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Algorithmic Trading is Not High Frequency Trading

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Re: Algorithmic Trading is Not High Frequency Trading

#81
post #67
post #57

Earlier quoted context omitted.

Re: the "best and brightest" it's more at the undergraduate level then the PhD level. My brother has tippy-top grades in physics at one of Harvard/Yale/Princeton and legit research experience in nano-tech, and he like many of his friends in similar positions are choosing between going into industry or R&D and going into finance. The lure of $120k the first year out of school and guaranteed admission to a Harvard/Stan…

There aren't the jobs in R&D, it's as simple as that. Not even 1 in 10 physics PhD's goes on to be a professor. It might not even be 1 in 100.

There aren't jobs in academia, but there are jobs in industry. Intel, IBM, etc, hire people with physics backgrounds to work on new types of memory cells, etc.

But why would you? If you're a 1 in 100 physicist, you might make a discovery that will net your company tens of millions of dollars, but our laws are such that you won't see any of that money. Anything you invent will automatically belong to your employer. Meanwhile, even a 1 in 10 trader can stick with an investment bank long enough to bring in some $1 million/year paydays until exiting to a cushy corporate finance position.

Re: Algorithmic Trading is Not High Frequency Trading

#82

I always find it interesting how much vitriol there is against automated trading, even among programmers. Too many people seem to believe that a small number of, ultra resourceful, nefarious folks are using unfair means to "game the system." The truth, as usual, is less interesting. Doing this type of trading doesn't require millions of dollars and teams of PhDs. You don't have to know the right people and you don't…

> I am also against the ability to trade by borrwing money from brokers (margin trading or leveraged trading). If an individual trader screws up, they wipe themselves out. If they borrowed money, then the consequences of their bad trades starts to seep out to others. If more than a handful of traders, trading on margin, go belly up, the lender could be in trouble as well...you can see how this could ripple across a s…

Even theoretically there are agency problems in many situations re: evaluating credit risk. And as we have learned in practice, people are just bad at gauging credit risk. Finally, the traditional theory doesn't incorporate behavioral economics, which IMHO turns a lot of the traditional precepts on their head.

Re: Algorithmic Trading is Not High Frequency Trading

#83
post #26

Earlier quoted context omitted.

I guess you aren't the only one who started putting in trades within a reasonable margin around the market price after the flash crash. Thus it will be hard to repeat like that. Perhaps a flash crash could happen in the other direction as well? I.e. flash boom, maybe by squeezing the shorters? In that case buying way out of money call options and putting in automatic orders to sell those options if the stock price go…

There was something similar to this in August 2007. A bunch of quant shops blew up, and I believe if you look at the volatility index, it spiked up hugely during this time. http://www.argentumlux.org/documents/august07b_2.pdf

Thanks for the link!

Re: Algorithmic Trading is Not High Frequency Trading

#84
post #81
post #67

Earlier quoted context omitted.

There aren't the jobs in R&D, it's as simple as that. Not even 1 in 10 physics PhD's goes on to be a professor. It might not even be 1 in 100.

There aren't jobs in academia, but there are jobs in industry. Intel, IBM, etc, hire people with physics backgrounds to work on new types of memory cells, etc. But why would you? If you're a 1 in 100 physicist, you might make a discovery that will net your company tens of millions of dollars, but our laws are such that you won't see any of that money. Anything you invent will automatically belong to your employer. Me…

In other words, as long as it's more profitable to play with the government's Ponzi scheme we're going to suffer brain-drain from R&D and other actual industry.

Re: Algorithmic Trading is Not High Frequency Trading

#85
post #72
post #48

Earlier quoted context omitted.

If the increased volatility is driving people out of the market, people who don't mind the volatility should profit, shouldn't they?

Exactly, until their counterparts are all gone and they're left moving hot potatoes among themselves.

Why? Warren Buffet doesn't need a counterpart after he buys a stock.
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