“… at times of high volatility, the VIX is almost the sole driver of market
liquidity.”
Category: algos
Sophia Don’t Fail Me Now: One Bank Worries ‘Algo Rally’ Will ‘Run Out Of Steam’
Who knows – maybe ask Sophia.
Amid The Volatility, Here’s The Latest From Marko Kolanovic, Goldman On Systematic Flows And Liquidity Provision
The phenomenon is not only real, but in fact pervasive. There are, of course, caveats…
Depth Charge, Gamma Gravity And A Dark, Twisted Fantasy Come True
We are now living in a collage of surreal fantasies, each of which could serve as the plot for a thriller.
As Chanos Warns On ‘Fragility’, Goldman Tells You Where The Tail Risks Are
Putting some nuance on Jim’s “fragility” warning and “chasing tail” with Goldman.
Post-Mortem.
It’s autopsy time.
‘Liquidity’s Heisenberg Uncertainty Principle’: Goldman Goes Looking For Market Liquidity, Doesn’t Find Much
“Months after the VIX spike, bid/ask depth is still not back to normal”.
One Bank’s Quants Think They’ve Found The Key To Outsmarting ETFs
“We conjecture that market participants do not realize that passive investors are buying or selling securities.”
Welcome To ‘The Age Of Fragility’
Enjoy your stay.
Goldman Asks: ‘Will The Machines Amplify the Next Downturn?’
Expect this to get plenty of attention.
“HFTs know the price of everything and the value of nothing.”
Goldman Delivers Ominous Message: ‘Markets Themselves’ May Pose The Greatest Risk
“But we see several reasons to worry that ‘markets themselves’ are becoming a bigger source of market risk than fundamentals.”
Goldman’s Equity Algo Army Goes Offline After ‘Mistake’ Triggers Trading Limits
Notably, Goldman says this has nothing to do with today being the first trading day of MiFID II.
Epsilon Theory’s Latest: The Three-Body Problem
“There is a non-trivial chance that structural changes in our social worlds of politics and markets have made it impossible to identify predictive/ derivative patterns.”Â
‘Shall I Go Thermonuclear?’ The Week That Was And A Market Vignette
“The room fell silent, the enormity of this unexpected crisis sinking in.”
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