Link : A brief summary of the book Takeaway “Write your code as though you are releasing it as a package” - This kind of thinking forces one to standardize directory structure, abandon adhoc scripts and instead code well thought out functions, and finally leverage the devtools functionality to write efficient, extensible and shareable code.

Via No Mobile Phones … I’m not interested in daily chores. We have now swapped information for knowledge, which is not the same thing. I do not want to know. I’m not online. I don’t even have a computer. - Brunello Cucinelli

The paper titled, “Discerning Information from Trade Data” by David Easley, Marcos Lopez de Prado, Maureen O’Hara, gives a Bayesian framework for trade classification. The most popular method for classifying a trade as buy/sell is via “tick test”. The authors introduced Bulk Volume Classification (BVC) and empirically test the performance of it vis-à-vis tick test. In this post, I will briefly summarize the paper : **Introduction **With the advent of HFT, the markets have changed completely.

Via Gauri : [youtube https://www.youtube.com/watch?v=bwVVpwBKUp0?rel=0]

I had to read this paper again after ~1.5 years as I had forgotten the basic idea behind the classification. My understanding, this time was far better than the previous encounter. In this post, I will list down a few points form the paper One can think of three ways to classify trades as “buy” or “sell” trades. Tick test : Compare the current trade price to the previous trade price