They Still Haven't Told You
arxiv.org
They Still Haven't Told You
1–10 of 76 posts
Re: They Still Haven't Told You
#2Seems 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.
Re: They Still Haven't Told You
#3Seems 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.
Shades of Slartibartfast: "... Anyway, the recession came, so we decided to sleep through it."
Re: They Still Haven't Told You
#4The 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.
Re: They Still Haven't Told You
#5> Fortunately, the other sentences in footnote 78 contain no words that start with v, so we should be able to take them at face volume.
Savage.
I saw lots of charts & graphs & flashy wordsmithing, but I didn't actually see any evidence or examples of firms doing unscrupulous trades.
I'm not an expert, but I know better than to dish it out better than I can take it. My opinion is that these "exemplary" market returns are simply the result of markets being open only part of the day: between 0930h and 1600h there's liquidity to buy/sell your position at any time, for the prevailing price. Markets are open only 7h of the day but 24h worth of events takes place each day.
The other elephant in the room is that all market participants know the trading hours. Much news, releases, events, etc. happen outside of the liquid trading hours, resulting in discrete jumps between the close of one day and the open of another.
These are also cumulative returns over a huge timespan: everybody knows the fed can crash the markets mid-day with the wrong jawboning. the reverse price effect can also be true, resulting in huge open-to-close changes.
Re: They Still Haven't Told You
#6Seems 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.
This would make tons of sense with regard to actual HFT firms. If you're whole schtick is doing stuff over timescales that are (far) shorter than a minute, being locked into a position for hours is risk you really don't want to take.
Re: They Still Haven't Told You
#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.
Re: They Still Haven't Told You
#8Seems 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.
You clearly didn't read the abstract. There's obviously a conspiracy and if any of this is news to you, it is because the people you trust to alert you to such problems still haven’t told you.
Only Bruce knows the truth!!!
/s
Re: They Still Haven't Told You
#9Seems 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.
This would make tons of sense with regard to actual HFT firms. If you're whole schtick is doing stuff over timescales that are (far) shorter than a minute, being locked into a position for hours is risk you really don't want to take.
Exactly, the randomness of overnight would completely erase the consequences of a day full of miniscule trades.
Re: They Still Haven't Told You
#10important 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 selling calls.