Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
1,116 documents
This article explains why collecting the bid-ask spread does not guarantee that liquidity providers will profit. Takers can wait for favorable conditions, while makers continuously expose quotes; informed takers may therefore trade just before prices move…
The document describes a liquidation heatmap that estimates price zones where leveraged traders may be forced to close positions. It pairs those zones with a high-frequency trade-flow graph that tracks buys and sells at millisecond resolution; the authors…
The document explains how MEV-Boost connects Ethereum block builders, relays, and proof-of-stake proposers, and how this process interacts with consensus timing. Builders assemble transactions, relays validate blocks and provide bids, and proposers select…
The article explains the shift from batch data processing to continuous stream processing, using Apache Flink and the DeltaStream platform as its examples. Batch systems collect data before processing it, which can add latency and resource overhead.…
This investment perspective describes RISE Labs’ proposed Ethereum Layer 2 architecture, combining parallel transaction execution, a continuous block pipeline, and based sequencing. Parallel execution is presented as a way to use multiple CPU cores to reduce…
This article argues that network bandwidth and latency may become constraints as blockchain execution systems grow faster. It describes DoubleZero as a proposed permissionless fiber network that combines contributed links into a private transport layer for…
This report surveys Solana’s design and its position among layer-one blockchains, focusing on three architectural ideas: reliance on improving hardware, use of a time-based ordering mechanism called Proof of History, and a monolithic architecture intended to…
This overview explains how European Union financial regulation applies to algorithmic trading. It describes ESMA’s role in setting standards and the role of national regulators in implementing and supervising them. It introduces MiFID II as a framework…
This study proposes distinguishing human-originated orders from high-frequency algorithmic orders using the time taken to modify an order before execution. Orders with a minimum or average replacement time below a selected threshold are labeled algorithmic;…
The article distinguishes algorithmic trading, high-frequency trading (HFT), and news-based trading by their aims, time horizons, speeds, and data sources. It describes algorithmic systems as rule-based automation across varied horizons, HFT as speed-focused…
This webinar listing introduces sentiment analysis, also called opinion mining, as the computational classification of text opinions into positive, negative, or neutral attitudes. It frames the technique as potentially relevant to financial markets alongside…
The article introduces algorithmic trading as using coded rules to generate and execute orders, then compares it with manual trading. It highlights speed, simultaneous monitoring of markets, reduced reliance on emotional judgment, and the ability to backtest…
This event overview outlines a two-day NSE workshop on algorithmic trading, with material spanning strategy research, trading technology, regulation, and portfolio management. Topics include execution methods such as time- and volume-weighted orders,…
This article introduces FIX as a standardized messaging protocol used to connect participants and systems across electronic trading workflows. It describes how a shared format can reduce integration effort, simplify communication with multiple brokers, and…
This overview explains high-frequency trading as automated order placement that depends on rapid market data, fast decision systems, and low-latency execution. It describes co-location, tick-by-tick feeds, and market making, where firms quote both sides and…
This interview profile describes a trader and strategy researcher’s plan to help establish a high-frequency trading desk within a broader systematic trading fund. The intended focus is short holding periods in Asian and European markets, drawing on machine…
This interview presents a quantitative analyst’s path from engineering and statistics studies into quantitative finance, including work in high-frequency trading, banking, and strategy research. Its central lesson is to research markets carefully before…
The article explains latency as the time required for data and orders to move through a trading system, distinguishing it from bandwidth or capacity. It compares a traditional workflow, where market data passes through a broker to a trader’s tools before…
This event report describes two algorithmic trading workshops held at IIT Bombay’s Entrepreneurship Summit in 2015. The workshops were intended as introductions to the field and covered system architecture, latency, standardized protocols, strategy design…
This career-focused article explains how banking experience may transfer to quantitative trading. It points to financial knowledge, disciplined processes, comfort with targets, collaboration, and attention to transaction speed as potentially useful…
This interview traces Praveen Singh’s move from electronics and software work into electronic trading roles at investment banks in Japan. His experience spans client connectivity and trading platforms, including work on direct market access, high-frequency…
The document describes automated forex trading as the use of programmed rules to monitor currency markets and place trades. It lays out a development workflow: define entry and exit logic, program the strategy, monitor markets, execute orders, add risk…
The article corrects common assumptions about algorithmic trading. It explains that returns depend on strategy design, quantitative analysis, historical testing, and changing market conditions, so no particular outcome is guaranteed. It also distinguishes…
This overview traces computing from early mechanical calculators and punched-card systems through programmable computers, telecommunications, personal computing, and machine learning. It describes milestones such as the Pascaline, Babbage’s engines,…