Insights into High Frequency Trading from the Virtu IPO [pdf]
1–10 of 132 posts
Re: Insights into High Frequency Trading from the Virtu IPO [pdf]
#2When HFT firm Virtu went public they announced they had one loosing day in 6 years.
A physics professor explained how this was possible by using the law of large numbers and some basic assumptions.
Re: Insights into High Frequency Trading from the Virtu IPO [pdf]
#3I don't know why HFT exists at all. I would just pass a law that forces a bit of random latency/noice in the market data, in the order of seconds (in a similar way as GPS has artificial inaccuracy). Normal people are not gonna notice and all this HFT garbage is completely eliminated. Win win.
Re: Insights into High Frequency Trading from the Virtu IPO [pdf]
#4Electronic arbitrage. Interesting, scalable with compute, and highly risky, if you aren't careful or fast enough.
Re: Insights into High Frequency Trading from the Virtu IPO [pdf]
#5I don't know why HFT exists at all. I would just pass a law that forces a bit of random latency/noice in the market data, in the order of seconds (in a similar way as GPS has artificial inaccuracy). Normal people are not gonna notice and all this HFT garbage is completely eliminated. Win win.
People who are pro-HFT see it as a way of increasing the 'liquidity' of the market. In their eyes it makes it easier to move volume of stock, and moves the bid price of the stock closer to the ask price of the stock.
Re: Insights into High Frequency Trading from the Virtu IPO [pdf]
#6I don't know why HFT exists at all. I would just pass a law that forces a bit of random latency/noice in the market data, in the order of seconds (in a similar way as GPS has artificial inaccuracy). Normal people are not gonna notice and all this HFT garbage is completely eliminated. Win win.
Interesting that you "don't know" something and would immediately start passing laws about it...
Re: Insights into High Frequency Trading from the Virtu IPO [pdf]
#7I don't know why HFT exists at all. I would just pass a law that forces a bit of random latency/noice in the market data, in the order of seconds (in a similar way as GPS has artificial inaccuracy). Normal people are not gonna notice and all this HFT garbage is completely eliminated. Win win.
No they would not. Even if you introduce a 10 sec delay, there will still be someone which will be first after the 10 sec pass, and you can still create models which will be tuned to predict what the price will do 10 sec into the future.
And what do you think about a law which forces all news agencies to wait 1 hour before reporting major news, so that everybody gets a chance to report it, and not only the huge agencies/papers like AFP of NYT.
Re: Insights into High Frequency Trading from the Virtu IPO [pdf]
#8Note that the key assumption for why losses are unlikely is that they make many independent trades that are each likely to be profitable.
But in real markets, outside events can suddenly make many trades all fail at the same time. This is the same reason AAA tranches of CDOs got those high ratings -- you only lose money if many obligations fail at once, but that is extremely unlikely if you think they have low correlation with each another, which was historically the case.
But in a market crash, all correlations will tend towards 1.
Re: Insights into High Frequency Trading from the Virtu IPO [pdf]
#9I don't know why HFT exists at all. I would just pass a law that forces a bit of random latency/noice in the market data, in the order of seconds (in a similar way as GPS has artificial inaccuracy). Normal people are not gonna notice and all this HFT garbage is completely eliminated. Win win.
I agree that it's likely not particularly useful for the market to care about things in millisecond resolution.
Re: Insights into High Frequency Trading from the Virtu IPO [pdf]
#10I don't know why HFT exists at all. I would just pass a law that forces a bit of random latency/noice in the market data, in the order of seconds (in a similar way as GPS has artificial inaccuracy). Normal people are not gonna notice and all this HFT garbage is completely eliminated. Win win.
[deleted]