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They say that stocks go down during the day and up at night

statmodeling.stat.columbia.edu

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Re: They say that stocks go down during the day and up at night

#81

Post by dahfizz »

planede wrote: post #76
dahfizz wrote: post #73

Earlier quoted context omitted.

If anyone is wondering, this is not a joke. Some of the trading systems I've worked on were designed to be restarted every night. The memory didn't "leak", but was designed this way - preallocate all the memory you could need, and its "freed" when you restart at night.

> preallocate all the memory you could need Well, why did they have to restart if they never made any further allocations? This does not add up.

Because the memory fills up. You pre-allocate a million orders, and send 800k orders a day, leaving only 200k free slots. You're going to run out mid day tomorrow if you don't restart.

Re: They say that stocks go down during the day and up at night

#82

Post by rootusrootus »

dumbfounder wrote: post #67
evrydayhustling wrote: post #62

Earlier quoted context omitted.

Add to all of these that the return is uninvestable, so the market cannot eliminate the arbitrage. 1016x over 30 years is a gain of less than 0.001% per trading day. You would have spent much more than this through fees and market impact to buy and sell the stock each day, especially at any real volume. The market is full of uninvestable or tiny capacity trades like this. A reliable pattern gets created by trading fl…

Imagine how many HFT algorithms are out there trying to exploit every micro trend to the extreme. I am not in that game, but I can imagine all the things I would try, and I know there are really smart people and obviously a ton of money invested in it. Trying to find something simple that consistently makes money for a long time would be nearly impossible because the patterns would be found and exploited by many unti…

I think at this point the traditional stock market has so much algorithmic trading going on that making your own algorithm that can consistently win is basically impossible. But there are other less popular markets that don't receive the same attention.

Re: They say that stocks go down during the day and up at night

#83

Post by twic »

devnullbrain wrote: post #38
twic wrote: post #28

Earlier quoted context omitted.

Historically, it's because exchanges were real places that people went to, and it would be expensive and pointless to run them all night. These days, there is a trend towards opening hours getting longer (eg [1]). But there is still value to limited hours. Off the top of my head: 1. Liquidity gets concentrated. If there is a fixed amount of end-user demand (inflows into pension funds, oil production to hedge), then s…

>Closing the market gives participants time to do various kinds of admin related to trading. Trading firms can restart their software to fix the memory leaks.

Restarting software once a day to work around memory leaks is real amateur-hour stuff. Mine does it every 10-20 minutes.

Re: They say that stocks go down during the day and up at night

#84

Post by twic »

toyg wrote: post #55
twic wrote: post #28

Earlier quoted context omitted.

Historically, it's because exchanges were real places that people went to, and it would be expensive and pointless to run them all night. These days, there is a trend towards opening hours getting longer (eg [1]). But there is still value to limited hours. Off the top of my head: 1. Liquidity gets concentrated. If there is a fixed amount of end-user demand (inflows into pension funds, oil production to hedge), then s…

> You'd need six people if trading was round the clock, and those people aren't cheap. That's not a good argument. If there were more openings for that kind of position, more people would apply, and average remunerations would get lower. The real problem is that this would effectively distribute wealth (and access to wealth) more widely, and the ruling classes can't have that as a matter of principle.

Hiring six traders instead of two does not strike me as a form of wealth redistribution effective enough to warrant the attention of the all-powerful Illuminati, although i'll ask them next time i see them just in case.

Re: They say that stocks go down during the day and up at night

#85

Post by adversaryIdiot »

dumbfounder wrote: post #67
evrydayhustling wrote: post #62

Earlier quoted context omitted.

Add to all of these that the return is uninvestable, so the market cannot eliminate the arbitrage. 1016x over 30 years is a gain of less than 0.001% per trading day. You would have spent much more than this through fees and market impact to buy and sell the stock each day, especially at any real volume. The market is full of uninvestable or tiny capacity trades like this. A reliable pattern gets created by trading fl…

Imagine how many HFT algorithms are out there trying to exploit every micro trend to the extreme. I am not in that game, but I can imagine all the things I would try, and I know there are really smart people and obviously a ton of money invested in it. Trying to find something simple that consistently makes money for a long time would be nearly impossible because the patterns would be found and exploited by many unti…

Algos or not, the game will always be about predicting the future and there will always be opportunities. Otherwise the markets would stay flat.

Re: They say that stocks go down during the day and up at night

#86

Post by brmgb »

astrange wrote: post #74
brmgb wrote: post #58

Earlier quoted context omitted.

Yeah, yeah, I know the drill lower fees, faster price discovery, better liquidity. You will have a hard time convincing me any of these benefits are worth tolerating the damage speculations wreak like clockwork every ten years or so but I know I am on the losing side of this battle.

Market makers aren't speculators. It's like the opposite.

Market makers very much are speculators. They intend to make money on the spread. They clearly are not investors.

Re: They say that stocks go down during the day and up at night

#87

Post by planede »

dahfizz wrote: post #81
planede wrote: post #76

Earlier quoted context omitted.

> preallocate all the memory you could need Well, why did they have to restart if they never made any further allocations? This does not add up.

Because the memory fills up. You pre-allocate a million orders, and send 800k orders a day, leaving only 200k free slots. You're going to run out mid day tomorrow if you don't restart.

Ah, OK. But I would characterize this as an internal allocator that never deallocates. You might as well replace `malloc` and `free` to do the same, and just allocate within the program normally.

Just because you "preallocate" it doesn't mean that you don't implement a poor man's allocator inside the preallocated buffer.

Re: They say that stocks go down during the day and up at night

#88

Post by malshe »

evrydayhustling wrote: post #62
tristanj wrote: post #43

There are several explanations for this phenomena: * The largest moves in price occur after quarterly earnings announcements, which are released after-hours. Same with other material announcements. * Prices are more volatile after-hours because there are fewer market participants. Because the order book is smaller, the same sized trade will have a larger effect on price after-hours compared to during trading hours. *…

Add to all of these that the return is uninvestable, so the market cannot eliminate the arbitrage. 1016x over 30 years is a gain of less than 0.001% per trading day. You would have spent much more than this through fees and market impact to buy and sell the stock each day, especially at any real volume. The market is full of uninvestable or tiny capacity trades like this. A reliable pattern gets created by trading fl…

There are so many amazing profitable trading strategies if one doesn't account for the transactions costs!

Re: They say that stocks go down during the day and up at night

#90

Post by jjtheblunt »

evrydayhustling wrote: post #62
tristanj wrote: post #43

There are several explanations for this phenomena: * The largest moves in price occur after quarterly earnings announcements, which are released after-hours. Same with other material announcements. * Prices are more volatile after-hours because there are fewer market participants. Because the order book is smaller, the same sized trade will have a larger effect on price after-hours compared to during trading hours. *…

Add to all of these that the return is uninvestable, so the market cannot eliminate the arbitrage. 1016x over 30 years is a gain of less than 0.001% per trading day. You would have spent much more than this through fees and market impact to buy and sell the stock each day, especially at any real volume. The market is full of uninvestable or tiny capacity trades like this. A reliable pattern gets created by trading fl…

What is meant by to arbitrage out?
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