Accurate, Focused Research on Law, Technology and Knowledge Discovery Since 2002

Evaluation of Systematic Trading Programs

Munenzon, Mikhail, Evaluation of Systematic Trading Programs (August 11, 2014). Available for download at SSRN: http://ssrn.com/abstract=2478676

This paper is intended as a non-technical overview of the issues I found valuable in evaluation of systematic trading programs both as a systematic trader and as a large, institutional investor, having looked at numerous, diverse managers in this space on a global basis over the years. Some of the topics discussed below apply to discretionary traders and all types of investment organizations though the focus will always remain on systematic trading. Throughout this paper, I assume that systematic trading refers to an investment program for exchange listed instruments or spot FX that generates signals, manages positions and executes applicable orders via an automated, previously programmed process with little or no human interference. The list of topics is not by any means exhaustive but it should be sufficient to allow an investor to start on the path towards successful allocations with systematic trading managers. As I hope will become clear over the course of this paper, systematic trading is a highly unique field with its own set of advantages over other investment approaches that investors should not overlook.”

NOAA analysis reveals significant land cover changes in U.S. coastal regions

“A new NOAA nationwide analysis shows that between 1996 and 2011, 64,975 square miles in coastal regions — can area larger than the state of Wisconsin — experienced changes in land cover, including a decline in wetlands and forest cover with development a major contributing factor. Overall, 8.2 percent of the nation’s ocean and Great LakesContinue Reading

Security Experts: EPIC Correct About Body Scanners-Invasive and Ineffective

“The first independent analysis of backscatter x-ray body scanners corroborate the claims EPIC and others have made for several years: The scanners are invasive and ineffective. In a detailed report published in 2005, EPIC warned that the x-ray body scanners amounted to a virtual strip search and were an ineffective means of airport security. Freedom of Information Act documents later obtainedContinue Reading

State Open Data Policies and Portals

“This report by the Center for Data Innovation provides a snapshot of states’ efforts to create open data policies and portals and ranks states on their progress. The six top-scoring states are Hawaii, Illinois, Maryland, New York, Oklahoma, and Utah. Each of these states has established an open data policy that requires basic government data,Continue Reading

The Scope and Potential of FTC Data Protection

Hartzog, Woodrow and Solove, Daniel J., The Scope and Potential of FTC Data Protection (July 1, 2014). 83 George Washington Law Review, 2015, Forthcoming; GWU Law School Public Law Research Paper No. 2014-40; GWU Legal Studies Research Paper No. 2014-40. Available for download at SSRN: http://ssrn.com/abstract=2461096 “For more than fifteen years, the Federal Trade Commission (FTC)Continue Reading

Gap Between Higher- and Lower-Wealth Households Widens

“Median net worth increased between 2000 and 2011 for households in the top two quintiles of the net worth distribution (the wealthiest 40 percent), while declining for those in the lower three quintiles (the bottom 60 percent), according to new statistics released today by the U.S. Census Bureau. The result was a widening wealth gapContinue Reading

Quarterly Gross Domestic Product by State, 2005–2013 (Prototype Statistics)

August 20, 2014: “…the U.S. Bureau of Economic Analysis released prototype statistics of quarterly gross domestic product (GDP) by state for 2005–2013. These new statistics provide a more complete picture of economic growth across states that can be used with other regional data to gain a better understanding of regional economies as they evolve fromContinue Reading

The transmission of unconventional monetary policy to the emerging markets

The transmission of unconventional monetary policy to the emerging markets, BIS Papers No 78 August 2014. 367 pages, PDF. “Highly accommodative monetary policies in the major advanced economies and the questions about the exit from such policies have created major challenges for policymakers in emerging market economies (EMEs). Quite a few of EMEs that experienced rapid capitalContinue Reading

Economic Characteristics of Households in the US: 1st, 2nd, 3rd and 4th Quarters 2012

US Census: “This collection of seven tables for each quarter comes from the Survey of Income and Program Participation. The tables that examine the role of government-sponsored benefit programs and the labor market among the nation’s people and households within the economic climate of each quarter of 2012. Specifically, the tables present statistics on averageContinue Reading

BLS Statistics by Occupation

“This Spotlight on Statistics provides an overview of occupational employment and wages in May 2013, with an emphasis on STEM jobs and occupational data by required entry-level education.” Published August 2014. “United States workers held over 130 million jobs in May 2013—but what kind of jobs were they? Over 21 million were office and administrativeContinue Reading

Minutes of the Federal Open Market Committee, July 29-30, 2014

A meeting of the Federal Open Market Committee was held in the offices of the Board of Governors of the Federal Reserve System in Washington, D.C., on Tuesday, July 29, 2014, at 10:00 a.m. and continued on Wednesday, July 30, 2014, at 9:00 a.m.  [snipped from the release] Staff Review of the Economic Situation” The informationContinue Reading

Bank Of America To Pay $16.65 Billion In Historic Justice Department Settlement

 “Attorney General Eric Holder and Associate Attorney General Tony West announced today that the Department of Justice has reached a $16.65 billion settlement with Bank of America Corporation – the largest civil settlement with a single entity in American history ¬— to resolve federal and state claims against Bank of America and its former andContinue Reading