David Leinweber

Learn More
Laboratory for confirming our VPIN calculations on the 'flash crash'. We are grateful to Sergey Kosyakov and Steven Jones for their research assistance. * VPIN is a trademark of Tudor Investment Corp. The authors have applied for a patent on VPIN and have a financial interest in it. ABSTRACT Order flow is toxic when it adversely selects market makers, who(More)
1 T he stock of NEIP, an obscure nearly bankrupt company, barely has a pulse. The last trade was over a year ago, for a penny and a half. Suddenly it rockets up 106,600% in a matter of days. What happened? A miracle cure? A hit movie? Pokemon lunch boxes? No, none of these. NEIP's move was propelled purely by the power of Internet message boards. Two (now(More)
This paper describes collaborative work between active traders, regulators, economists, and supercomputing researchers to replicate and extend investigations of the Flash Crash and other market anomalies in a National Laboratory HPC environment. Our work suggests that supercomputing tools and methods will be valuable to market regulators in achieving the(More)
agency thereof, nor the Regents of the University of California, nor any of their employees, makes any warranty , express or implied, or assumes any legal responsibility for the accuracy, completeness, or usefulness of any information, apparatus, product, or process disclosed, or represents that its use would not infringe privately owned rights. Reference(More)
The financial crisis of 2008 is one of the great technological disasters in history. None of this would have been possible without computers. Who is to blame for the interconnected structure for disaster that came so close to taking the global economy with it when it crashed? What should we be doing to avoid a dreadful encore performance? Part IV of "Nerds(More)
The author is a visiting faculty member in economics at Caltech. At the time the original version of this paper was written, he was Managing Director at First Quadrant 2 , with responsibility for global active equity portfolios totaling $6 billon. Dr. Leinweber has a long background in electronic trading. He is the inventor of MarketMind, the expert system(More)
  • 1