David Leinweber

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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)
T he Flash Crash, and an ongoing series of mini-crashes, some upward, have made many of us nervous. Some buy-side investors are using " electronic counter measure " trading systems, a sort of high-frequency (HFT) radar. The heads of the SEC and CFTC often point out that they are running an IT museum. They have photographic evidence to prove it—the(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)
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)