Allison BishopinProof ReadingMean Squared Error Can Be Too Mean[TL:DR] We develop a new metric for evaluating predictions of closing auction sizes for US equities trading. This leads us to an improved…6 min read·Apr 15, 2024----
Allison BishopinProof ReadingReflections on Randomness [and reality TV]There are many lessons to draw from Netflix’s “Squid Game: The Challenge,” a reality competition show. The most important — that…5 min read·Jan 31, 2024----
Allison BishopinProof ReadingAlice Tells a StoryIt takes a certain amount of hubris to write a blog. Ideally, just a pinch. Enough to imagine that your words can matter or that…7 min read·Oct 25, 2023----
Allison BishopinProof ReadingThe SEC Thinks PDA is Dangerous, and Other Signs that They Have Hired Your MomThere is something I have to get out of the way up front. I can’t make it all the way through the SEC’s rule proposal on brokers’ use of…7 min read·Sep 5, 2023--1--1
Allison BishopinProof ReadingInformation Leakage Can Be Measured at the SourceTL/DR: Proof has put out a new whitepaper on defining and measuring information leakage. The main idea is that information leakage can be…6 min read·Jun 20, 2023----
Allison BishopinProof ReadingDid the Market Really Freak Out About a Fake Photo?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…16 min read·Jun 8, 2023----
Allison BishopinProof ReadingThe law of large numbers is really the law of small weightsTL/DR: We present a framework for heuristic calculation of what kind of sample sizes are needed to precisely evaluate broker performance at…12 min read·May 4, 2023----
Allison BishopinProof ReadingThe SEC Proposal to Lower Access Fees is Good, but Doesn’t Address the Real Problem: Rebate TiersTL/DR: We submitted a comment letter to the SEC on the recent proposal concerning tick sizes, access fees, and adding odd lot information…4 min read·Apr 6, 2023----
Allison BishopinProof ReadingThe SEC Isn’t Mad at PFOF. They’re Just Disappointed.Payment For Order Flow, or PFOF as it is lovingly called, has become a controversial subject in retail trading. Advocates say it produces…12 min read·Jan 6, 2023--1--1
Allison BishopinProof ReadingAll I Want for Christmas Is a Broker-DealerThis time of year, the phrase “woman-owned business” conjures images of soft knitted scarfs, ethically sourced coffee grounds, and the gift…6 min read·Dec 20, 2022----