hedge fund was run by Myron Scholes and Robert Merton
Granted, in the LTCM case the engineer and the salesmen were the same. But usually the tool maker is separate from the producer. In the CDO case
David X. Li definitely did not sell $1.5tr of products himself.
- flash functionality (essentially, a 30ms-faster peek on large pending orders for people who pay a fee for it) is a big one, and has mostly been disallowed already by the exchanges I'm aware of.
Yep, fortune-telling is my main bugbear, as well as the ability to instantly remove an offer. Confidence in the market is damaged if all investors do not have the same access.
I admit that HFT algos are not all bad. They do help institutions make large trades whist minimising market movements, so aiding this sort of liquidity.
Thanks for the detailed reply and all the links. The forthcoming paper will be an interesting read.
I decide I want to sell 100 shares of MSFT today - right now - at a price of $25.27
A price is the point at which someone willing to buy. Lets say that normal market size (http://www.investopedia.com/terms/n/normalmarketsize.asp) is 10 shares, so we receive $252.70 and still have 90 shares. The market maker has to offer a price and has to accept that price. Repeat the process 10 times and you have sold all the shares, but the price gained for the remaining 90 shares is different to the initial quoted price. But this is just restating your post.
You describe how market makers create liquidity, but not how HFTs create liquidity.
In an 'efficient, liquid' market, I would have been able to make the sale of MSFT & AAPL immediately, and I would have lost less money in the process. HFTs are the ones buying my share of MSFT *right now*, expecting to turn around and sell those in a batch to someone else in about 20 minutes, for pennies (or fractions of pennies) of profit per share.
HFTs already know that they can sell on those shares. There is not waiting and they take no risk. They do not enter into trades that they cannot instantly get out of. Therefore they provide no liquidity.
How exactly does HFT provide liquidity? I believe your post is correct if you are talking about market makers who have to accept all offers below a certain market size, but HFTs can withdraw their offer faster than an investor can accept.
I am more than willing to be wrong. Please correct me.
The difference is that HFT gets to frontrun the market.
The following is from
wikinvest
How does a flash order using HFT work?
As an example, let's assume that a buyer wants to buy 100,000 shares of INTC. The market price of an INTC share is $26.10, but the buyer's limit price is $26.40. In other words, the buyer is willing to pay up to $26.40 for each share of INTC or $0.30 more than its current price.[3]
"Some marketplaces, like NASDAQ, offer high-frequency traders a peek at orders for 30 milliseconds - 0.03 seconds - before they are shown to everyone else. This allows traders to profit by very quickly trading shares they know will soon be in high demand. Each trade earns pennies, sometimes millions of times a day." - The Thirty-Millisecond Advantage, The New York Times.
"Some marketplaces, like NASDAQ, offer high-frequency traders a peek at orders for 30 milliseconds - 0.03 seconds - before they are shown to everyone else. This allows traders to profit by very quickly trading shares they know will soon be in high demand. Each trade earns pennies, sometimes millions of times a day." - The Thirty-Millisecond Advantage, The New York Times.
Via flash orders from NASDAQ, high-frequency trading firms get a peek at these orders for 30 milliseconds before they are shown to everyone else. Having detected a demand for INTC shares, the computers at these firms then start issuing small immediate or cancel (IOC) orders at specific levels above the current price of INTC shares. If the first sell order at $26.15 is accepted by the buyer, another sell order at $26.20 is issued, and so on.
This continues until a sell order at $26.45 is issued. Because the buyer's limit price is $26.40, the sell order at $26.45 is rejected. At this stage, the firms' computers flood the buyer with sell orders at $26.39, causing most of the company's order of 100,000 INTC shares to be filled at $0.29 cents above market price.
Under normal circumstances, a buyer would see the sell order at $26.15 and might subsequently drop the limit price on his/her order. However, high-frequency trading computers are so fast that unless the buyer owned comparable machines, he/she would have no chance to do this.
If the Ask price is 35 and the Offer Price is 34.50
then the automated traders move the prices to 35.1 and 34.4! You don't get to buy at the quoted price. The often quoted liquidity reason is a fallacy. Unfortunately I can't find the article I read to link too.
Liquidity is not provided because the HFT bid/offers get withdrawn.
A HFT is like a shop assistant getting a (tiny) cut of each transaction they process. They sit in between buyers and sellers collecting pennies, like market makers but without having to guarantee a market.
Totally agree!
It's argument in written form. The point of arguing is either to change someone else's opinion, or have yours changed*. There needs to be feedback for disagreement to be useful, so allow one persons opinion to change.
*Ignoring reasons like wasting time, or pissing someone off.
Lotus esprit 3 on the Amiga had a course generator. I didn't find it that much fun though. Especially, for example, when compared to Wipeout on the PS1 where the course designers spent months on the design (they needed to because they had to avoid pop-up).
Human designed levels are much more interesting. Define why, codify, profit.
Of course, multiplicative is what I should have done
XOR is a bit of a bugger to figure out, so I will cheat and use
this.
That's all the gates covered.
Slashdot Mirror
Kettle, meet pot, pot, meet kettle - you are both black.
I've always wondered.... what is the difference between a pot and a kettle?
Topologically a pot is 0 and a kettle is 8
How about during surgery? Germ free information.
Imagine the batter life and weight of a Windows 7 tablet with two screens.
great for muggers.
hedge fund was run by Myron Scholes and Robert Merton
Granted, in the LTCM case the engineer and the salesmen were the same. But usually the tool maker is separate from the producer. In the CDO case David X. Li definitely did not sell $1.5tr of products himself.
