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

They Still Haven't Told You

arxiv.org

Post reply on HN
Print view View original

21–30 of 76 posts

Re: They Still Haven't Told You

#21

Post by vineyardmike »

Victerius wrote: post #13
paulpauper wrote: post #10

important news is often released b4 market open or after close, or pundits will hype the stock over the close. Manipulation, such as gapping the price higher or lower to make profit from options or increased liquidity of regular trading hours. So you spend $10 million in the pre-market hours to make a stock open 5% higher and then use the extra liquidity to unload a $100 million position at the open while also sellin…

Tangential question: why isn't the stock market open 24/7/365 (minus periodic maintenance of the computer systems)?

Because once upon a time people had to go in person to a building to trade and no one wanted to do that 24/7.

Now, we still maintain that for some markets. I'm guessing its a combination of laws, inertia, and the ability to do outside of RTH news/sys updates.

Some markets are open much more than the 9-430 stock market - for example futures markets open sunday night.

Re: They Still Haven't Told You

#22

Post by dan-robertson »

raws wrote: post #12

People tend to point out how much energy cryptos consume, is there an estimate for how much high frequency trading consumes world wide?

Well for the actual trading they will be operating out of the same datacentres as the exchanges which are not particularly massive and will have relatively small limits on the heat (and therefore power). There will be other computers in other bigger cheaper datacentres for analysis and suchlike. And office buildings of course. But not really comparable to e.g. the energy usage of Argentina. I would guess the total is less than one of the massive internet companies like Google or fb but that might be a bit low.

Re: They Still Haven't Told You

#23

Post by cesaref »

spekcular wrote: post #4

The author's earlier paper explains more clearly exactly what the firms in question are doing and how they profit from it: https://arxiv.org/abs/1811.04994 The first page suffices to get the idea.

But spreads aren't larger in the morning are they? If anything they are smaller, due to the action of the opening auction. Without actual data to back up that assertion, the rest of it doesn't really need reading.

Assuming his assertion is correct, the reverse is also a strategy. Selling in the morning, causing prices to drop, then buying back when they are cheap in the afternoon, so ending flat but having made money.

So anyone that buys and then sells or sells and then buys makes money. This is easy! What could possibly go wrong?

My knowledge of this is maybe limited, i've not worked as a quant, but i've stared at a fair bit of market data having written feed handlers for a fund.

Re: They Still Haven't Told You

#24

Post by paulpauper »

Victerius wrote: post #7

> one or more large, long-lived quant firms tending to expand its portfolio early in the day (when its trading moves prices more) and contract its portfolio later in the day (when its trading moves prices less), losing money on its daily round-trip trades to create mark-to-market gains on its large existing book. Renaissance Technologies' Medallion Fund? Simons is a genius.

I am surprised that by now, decades later, no one has the goods on Renaissance . What is to stop someone who works there or former employee from uploading to the dark web the "Renaissance strategy", for a price tag of $10-100 million btc, monero or something. Who would know. Although no one would beleive him.

Re: They Still Haven't Told You

#25

Post by quickthrower2 »

ebe1e95d8942 wrote: post #15
ksdale wrote: post #2

Seems to me like an easy explanation is that a whole ton of firms wouldn't want to hold anything overnight because you can't respond to it until the next morning? So they pile in in the morning, and exit in the afternoon.

but this article is explaining that unless you are selling short in the morning and covering at night, there are mostly negative returns for intraday trading, i.e. "pil(ing) in in the morning, and exit(ing) in the afternoon". There are lots of firms and funds and floors that never hold overnight, but this research demonstrates that that is basically a statistically losing strategy. If you follow markets it's almost i…

This makes sense to me as given a constant rate if information per hour from world markets and the world in general, there will be more information outside of trading hours than within them.

Re: They Still Haven't Told You

#26

Post by pavlov »

Victerius wrote: post #13
paulpauper wrote: post #10

important news is often released b4 market open or after close, or pundits will hype the stock over the close. Manipulation, such as gapping the price higher or lower to make profit from options or increased liquidity of regular trading hours. So you spend $10 million in the pre-market hours to make a stock open 5% higher and then use the extra liquidity to unload a $100 million position at the open while also sellin…

Tangential question: why isn't the stock market open 24/7/365 (minus periodic maintenance of the computer systems)?

Because professionals don’t want to monitor stock prices 24/7, and because the end-of-day price is significant a lot of things.

A lot of trading takes place in the last 30 minutes of the day for that reason.

Re: They Still Haven't Told You

#27

Post by dataflow »

raws wrote: post #12

People tend to point out how much energy cryptos consume, is there an estimate for how much high frequency trading consumes world wide?

Not sure, but I understand crypto uses > 0.5% of global electricity production. So you can pull up any chart that accounts for the 99.5% of top electricity users and verify HFT is not one of them if that's what you're seeking to show.

Re: They Still Haven't Told You

#28

Post by xyzzy123 »

lxgr wrote: post #16
raws wrote: post #12

People tend to point out how much energy cryptos consume, is there an estimate for how much high frequency trading consumes world wide?

People have certainly tried, but I think that these comparisons don't make any sense. What makes the "waste" of crypto stand out is a qualitative concern: HFT uses energy as a means to an end (i.e. computation), while proof-of-work mining has an incentive structure that directly rewards energy expenditure. In other words, one is energy- (and hardware-)bound, the other isn't. As a thought experiment: If fusion energy…

You left it unsaid but wow, PoW is a horrifying grey-goo type scenario that ends in dyson spheres and intersellar war. I had never explicitly thought that through before.

Re: They Still Haven't Told You

#29

Post by tome »

There are so many questions waiting to be answered. He's plotted intraday versus overnight returns and showed that the former are larger. He claims this is evidence of market manipulation because overnight positions should be less risky. So demonstrate that by plotting the volatilities! There's no mention of observed volatility in either paper. I'd be willing to bet the overnight vols are correspondingly higher.

An interesting result -- but not worth the hot air.

Post reply on HN