101–110 of 146 posts
I'm going to say this again: Exchanges should be put on a stepped clock. I'd suggest a one minute interval. Orders pile up during that interval, and then they're processed in random order. If things start to go really, State-concerning hinky, then authorities "pull the plug" before the next interval is up. Anything less, to my mind, serves point-shaving and profiteers, rather than real investment. Then, all the "gear…
Earlier quoted context omitted.
Because of course "real investment" is saintly like the Dalai Lama, and is certainly not looking for a profit.
I take your point, and I didn't downvote you. From my perspective, there is an important difference between taking a position in / with respect to a product (or its organization) and taking a position for the position's sake. Perhaps it is something of a continuum, not a strict either/or. If so, I find that currently we've gone too far towards the latter. I'm also concerned that current constructs exhibit chaotic ten…
I suppose I get concerned when I see forces applying moral judgment to investment techniques and timescales (as distinct from companies actions, where I think it's easier to judge - e.g. not wanting to invest in tobacco, for example).
The long term investor is not necessarily more moral than the short term investor, though he may be. But part of the long-term investor's confidence in his investment emerges from the fact that he can exit his investment if he judges that long term trends make it less valuable to hold it.
That liquidity is, in large part, created by the churn of short-term speculators operating in the zero-sum game of the short term. Spare no tears for the short term-speculators - they operate in a tough game, and the ones who actually thrive and stay around for the long haul do provide a valuable service - reduced trading costs, narrowed bid-ask spreads, and faster order execution as a commodity.
Similarly, products such as ETFs (held by millions of small investors and 401(k) accounts) owe their existence to the ability to rapidly rebalance portfolios in response to changing prices of the underlying products that the ETFs are trying to replicate. Prohibiting rapid trading eliminates the possibility of the various affordable products that track indexes, commodities, sectors, and so forth.
I'm wondering if someone here can explain to me the value in HFT for anyone other than the people doing the trading. I went to Wharton and some old friends are in HFT and the one thing they all say, and I hear repeated everywhere, is that they provide liquidity to the market. Something about it just doesn't ring true to me. If it is in fact true I'd love to hear an explanation.
Liquidity has certainly gone up. Also, it is hard to prove a causal relationship, but with the rise of electronic trading and HFT, price spreads and fees have come down. I can't prove it, but I believe that insider trading is also much less rampant in modern electronic systems than it was in the older pit based markets.
This isn't the article I remember but goes into detail on most of these issues:
http://www.demos.org/publication/cracks-pipeline-part-two-hi...
So much talent... focused on the buying and selling of securities , instead of creating new things that will make the world better in a directly measurable manner. Virtually all trading volume today consists of buying and selling old securities -- essentially, legal claims on existing assets. The sale of new securities issued to finance the creation of new products and services -- for example, a company selling new s…
Virtually all trading volume today consists of buying and selling old securities -- essentially, legal claims on existing assets. The sale of new securities issued to finance the creation of new products and services -- for example, a company selling new shares via an IPO -- represents only a minuscule portion of total trading volume. -- Leaving aside for a moment the question of the value of HFT, this is a skewed vi…
http://www.sifma.org/research/statistics.aspx
It looks like the US bond market daily trading volume is about 25 times higher than the US stock market daily trading volume. However, that statistic is highly skewed by trading in US treasury bonds, which arguably should be a separate category. The same would presumably apply to the stats on market cap.
Also, it's not the relative size of the equities markets that's the problem; it's the amount of effort and talent that goes into what is essentially a zero-sum activity. Bonds and futures (and, to be fair, new stock issues) are positive sum. HFT is not.
(More precisely, HFT is only positive sum to the extent that it improves price discovery and therefore market efficiency; but I have a really hard time seeing how shaving a few more microseconds off trade times changes that significantly. It does, however, significantly change who is able to benefit from asymmetric information by inducing others to take the wrong end of zero-sum trades, which is what HFT is designed to do.)
I'm going to say this again: Exchanges should be put on a stepped clock. I'd suggest a one minute interval. Orders pile up during that interval, and then they're processed in random order. If things start to go really, State-concerning hinky, then authorities "pull the plug" before the next interval is up. Anything less, to my mind, serves point-shaving and profiteers, rather than real investment. Then, all the "gear…
"real investors" do have an option of going to dark pools :)
This is why you see the big investment banks setting up dark pools, they can't compete in the technology race or with smaller more agile firms, so they retreat to these pools.
I'm going to say this again: Exchanges should be put on a stepped clock. I'd suggest a one minute interval. Orders pile up during that interval, and then they're processed in random order. If things start to go really, State-concerning hinky, then authorities "pull the plug" before the next interval is up. Anything less, to my mind, serves point-shaving and profiteers, rather than real investment. Then, all the "gear…
Earlier quoted context omitted.
Virtually all trading volume today consists of buying and selling old securities -- essentially, legal claims on existing assets. The sale of new securities issued to finance the creation of new products and services -- for example, a company selling new shares via an IPO -- represents only a minuscule portion of total trading volume. -- Leaving aside for a moment the question of the value of HFT, this is a skewed vi…
Wouldn't a more relevant statistic be trading volume? Stats for that (at least for the US market) are here: http://www.sifma.org/research/statistics.aspx It looks like the US bond market daily trading volume is about 25 times higher than the US stock market daily trading volume. However, that statistic is highly skewed by trading in US treasury bonds, which arguably should be a separate category. The same would presu…
Also on FX
If there is an API normally there is programmatic trading.
Earlier quoted context omitted.
Wtf? An example of latency arbitrage is say, two identical fungible securities listed on different exchanges. An order arrives causing the price on one exchange (A) to spike up (the event), you react after that event and buy the security on the other exchange (B). You reacted fastest to public knowledge. Front running would be if you were say sitting on a broker desk and one of your clients rang up and said to buy lo…
An example of latency arbitrage is... Arbitrage requires that you cross the trade. You've merely described a following Algorithm. One that leaves open long positions.
Earlier quoted context omitted.
Wouldn't a more relevant statistic be trading volume? Stats for that (at least for the US market) are here: http://www.sifma.org/research/statistics.aspx It looks like the US bond market daily trading volume is about 25 times higher than the US stock market daily trading volume. However, that statistic is highly skewed by trading in US treasury bonds, which arguably should be a separate category. The same would presu…
HFT is on Treasuries - primarily arbing venues (brokertec/espeed/Tradeweb vs CME) Also on FX If there is an API normally there is programmatic trading.
Earlier quoted context omitted.
I think I'm being trolled but I'll bite. What's wrong with the word amazed? If I said I worked at Google and I continue to be amazed at the tech behind how they served up ads would I still get the same remark from you? Maybe I could be doing more with my skill? I don't know but I really love the learning curve I'm on working with cutting edge technology and pushing the performance envelope.
I realized that there's a frequent uproar against HFT, so I assume people here are pretty tired of it and are not willing to discuss it/have their minds made up about it already. That's why I won't go rhetoric. edit: I guess, I did though. I can't help to reply to the adwords question - although you can argue that advertising/marketing is soulless, at least it creates real world value. Someone makes a product, someon…
Or maybe you are worried they would buy less? In that case, would the world really be a worse place? People only buying what they need...