Proof Reading

Announcing, soundproof, Proof’s New Podcast

Today we are launching soundproof, a podcast for fans of the Proof blog who think it…

Proof Trading Progress Update: Q2 2024

Everything is humming at Proof. Our recent wave of new clients have continued to ramp up, and as a result this past quarter was our best ever across all metrics — volume and notional traded, revenue, etc. Our next algo release (into the Close) is right on the…

Mean Squared Error Can Be Too Mean

[TL:DR] We develop a new metric for evaluating predictions of closing auction sizes for US equities…

Proof Trading Progress Update: Q1 2024

Our sixth year is off to a great start with continued growth as many major new clients went live this quarter. Operationally, things are running smoothly, and we deployed significant new technology features to accommodate all the needs of this new wave of…

Reflections 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 capitalism subsumes even its most violent critiques? That satire is impossible in America? That someone at Netflix over-bought…

Alice Tells a Story

It takes a certain amount of hubris to write a blog. Ideally, just a pinch. Enough to imagine that your words can matter or…

Our third Algo: Aggressive Liquidity Seeker

TL/DR: Proof has recently launched our third algo. Like our flagship Proof algo, the…

Proof Trading Progress Update: Q3 2023

This summer Proof was humming on all cylinders, launching exciting new technology and research initiatives and celebrating major successes on the sales front (please see below under Major Updates). We seem to have finally entered a phase of the company where we…

Proof Trading Progress Update: Q2 2023

From a sales perspective, Q2 was by far the most exciting quarter in the history of Proof! We saw a surge in new client interest, and our pipeline of asset managers currently going through our onboarding process ballooned from ~5 firms to more than 20. In some…

Information Leakage Can Be Measured at the Source

The Wirecutter, but for Institutional Financial Services

Did the Market Really Freak Out About a Fake Photo? (Or Maybe We Just Need a Better Way to Put Price Moves in…

The law of large numbers is really the law of small weights

Diversity is 365 Days a Year

We’ve all heard the buzzworthy stats on diversity. And I think, for the most part, it’s now widely accepted that there are merits of having a diverse workforce. Or at least people believe in it enough (or believe in the optics of it enough) to use the words “diversity, equity…

Building a New Institutional Trading Algorithm: Aggressive Liquidity Seeker

The 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 better prices for retail investors, while opponents lament the conflicts of interest it creates…

All I Want for Christmas Is a Broker-Dealer

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…

Reports from Proof’s Quantitative Research Team — part 1 of many

Ok, Economists — Let’s Talk about Domestic Violence

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…