New Revealing paper on High Frequency Trading
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New Revealing paper on High Frequency Trading
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Re: New Revealing paper on High Frequency Trading
#2Three most salient points of the paper offer an almost direct counter to HFT’s biggest critics:
- HFT activity has no impact on market volatility and may event decrease it.
- The authors find that there is no evidence of abusive front running.
- HFT plays an important role in price efficiency and the price discovery process.
Re: New Revealing paper on High Frequency Trading
#3Based on my experience building HFT systems and communicating with others doing HFT, the results of this study sound about right. HFT traders are essentially just market makers, meaning that they generally place orders on both sides of the market in an attempt to profit from short-term mean reversion.
Re: New Revealing paper on High Frequency Trading
#4Based on my experience building HFT systems and communicating with others doing HFT, the results of this study sound about right. HFT traders are essentially just market makers, meaning that they generally place orders on both sides of the market in an attempt to profit from short-term mean reversion.
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Re: New Revealing paper on High Frequency Trading
#5Scientific papers about politically controversial topics that involve billions of dollars of money flowing around in firms that can potentially hire the author later, need to be taken with a grain of salt. A large grain of salt. Sad but true. You can't trust science papers about politically controversial, money-impregnated topics the way you can almost sorta sometimes trust science papers about completely noncontroversial topics.
I have no particular reason to distrust the author or the paper. Only general reasons to distrust the topic.
Re: New Revealing paper on High Frequency Trading
#6Scientific papers about politically controversial topics that involve billions of dollars of money flowing around in firms that can potentially hire the author later, need to be taken with a grain of salt. A large grain of salt. Sad but true. You can't trust science papers about politically controversial, money-impregnated topics the way you can almost sorta sometimes trust science papers about completely noncontrove…
Indeed, I wonder if anyone has done a literature survey to detect whether economics academics ever manage to state contrary conclusions to general market sentiments? For example, whether anyone was warning of the dangers of the pricing models used for CDOs etc. a few years back.
Re: New Revealing paper on High Frequency Trading
#7 The only function of economic forecasting
is to make astrology look respectable.
-- J K Galbraith:Re: New Revealing paper on High Frequency Trading
#8Scientific papers about politically controversial topics that involve billions of dollars of money flowing around in firms that can potentially hire the author later, need to be taken with a grain of salt. A large grain of salt. Sad but true. You can't trust science papers about politically controversial, money-impregnated topics the way you can almost sorta sometimes trust science papers about completely noncontrove…
Indeed, I wonder if anyone has done a literature survey to detect whether economics academics ever manage to state contrary conclusions to general market sentiments? For example, whether anyone was warning of the dangers of the pricing models used for CDOs etc. a few years back.
No time to make some search right now, but I remember a few people pretend having known and spoken about the CDO dangers a few years before the crisis. Roubini is one them, but there is still a discussion going on whether he really foresaw it.
If you look at economic research in Europe, you'll see many other opinions, like about the importance of the state, or alternative economic models. You'll probably find studies against HFT also.
Re: New Revealing paper on High Frequency Trading
#9There's a lot of FUD surrounding the topic of high frequency trading (lowercase). Much more important to stability and sanctity of markets is transparency and effective regulation. Traders by design are trained to find inefficiencies to exploit -- that's how they make money. If some traders have discovered that by having computers trade really quickly, they can get an edge - well, that's kind of the point of trading. I think this paper is right to point out that high frequency trading has little to no impact on the overall marketplace.
Re: New Revealing paper on High Frequency Trading
#10Based on my experience building HFT systems and communicating with others doing HFT, the results of this study sound about right. HFT traders are essentially just market makers, meaning that they generally place orders on both sides of the market in an attempt to profit from short-term mean reversion.
HFT traders are essentially just market makers
High frequency trading is a broad term that encompasses anything that involves computerised algorithms interacting with a market, and with short position holding periods.
MM is a set of strategies which generally requires HFT if you're to be competitive with it on electronic markets.