Interesting Links

[Neil Stoloff]

The upper bound for HF trading is the speed of light. It looks like we're about there.

http://www.bbc.co.uk/news/science-environment-12827752

Neil

[nickola.pazderic]

The few times realized volatility has eclipsed implied volatility, it presaged large declines

[mnoel]

http://www.tradingtheodds.com/2011/1...seasonalities/

Conclusion(s): With Veterans Day behind us, we’re entering into the favorable year-end seasonality, and historically it had been even more favorable in the event the S&P 500 was (already) up year-to-date on the close of Veterans Day. Any short-term consolidation of the market’s recent gains right at the beginning of next week might provide a favorable buying opportunity for those with an intermediate term investment horizon (until the end of the year).

[mnoel]

http://www.sentimentrader.com/commen...11115_gaps.htm

Interesting blog on the number of unfilled gaps.

[adam ali]

Martin,

Nice find. I have previously wondered aloud about what seemed like an inordinate number of gap openings occurring - this puts it into context.

Thanks.

[ernsttanaka]

http://www.thereformedbroker.com/201...sell-programs/


interesting read on the mechanizes of the market and the difference between the /es and the spx.

Ernst

[xr-3609]

http://narrowtranche.blogspot.com/

USD OIS spread blows out

greg

[Andrei]

Well-paid corporate managers, lawyers and doctors are contributing to the demise of an entire economy.

http://english.caixin.cn/2011-12-09/100336506.html

[mnoel]

Paul Macrae Montgomery Universal Economics, 12/26/11

“Lowry's ‘'Selling Pressure' and ‘Buying Pressure' are great indicants of the Supply and Demand for US Stocks. In Bull markets Demand should be more robust than Supply, and the reverse in Bear markets. Today the DJIA is almost back at its July high but ever since that high, Demand has been in a sustained downtrend, and Supply has been in a robust uptrend. In fact, Buying and Selling Pressure both hit their most Bearish levels in 15-18 months on Monday. Both of these data sets improved significantly the rest of the week, but unless the prevailing Negative trends actually do reverse, these time-honored indicants suggest US stocks are in a Bear market rally.”

[Andrei]

https://www.gmo.com/websitecontent/J...rEver_3Q11.pdf