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Quant analytics: How to model this pattern to improve intra-day executions?

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Quant analytics: How to model this pattern to improve intra-day executions? I am trying to improve the intra-day executions. For example, I wanna sell a stock but its mid price keeps monotone decreasing/increasing/unchanging at most of time (the small graph). occasionally, it has abrupt price fluctuation (the big graph). imbalance=ask depth – bid depth of …

Quant analytics: How to model this pattern to improve intra-day executions? Read More »

How LMAX uses standard Java Hotspot compiler and vanilla Java code using Disruptor pattern making their HFT lightening fast!

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How LMAX uses standard Java Hotspot compiler and vanilla Java code using Disruptor pattern making their HFT lightening fast! This was part of a Linked In discussion: No, we use the standard hotspot compiler. We just looked hard at how it worked and then wrote standard Java that we knew would compile down to high …

How LMAX uses standard Java Hotspot compiler and vanilla Java code using Disruptor pattern making their HFT lightening fast! Read More »

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