We argue here that, in recent years, the world's financial markets have become a globally
interconnected complex adaptive ultra-large-scale socio-technical system-of-systems, and …

In the last few years we have seen an explosion in the number of small-order dark pools,
leading to much talk about fragmentation. In fact this concern is misplaced: liquidity pools …

A third wave of technological change is taking root at the institutional trading desk, known as
“alpha profiling”. Traders submit orders to prediction models that estimate the relative …

In many investment banks and major fund-management companies, automated" robot"
trading systems now do work that 20 years ago would have required large numbers of …

The article derives a model with a closed form solution for valuing default swaps including
reference asset—counterparty default correlation. The default correlation between the …

Using publicly-available market data we construct a three component order flow imbalance
vector that represents executions against displayed quotes, executions against dark liquidity …