David Leinweber

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In this clinical study, we examine the information flow for four stocks over seven months to trace the relationship between on-line discussion, news activity and stock price movements. On-line discussions are characterized by numerous unsubstantiated rumors, substantial on-point exchanges and quick dissemination of imminent and recently-released(More)
Understanding the microstructure of the financial market requires the processing of a vast amount of data related to individual trades, and sometimes even multiple levels of quotes. Analyzing such a large volume of data requires tremendous computing power that is not easily available to financial academics and regulators. Fortunately, public funded High(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)
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)
Execution traders know that market impact greatly depends on whether their orders lean with or against the market. We introduce the OEH model, which incorporates this fact when determining the optimal trading horizon for an order, an input required by many sophisticated execution strategies. From a theoretical perspective, OEH explains why market(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)
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