This is a summary of links featured on Quantocracy on Saturday, 06/22/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Hidden Dangers of Writing an OMS [Mark Best]Writing an OMS for an HFT platform is a really difficult task that is often taken for granted. It is made more difficult in crypto because the exchange infrastructure is unreliable. It is not uncommon to simply be told go away and come back later when trying to call api functions. There is also often a hidden danger when writing an OMS which I have not seen discussed. This article is about
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Investigation of Lead-Lag Effect in Easily-Mistyped Tickers [Quantpedia]Our new study aims to investigate the lead-lag effect between prominent, widely recognized stocks and smaller, less-known stocks with similar ticker symbols (for example, TSLA / TLSA), a phenomenon that has received limited attention in financial literature. The motivation behind this exploration stems from the hypothesis that investors, especially retail investors, may inadvertently trade on
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Short Positions – do investors underreact due to illiquidity? [Alpha Architect]The important role played by short sellers, who, through their actions, keep prices efficient by preventing overpricing and the formation of price bubbles in financial markets, has received increasing academic attention in recent years. Research into the information contained in short-selling activity for example the 2023 study, Swim with Sharks: Are Short Sellers More Informed than their