Well, the GP post was certainly well structured. No waffle there.
I always took the phrase to be a threat; what would happen if you didn't document.
3. Disallow orders to be canceled unless open for x seconds.
Please enlighten us. Ta
- flash functionality (essentially, a 30ms-faster peek on large pending orders for people who pay a fee for it) is a big one, and has mostly been disallowed already by the exchanges I'm aware of.
Yep, fortune-telling is my main bugbear, as well as the ability to instantly remove an offer. Confidence in the market is damaged if all investors do not have the same access.
I admit that HFT algos are not all bad. They do help institutions make large trades whist minimising market movements, so aiding this sort of liquidity.
Thanks for the detailed reply and all the links. The forthcoming paper will be an interesting read.
I decide I want to sell 100 shares of MSFT today - right now - at a price of $25.27
A price is the point at which someone willing to buy. Lets say that normal market size (http://www.investopedia.com/terms/n/normalmarketsize.asp) is 10 shares, so we receive $252.70 and still have 90 shares. The market maker has to offer a price and has to accept that price. Repeat the process 10 times and you have sold all the shares, but the price gained for the remaining 90 shares is different to the initial quoted price. But this is just restating your post.
You describe how market makers create liquidity, but not how HFTs create liquidity.
In an 'efficient, liquid' market, I would have been able to make the sale of MSFT & AAPL immediately, and I would have lost less money in the process. HFTs are the ones buying my share of MSFT *right now*, expecting to turn around and sell those in a batch to someone else in about 20 minutes, for pennies (or fractions of pennies) of profit per share.
HFTs already know that they can sell on those shares. There is not waiting and they take no risk. They do not enter into trades that they cannot instantly get out of. Therefore they provide no liquidity.
Is this argument incorrect?
How exactly does HFT provide liquidity?
I believe your post is correct if you are talking about market makers who have to accept all offers below a certain market size, but HFTs can withdraw their offer faster than an investor can accept.
I am more than willing to be wrong. Please correct me.
The following is from wikinvest
How does a flash order using HFT work? As an example, let's assume that a buyer wants to buy 100,000 shares of INTC. The market price of an INTC share is $26.10, but the buyer's limit price is $26.40. In other words, the buyer is willing to pay up to $26.40 for each share of INTC or $0.30 more than its current price.[3] "Some marketplaces, like NASDAQ, offer high-frequency traders a peek at orders for 30 milliseconds - 0.03 seconds - before they are shown to everyone else. This allows traders to profit by very quickly trading shares they know will soon be in high demand. Each trade earns pennies, sometimes millions of times a day." - The Thirty-Millisecond Advantage, The New York Times.
"Some marketplaces, like NASDAQ, offer high-frequency traders a peek at orders for 30 milliseconds - 0.03 seconds - before they are shown to everyone else. This allows traders to profit by very quickly trading shares they know will soon be in high demand. Each trade earns pennies, sometimes millions of times a day." - The Thirty-Millisecond Advantage, The New York Times.
Via flash orders from NASDAQ, high-frequency trading firms get a peek at these orders for 30 milliseconds before they are shown to everyone else. Having detected a demand for INTC shares, the computers at these firms then start issuing small immediate or cancel (IOC) orders at specific levels above the current price of INTC shares. If the first sell order at $26.15 is accepted by the buyer, another sell order at $26.20 is issued, and so on.
This continues until a sell order at $26.45 is issued. Because the buyer's limit price is $26.40, the sell order at $26.45 is rejected. At this stage, the firms' computers flood the buyer with sell orders at $26.39, causing most of the company's order of 100,000 INTC shares to be filled at $0.29 cents above market price.
Under normal circumstances, a buyer would see the sell order at $26.15 and might subsequently drop the limit price on his/her order. However, high-frequency trading computers are so fast that unless the buyer owned comparable machines, he/she would have no chance to do this.
25 million to spend on recording studios for young people. That would be money worthwhile.
If the Ask price is 35 and the Offer Price is 34.50
then the automated traders move the prices to 35.1 and 34.4!
You don't get to buy at the quoted price. The often quoted liquidity reason is a fallacy. Unfortunately I can't find the article I read to link too.
Liquidity is not provided because the HFT bid/offers get withdrawn.
A HFT is like a shop assistant getting a (tiny) cut of each transaction they process. They sit in between buyers and sellers collecting pennies, like market makers but without having to guarantee a market.
Greedo now shoots YOU first?
2 memes in one. No need to thank me.
Reminds me a bit of the Umbrella corporation
Takeoffyourtops?
Reallyfuckingsoreass?
Totally agree!
It's argument in written form. The point of arguing is either to change someone else's opinion, or have yours changed*. There needs to be feedback for disagreement to be useful, so allow one persons opinion to change.
*Ignoring reasons like wasting time, or pissing someone off.
Velocity associates the amount of economic activity associated with a given money supply
see http://en.wikipedia.org/wiki/Velocity_of_money
Lotus esprit 3 on the Amiga had a course generator. I didn't find it that much fun though. Especially, for example, when compared to Wipeout on the PS1 where the course designers spent months on the design (they needed to because they had to avoid pop-up).
Human designed levels are much more interesting. Define why, codify, profit.
Of course, multiplicative is what I should have done
XOR is a bit of a bugger to figure out, so I will cheat and use this.
That's all the gates covered.
Acually, NOT is easy
0.7 NOT = 0.3
I can see how an AND gate would work.
Anyone want to guess how the others function?
Or am I on completely the wrong track here.
So they've reduced the directions you can move by 25%. Great.