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Finance and open source

DE Shaw and Python is plausible. Shaw himself you might expect to know better considering his background in architecture if he is executing low latency trades. But A. I think Shaw’s background out of Morgan Stanley was more stat arb/pairs and B. Shaw did do APL at MS I believe. There is room for a disconnect.

mathbabe

I want to bring up two quick topics this morning I’ve been mulling over lately which are both related to this recent post by Economist Rajiv Sethi from Barnard (h/t Suresh Naidu), who happened to be my assigned faculty mentor when I was an assistant prof there. I have mostly questions and few answers right now.

In his post, Sethi talks about former computer nerd for Goldman Sachs Sergey Aleynikov and his trial, which was chronicled by Michael Lewis recently. See also this related interview with Lewis, h/t Chris Wiggins.

I haven’t read Lewis’s piece yet, only his interview and Sethi’s reaction. But I can tell it’ll be juicy and fun, as Lewis usually is. He’s got a way with words and he’s bloodthirsty, always an entertaining combination.

So, the two topics.

First off, let’s talk a bit about high frequency trading, or HFT. My first two questions are, who…

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