David Pettey is Associate Director at SIG. David joined the QR department at SIG in 2002 to work on equity statarb models. Later work evolved into low latency trading on a wide variety of asset classes working with groups in commodities, fixed income, and FX. In addition to building low latency strategies, David has worked closely with technology teams in measuring latency and its affect on real world performance in the market place. Currently he is involved in model development for short-term strategies in equities and other asset classes. David’s background is in Theoretical Physics (he received his PhD at the University of Pennsylvania) and in the early development of Magic: The Gathering.
An overview of a simple toy model view of the economics of providing liquidity in the current US Equity markets. Enhanced tools for detailed analysis of large datasets can provide us with confirming evidence of our assumptions and provide a complement to our approach that will focus on basic principles of the role of liquidity providers.