 2nd and 3rd, respectively. View the full broker rankings for a complete list of how all 23 brokers fared.
The review also breaks down the best brokers for Active Trading, Options Trading, and includes a summary of the best research, platforms, and tools.

Book recommendation: High Frequency Trading

Submitted by Lee Fig on Tue, 2010-12-28 14:17

If you are looking for a comprehensive coverage of this theme over the Christmas break I recommend the following:

http://www.amazon.com/High-Frequency-Trading-Practical-Algorithmic-Strategies/dp/0470563761

It succeeds in providing a clear overview whilst providing some interesting logic and analysis for seasoned practitioners such as myself.

The text provides an excellent overview of the Business of high frequency trading. If you are looking for algo specific implementations I would suggest you look elsewhere however. It is useful for senior stakeholders looking to define or review strategy as opposed to implementation detail.

It's most outstanding quality is helping you to understand and review such transactions in the context of the trade life-cycle.

A was an appreciated and welcome Xmas gift indeed.

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