From Automated trader: Dr Zigrand, co-director of the Systemic Risk Centre at the London School of Economics and Political Science has been appointed head of research and learning stuff about how the sandbox works. Naturally they want to get at the theory of price compression and uncertainty of the 'trade book'.Or, we could read my blog.
However, new technologies are causing the most rapid changes and one of the key aims of the project is to train young economists to analyse high frequency data, a skill that usually belongs to computer scientists with no financial background."The digitalisation of society and the large use of high frequency trading and algorithmic trading have completely changed our financial markets, which are a vital core of our economic system."The increase in trading speed now allows markets to operate far beyond human capabilities, having a dramatic impact on the stability, liquidity and resilience of financial markets," Dr Zigrand said.Data will be collected at the nanosecond, if possible, which includes not only prices, volumes and dates of the transactions, but also other variables that academics and regulatory authorities can use, such as information about the state of the limit order book.
The new model simply eliminates the three way trade which was the hallmark of the old MIT school. They never solved it, and the economy decomposes it. The two color system is simple once the fair trading pit S&L technology is introduced.
Why so long?
The law. Central banking law is a legal requirement that money be fouled up, the economic models were designed to fail and keep on failing. That is the whole point of central banking, insure the state against failure. That is impossible, hence the MIT boneheads at MIT stuck us with a foul model.