This paper examines herding among hedge fund styles and uncovers new intuitions about the industry. By examining hedge fund style index returns using four techniques, we show that perceptions of herding may differ based on the choice of analytical method. Our analysis with independent component...

In the 2000's large investment banks and hedge funds became a major source of capital for start up firms and private equity deals. However, the standard hedge fund structure lead to the largest bankruptcy rate in investment banks since the great depression. The hedge funds that were involved in...

Extreme events in financial markets can arise from fundamental information, but they can also arise from latent hazards embedded in the market design. This is systemic risk and somebody bears this risk. These events add to risk and their probability and severity must be accounted for by market...

In the 2000's large hedge funds became major investors in illiquid assets. When returns were steady, inflows and outflows of capital balanced each other out. But, in 2008 and 2009 investors removed capital at rapid rates despite depressed prices. In this paper we develop a Bayesian model where...

AT 9000 is an industry-specific quality management system standard for automated and algorithmic trading. The aim of AT 9000 is to address the safety issues inherent in automated trading by way of industry self-regulation. While the project is being developed under the ANSI/X9 umbrella, the goal...

In this paper, we study unconstrained strategies through a re-specification of classic meanvariance utility and, as a reference implementation, a long-only strategy based on Canadian and U.S. bond markets. First, we capture the underlying economic forces that drive benchmark indices in the two...

In the age of automation, trading and market making is about estimating the fair price of automated trading system research and development projects. This requires a new methodology to arrive at such a fair price. A real options framework is a natural choice. In this paper we review a...

All of finance is automated. This paper examines the ethical implications of this evolution. As automation is an interdisciplinary endeavor, we argue that the interfaces between the respective professions can lead to conflicting ethical perspectives. Such conflicts provide insufficient...

Automated trading now dominates the financial markets. Yet, no philosophy of academic research into the topic exists. As the growth in automated trading suggests their greater returns and predictability, this paper examines stability and statistical control of trading process outputs as method...