The last post appeared on Zero Hedge and there has been an incredible response.
I want to work out a couple of points here before replying on the Zerohedge board.
There was a post about me wanting the source code. It made me realize that I never said what it was I wanted to do.
What I am trying to do is put together a general approach to the forensic study of algorithmic trading. As in other forensic sciences, it would be nice to have a letter of confession from the perpetrator (read "source code")--but we cannot count on finding such a thing. What we can count on is the power of our own observations, our knowledge in applying some mathematical approaches, and our logical and/or intuitive approach to tying them together into what may evolve into a fruitful means of inquiry.
I do not represent that I know what I am doing. I do not know if what I am proposing will work. It is likely (perhaps most likely) that the methods of analysis proposed above will result in no useful conclusions, or worse--misleading conclusions.
I normally approach a scientific problem with a goal of testing a hypothesis. This problem is more like exploration--it is explored without clear hypotheses because I don't know what I may find. What would I have to see to convince me that the algorithms are manipulative rather than competitive? I don't know. I am merely hopeful that I will see something.
One poster commented that I would like to find evidence of manipulation so that I too could be ignored by the SEC. That seems to be close to the truth, and the outcome (if I did find such evidence) seems a little too likely to be funny. But even if I am to be ignored by the SEC, my thinking is that it is better to know than not to. Through knowledge there may be a chance at some kind of action--perhaps by people like us, if not the authorities.
Many comments have been constructive, offering other lines of potential inquiry. I thank you all for them. Some comments have not been--but that tends to happen whenever there is an element of anonymity. I see the importance of not taking it personally.
I want to work out a couple of points here before replying on the Zerohedge board.
There was a post about me wanting the source code. It made me realize that I never said what it was I wanted to do.
What I am trying to do is put together a general approach to the forensic study of algorithmic trading. As in other forensic sciences, it would be nice to have a letter of confession from the perpetrator (read "source code")--but we cannot count on finding such a thing. What we can count on is the power of our own observations, our knowledge in applying some mathematical approaches, and our logical and/or intuitive approach to tying them together into what may evolve into a fruitful means of inquiry.
I do not represent that I know what I am doing. I do not know if what I am proposing will work. It is likely (perhaps most likely) that the methods of analysis proposed above will result in no useful conclusions, or worse--misleading conclusions.
I normally approach a scientific problem with a goal of testing a hypothesis. This problem is more like exploration--it is explored without clear hypotheses because I don't know what I may find. What would I have to see to convince me that the algorithms are manipulative rather than competitive? I don't know. I am merely hopeful that I will see something.
One poster commented that I would like to find evidence of manipulation so that I too could be ignored by the SEC. That seems to be close to the truth, and the outcome (if I did find such evidence) seems a little too likely to be funny. But even if I am to be ignored by the SEC, my thinking is that it is better to know than not to. Through knowledge there may be a chance at some kind of action--perhaps by people like us, if not the authorities.
Many comments have been constructive, offering other lines of potential inquiry. I thank you all for them. Some comments have not been--but that tends to happen whenever there is an element of anonymity. I see the importance of not taking it personally.
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