TL/DR: Proof has put out a new whitepaper on defining and measuring information leakage. The main idea is that information leakage can be detected and controlled in behavior patterns directly, rather than looking only at its noisy impact on price. This is joint work with Arthur Américo, Paul Cesaretti, Garrison…

On May 22, 2022, the S&P 500 fell about −0.7% over the course of roughly 28 minutes before substantially rebounding. We can see this movement in the graph of trade prices of SPY as a function of time: This graph spans the regular trading day from 9:30 am to 4:00…

TL/DR: We present a framework for heuristic calculation of what kind of sample sizes are needed to precisely evaluate broker performance at the parent order level. We observe that for computing weighted averages, the number of orders is an inadequate metric of data quality, and that the inverse of the…

TL/DR: We submitted a comment letter to the SEC on the recent proposal concerning tick sizes, access fees, and adding odd lot information to the SIPs. While we support the proposed lower caps on access fees, we feel this proposal will do little to address the ludicrous complexity of rebate…

Payment For Order Flow, or PFOF as it is lovingly called, has become a controversial subject in retail trading. Advocates say it produces better prices for retail investors, while opponents lament the conflicts of interest it creates. The SEC’s newly proposed “Order Competition Rule” will probably frustrate both sides of…

This time of year, the phrase “woman-owned business” conjures images of soft knitted scarfs, ethically sourced coffee grounds, and the gift card you always receive from your Aunt Carol. We read that label as a communication of values: either the values of the purchaser, or the recipient, or both. …

Foreword (by Allison Bishop) I always know it’s fall in New York City by the color of the leaves, the smell of pumpkin lattes, and the arrival of emails about next year’s summer internships. …

October is domestic violence awareness month, and I annually struggle with what to do about this. It’s not a topic where I can be a dispassionate intellectual, as domestic abuse has deeply affected people close to me. But sadly, at least in the US, nearly everyone could say the same…

It may seem strange, that instead of catching up on House of the Dragon or The Rings of Power this weekend, I read the SEC’s “Order Disapproving the Fifty-Second Amendment to the Joint Self-Regulatory Organization Plan Governing the Collection, Consolidation and Dissemination of Quotation and Transaction Information for Nasdaq-Listed Securities…