Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

news.ycombinator.com

Post reply on HN
Print view View original

11–20 of 121 posts

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#11

Post by sjbase »

jpthurman wrote: post #10
lpage wrote: post #3

Earlier quoted context omitted.

> This seems like really deep technology. That it is! > What is the one sentence describing who would use this and why though? Today's market structure costs institutional investors (and by extension households) at least a trillion dollars annually (and Smart Markets hold the potential to eliminate that loss).

>Who would use this and why? This isn't clear to me - are your buyer's institutional investors? Are they buying your technology to create trade options for their end users i.e. an individual investor? I don't know what an ATS is so I gather that I'm not a direct user of your technology - perhaps I would be an indirect user? Would E-Trade, for example, leverage your technology to provide me with a combinatorial buying…

An ATS is like an exchange, so we match buyers and sellers. And you guessed correctly that the initial users are institutional investors - or more directly their brokers. So initially we'll have institutions creating and sending in "Expressive Bids" to improve their execution performance, and to express trades they currently can't via plain limit orders.

That said, we'd love to get to the point where E-Trade etc. are offering combinatorial bidding to retail traders, with us on the back end.

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#12

Post by retube »

lpage wrote: post #3
mushufasa wrote: post #2

This seems like really deep technology. What is the one sentence describing who would use this and why though? Maybe that's in the long block of text somewhere. I work in fintech for broker dealers so I'm genuinely curious what is the use case here.

> This seems like really deep technology. That it is! > What is the one sentence describing who would use this and why though? Today's market structure costs institutional investors (and by extension households) at least a trillion dollars annually (and Smart Markets hold the potential to eliminate that loss).

> a trillion dollars annually?

lol. source / evidence?

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#13

Post by totalZero »

lpage wrote: post #5
totalZero wrote: post #4

This would be far more impactful IMO for a market where price discovery is weak and market access is challenging. For example, equities in Mercosur countries. Very cool regardless.

> This would be far more impactful IMO for a market where price discovery is weak and market access is challenging We very much agree that the potential is even more significant for markets where opacity and price discovery is less efficient than US equities. We chose US equities as a beachhead given the mature regulatory framework and the extent of market fragmentation. Other asset classes and geographies are immedi…

If you decide to go that route, hire me. I can be useful there.

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#14

Post by lpage »

rwissmann wrote: post #7
lpage wrote: post #3

Earlier quoted context omitted.

> This seems like really deep technology. That it is! > What is the one sentence describing who would use this and why though? Today's market structure costs institutional investors (and by extension households) at least a trillion dollars annually (and Smart Markets hold the potential to eliminate that loss).

Exciting implementation of a really cool concept. > Today's market structure costs institutional investors (and by extension households) at least a trillion dollars annually (and Smart Markets hold the potential to eliminate that loss). How does one get to this estimate? That is ~5% of US GDP. Everything else was easy to follow - this seemed high, at least intuitively.

It's a huge number that only makes context when looking at the absurd scale of capital markets globally. BlackRock has written on the cost of liquidity [1]. Unfortunately, much of the institutional research on this topic is in a walled garden, so we plan on publishing on this when we have our own data. Treating it as a Fermi problem, the market cap of US equities is ~50T and 140T notional of US equities traded in 2021. The global market cap is 125T (I don't have trading volumes there). FICC is much larger than equities.

Portfolio returns compound exponentially, so even small inefficiencies matter big time.

[1] https://www.blackrock.com/corporate/literature/whitepaper/vi...

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#15

Post by vslira »

Auctions, deep learning, formal methods and discrete optimization, it seems like you got my list of things I want to learn and turned that into an amazing solution for a giant problem. Congratulations to the team, will be watching from afar and rooting for you!

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#17

Post by lpage »

xxbondsxx wrote: post #9

For those who want a rough programming analogy here -- this sounds like support for multi-row transactions in a SQL database where only single row edits were allowed before. Now you can describe "buy goods A and B at $10 maximum, commit" and have the transaction either succeed or fail. Before you had to edit those rows individually and there's risk that you end up in a weird partial state, hence having to lower your…

Love that analogy—thanks! Combinatorial auctions are in large part about ensuring atomicity. Traders call it legging risk. Auction theorists call it exposure risk.

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#18

Post by sjbase »

xxbondsxx wrote: post #9

For those who want a rough programming analogy here -- this sounds like support for multi-row transactions in a SQL database where only single row edits were allowed before. Now you can describe "buy goods A and B at $10 maximum, commit" and have the transaction either succeed or fail. Before you had to edit those rows individually and there's risk that you end up in a weird partial state, hence having to lower your…

Thanks! :) good analogy and spot on about the market-making costs - hedging atomically as an EMM could unlock quite a lot in the way of liquidity.

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#19

Post by polskibus »

Finally, something truly new, taking care of complexity for businesses for a win-win scenario, not aiming at buying users in batches with VC money and tracking them for life. I appreciate you being humble and honest that it is an application of known methods to a different problem. Good luck, let us know how to follow you for your latest achievements.

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#20

Post by [deleted] »

jpthurman wrote: post #10
lpage wrote: post #3

Earlier quoted context omitted.

> This seems like really deep technology. That it is! > What is the one sentence describing who would use this and why though? Today's market structure costs institutional investors (and by extension households) at least a trillion dollars annually (and Smart Markets hold the potential to eliminate that loss).

>Who would use this and why? This isn't clear to me - are your buyer's institutional investors? Are they buying your technology to create trade options for their end users i.e. an individual investor? I don't know what an ATS is so I gather that I'm not a direct user of your technology - perhaps I would be an indirect user? Would E-Trade, for example, leverage your technology to provide me with a combinatorial buying…

[deleted]
Post reply on HN