This blog has been quite silent. The end of the year was really busy (I took too much academic responsibilities, I travelled too much and published too much books). As usual, I only work on market structure and HFT when I have free time (nights and week-ends), but I won’t take holidays before mid-september, so I’ll work all summer long and I’ll have the the time to post some words – about the nature of time, about why I’m roaming the HFT and market structure worlds (some are really wondering why an anthropologist fell in microseconds, matching engines and payments for order flow), about the pattern recognitions experiments I recently tried, about a fascinating story involving a guy who pirated intellectual property (and the case is far more captivating than the Aleynikov one, even if the recent events in this last case are striking), and other stuff.
That being said, I am still visiting HFT floors, discussing with quants, understanding the new electronic pits (the matching engines) and searching for dishes in my backyard. I’ll post the season 2 of “HFT in my backyard” in three episodes early September – some may think that I’m too fanatic but trust me: working on those microwave networks is really fun, this little world deserves an addendum. Because the Creator shaped the world in six days, I’ll publish early October a long 6-part series about the “QUANTLAB TECHNOLOGIES LTD. (BVI), AND QUANTLAB FINANCIAL, LLC, Plaintiffs, versus VITALIY GODLEVSKY, ANDRIY KUHARSKY, ANNA MARAVINA, PING AN, EMMANUEL MAMALAKIS, AND SXP ANALYTICS, LLC, Defendants ”, case number 4:09-cv-04039. Some months ago the name of Quantlab showed up because someone in the company visited this blog, and then I read this very good report by Bradley Hope in the Wall Street Journal. Visiting floors is one thing; reading thousands and thousands of court files coming from such a case is another. By spreading the investigation to others affairs, and other court files, those thousands of pages shape an interesting view on the high-frequency trading world.
The SXP/Quantlab case is interesting not only because of the complexity of the world, but because of religion. The fact I am working on the relationship between market structure and religion is one of the reasons this blog is quite silent: I spend too much time reading the old philosophers who, for instance, coined the word “risk” around the 12th century. Thanks to these medieval monks, news horizons appeared, and philosophical answers showed up (I’ll try to talk about those philosophers in the Xenia of Saint Petersburg series).
The French historian who was the first to trace the origins of the word became a friend, and we decided to work on a book that has nothing to to with economy: a book about a medieval monk who designed some of the most fascinating drawings I have never met: Opicino de Canistris. Opicino (1296-1353), probably because he suffered from schizophrenia, left two manuscripts (now in the Vatican Library) with a lot of very complex graphic diagrams. Here is his autobiography:
There are far more beautiful plates and I could put other pictures here (a grant from a Japanese pharmaceutic firm, who develops medicinal products against schizophrenia, has allowed us to buy dozens of high-res files to the Vatican), but I don’t think the Vatican guys will love that. They are quite, let’s say, rigorous with the rights (I’ll post some photographies of the book when it’s done). Anyway, this book (due to be published in French in October, and then in Italian, English, German, etc., next year) will be probably the first one to expose without prejudice the life and the work of Opicino de Canistris. The problem is that when you start to immerse yourself in those diagrams, when you take hours to understand them to realize that they all shape the map of an insane mind, at some point you lose your own mind. Working on Opicino is quite like a drug, a journey in a fascinating world – as Shakespeare wrote, “though this be madness, yet there is method in ‘t”. I’ll try to keep my head above the water. Anyway, it seems that the next few months will be all about religion. I am an unbeliever, but the story of those who tried to play HFT games for religious reasons showed that God is never far away. And that’s a good thing.