This is a summary of links featured on Quantocracy on Tuesday, 08/22/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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High Frequency Trading I: Introduction to Market Microstructure [Quant Start]In this new article series Imanol Prez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart delves into high-frequency trading and introduces the concept of market microstructure. Nowadays, a significant number of financial instruments are traded in electronic markets, and alternatives that used to be popular in the past, such as open outcry stock
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Explaining the FOMC Drift [Quantpedia]I propose a theoretical explanation for the puzzling pre-announcement positive drift that has been empirically documented before scheduled Federal Open Market Committee (FOMC) meetings. I construct a general equilibrium model of disagreement (difference-of-opinion) where two groups of agents react differently to the information released at the announcement and to signals available between two