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Morgan Stanley’s Matrix wins Best Cross-Asset Trading Initiative December 7, 2010

Posted by newyorkscot in Markets, SDP.
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At the American Financial Technology Awards ceremony last night Matrix was crowned as Best Cross-Asset Trading Initiative, ahead of the GS and HSBC entries.

All winners here:
http://www.aftas.org/static/winners-2010

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Have Reuters and EBS Lost Control of FX ? December 8, 2009

Posted by newyorkscot in Markets.
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Interesting article from Euromoney, here.

Trends in FX July 1, 2009

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The 2009 edition of FXAll’sBest Practice in Foreign Exchange Markets” has some great commentary on what has happened to the FX market in last 9 months: reduced volumes, increased volatility, return to high-touch client relationships, and the lack of liquidity in the forward market (see Page 12). Key point: forward trades (swaps,outrights) are essentially loans and hence need to be modeled/priced as such (think: counterparty/settlement risk from a credit perspective).

User Interface Design in Capital markets September 19, 2008

Posted by newyorkscot in Markets, Visualization / UX.
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I attended an Edward Tufte course yesterday in New York, with a number of colleagues from Lab49. I had read the first 3 of his books, but not Beautiful Evidence, and was looking to see how we can further apply his ideas and principles to our work in building advanced user interfaces for traders, etc.

Overall, it was great to hear from the man himself on how he approaches visualizing data and how one can achieve information density: showing causality, focusing on the information to be presented over the form of production, to integrating different form of production (text, image, graphs), etc. I enjoyed the specific references to the visualization work (and thus principles), that Gailileo used almost 400 years ago. Specifically, the use of intuitive graphics that portray meaningful data inline with text (just as sparklines can), is a very powerful concept that I think will become a dominant form of communication especially when those graphics are driven off live data.

ET gave his usual amusing powerpoint (PP) bashing routine, most of it very much merited. In general, PP is a bad communication medium, and does encourage slovenly thinking of the material being presented. I liked his comment on how PP is simply a “projector-management” system.

In general, I agree with most of Edwards thinking with respect to the cleanliness and density of content on the visualization – and it is particularly true on printed media. However, I felt that more could be done to update the ideas for the monitor display form ( see his commentary on the iPhone here).  We all use pretty high-res monitors, and traders tend to have the very best, if not HD. Monitors are becoming increasing pervasive and a lot more thinking can and should be done in optimizing information density and clarity on trading applications. Once full touch screens are available, new opportunities for interactivity will present themselves and thus drive the engraining of the medium. 

So, with that said, I feel that many of the principles of visualization data in general, as well as some of his ideas for maximizing content (over admin junk such as scroll bars, buttons, navigation, etc.) are well founded. The advice that no more than 10% of the screen should be for non-content is also a very good sanity check.

BUT, in capital markets there are a number of scenarios where the visualization of high-frequency and complex data do  not have elegant solutions (other than some of the ideas at Lab49 🙂 ) . Yeah, sparklines are nice and have tremendous information density for showing a lot of linear ticking data and showing absolute and relative trends. I wonder how E.T. would approach some of the situations we have to deal with like: a) full market depth view of fragmented markets in real-time, b) multi-dimensional pricing and risk (e.g. diversified portfolios that need to be viewed across asset, geography, industry, company dimensions, for example), c) credit risk of a portfolio of structured products ?

A Year of Losses September 16, 2008

Posted by newyorkscot in Markets, Visualization / UX.
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Cool visualization in the New York Times, illustrating the changes in market capitalization of the major Wall St firms from a year ago to Sep 12, 2008. Hover over the companies to look at the astonishing negative changes (e.g . Citigroup down 58% in one year from $236.6bn to $97.8bn!)

Waters Magazine: Flying By Wire August 1, 2008

Posted by newyorkscot in Agile, Articles, HPC, Marketing, Markets, Other.
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Waters Magazine has just published my article “Flying By Wire” in its Open Platform section of the August issue. The article discusses how advanced trading systems need better control systems to dependably innovate and take new opportunities to market. I draw an analogy between trading systems and modern jet aircraft where stability, performance and control are essential characteristics that need to be considered during design, development and testing. Read the article on the Lab49 website here.

It’s The Stupid Economy July 23, 2008

Posted by newyorkscot in Markets.
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Jon Stewart does it again.

New SEC Regulation on Short-Selling Causing a Stir July 17, 2008

Posted by newyorkscot in Markets.
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The SEC has recently come out with an emergency order to curb “naked short selling” of certain stocks (19 in all) that include Freddie Mac, Fannie Mae, Morgan Stanley, Goldman, Lehman, etc. The motivation is to alleviate the unrelenting short selling of these “vulnerable” stocks.

Currently, brokers and banks are not allowed to short sell without already having borrowed stock to cover the position. However, the precise terms of the timing of the “borrow” has been a little vague up until now. The new SEC order forces the short seller to formally borrow the stock before the short sell can occur.

This has all the major dealing houses scrambling to get these new controls in place before Monday. Additionally, it will make it more expensive to trade, and could impact the ability to trade options: traders often short-sell to hedge put option contracts they have sold. And if options traders can’t hedge themselves, they can’t sell put or buy call options.

One of the actual issues is that short sellers will often locate the stock to be borrowed on trade date, but not actually borrow it until settlement date (T+3). That can be problematic as multiple dealers can locate the same stock from the same source so when it comes to borrow, someone is left “naked”. The solution would therefore to secure the borrow on trade date, not settlement date.

Watch the Yen July 9, 2008

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Interesting Economist article on how the performance of the Yen indicates investor sentiment.

NYSE Euronext is .. June 9, 2008

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Ken Barnes of Wombat discusses NYSE’s Advanced Trading Solutions

 

Bear Energy April 1, 2008

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Did you know that Bear Stearns has an entire energy business, Bear Energy ? Not just trading natural gas on the financial markets, etc, but actually OWNS a powerplant ! Its trading business therefore supports its physical energy business (by buying/selling natural gas to power their powerplant, and trading the power itself). The business is built on the back of Bear’s acquisition of Williams in 2006.

UBS doubles sub-prime writedowns April 1, 2008

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(Not an April Fool’s joke). “Swiss financial giant UBS has reported that its writedowns as a result of the sub-prime crisis have more than doubled to about $37bn (£18.5bn)”. Article here. I wonder how much more has yet to unwind.

Bear Stearns Gets Emergency Funds From JPMorgan, Fed March 14, 2008

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Here

Nasdaq Data Replay Service February 26, 2008

Posted by newyorkscot in Market Data, Markets.
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Nasdaq has released a new tool for replaying market data, viewing National Best Bid and Offer (NBBO) at any point in time and confirming best execution. The application is written with Adobe’s Air . We downloaded it and ran it: data can be recalled for a trading day down the the millisecond resolution for any symbol. Click on the image for more information from Nasdaq to give it a try. Also, screenshot from our download here.

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Societe General Article January 31, 2008

Posted by newyorkscot in Markets.
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Interesting perspective from the Economist on the $7.2bn loss by a rogue trader at Societe Generale.