David Leinweber

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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)
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)
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. This requires computing resources that are not easily available to financial academics and regulators. Fortunately, data-intensive scientific research has developed a series of(More)
Corporation, where he also led High Frequency Futures Trading and several strategic initiatives. In addition to his 15 years of investment management experience, Marcos has received several academic appointments, among other awards, and was admitted into American Mensa with a perfect test score. Marcos has an Erdös #3 and an Einstein #4 according to 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)
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