RSS feedHigh frequency trading
’Quant-ifying the HFT effect in stock movements
Here’s something for critics of high-frequency trading (HFT) — and lovers of Markov/Gauss/Mandelbrot minutiae — to pull out for their next dinner party conversation:
It’s a quantitative analysis of 14 NYSE- and Nasdaq-traded stocks between the start of 2002 and the end of May 2009 — including HFT favourite GE .
NYSE programme trading soars end of June
We’ve noted a large fluctuation in last Friday’s programme trading numbers out of the NYSE.
Consequently we’ve decided to chart the year’s overall trend. And doing so confirms a clear and prominent spike in programme trading on the NYSE at the end of June,
[MoneyTech] ‘Someone will always have the data first’
Financial blogger Kid Dynamite has weighed in on “latency arbitrage”: the fact that some investment firms have access to data — and are subsequently able to trade on such — before other market participants.
Tradebot shows Goldman what minting money really looks like
Both Goldman Sachs and JP Morgan were able to boast of having made money every single day in the first quarter of 2010. An impressive feat? Certainly.
But how’s this for performance, via the NY Times (emphasis ours):
CSI: Chicago
The Chicago Mercantile Exchange has published its account of what happened on May 6, and considering trade in the exchange’s e-mini S&P 500 future has been thrust into the spotlight by CFTC chairman Gary Gensler,
Insta-outrage, politicians and the flash crash edition
As the Dow Jones Industrial Average fell off a cliff on Thursday, FT Alphaville wondered: how would US politicians react?
The answer was not long in coming. Within 20 minutes of the close on Wall Street,
Blame the trading bots – again
Does anyone remember the high-frequency-trading outrage that erupted last summer?
Prepare yourself for a redux.
The blame for Thursday’s Dow Jones rout has swiftly shifted from a fat-fingered Citigroup trader to the rise of the machine-trading bots.That’s right,
How ETFs fueled high frequency trading
FT Alphaville has previously noted the connections between the growth in exchange traded funds (ETFs) and the rise of high frequency trading.
For the first time, though, we see the relationship directly referred to by a company that’s positioned in the very heart of the ETF market-making business,
A dark shadow sweeps over Asia…
Dark pools of liquidity could be on their way to the Hong Kong mainstream, and one of those pools is potentially being set up in Singapore this year. Is Asia catching up to the US and Europe in this shadowy arena?
Risk magazine has the story on an intriguing arms race in Asian equities innovation:
Guest post: Roger Ehrenberg asks, ‘are derivatives the real problem?’
Roger Ehrenberg, a veteran of Wall Street (and derivatives), contends that the focus on the ‘evils’ of the derivatives market is misplaced.
Regulators, Congress, and the media generally focus on the crisis at hand.
[MoneyTech] Rise of the news-reading machines
From the FT — some giant leaps for robot-kind in the world of trading:
The arms race in trading technology is set to intensify this week as Thomson Reuters, the news and market data company, on Monday unveils a service for “high-frequency” traders allowing them to make split-second trading decisions based on news articles “before the information moves the market” .
Was 2009 the year of the market maker?
We were intrigued by a comment by one of our contacts that 2009, more than anything else, had been the year of the market maker. And that’s on every level.
Think about it:
Traditional value investing was confused;
‘Grand Theft Auto’ helps traders make money
Would you have thought the future of trading lies in gaming titles like Grand Theft Auto?
That’s not, by the way, because the title teaches bankers street-smart dealmaking skills.
Rather, it’s because
‘A gold rush moment’ for HFT
Unless you’ve had your head buried in the sand, you’ll know high frequency trading stormed onto the mainstream agenda this summer, catching the critical eye of the international press, public and regulators alike.
Where fantasy finance meets the real world
Is this a spoof?
There’s a firm called Cyborg Trading, which promises to bring “automation to equity and derivative front-end trading platforms, without eliminating or replacing the individual trader.”
When equities are not enough, HFT turns to FX and futures
When Nasdaq-listed Knight Capital Group reported third quarter earnings on October 21, the numbers took many investors by surprise.
Net income at the electronic-trading provider fell in the period by 9 cents to 31 cents a share or $29.2m,
[MoneyTech] Why trading machines don’t like news releases
Well, who knew?
Algorithmic FX trading bots — which use computer formulae to trade currencies at high frequency — apparently don’t like news releases, or at least, not initially, according to a new working paper from the Federal Reserve.
Myners enters the HFT debate
City minister Paul Myners on Tuesday became the first mainstream UK politician to wade into the current debate on the dangers of high frequency trading (HFT).
Though his contribution will no doubt drown under certain other news,
RIP oil fundamentals?
Remember the days when hurricanes and geo-political events made oil fly?
Well, according to Olivier Jakob at Petromatrix, those days — for the time being at least — should be forgotten. The correlations between the Dow,
Dark pools and HFT finally catch Schapiro’s eye
Blink and you’ll have missed it:
Finally, we are also reviewing the rise of high-frequency electronic trading strategies, broker arrangements that can give their customers direct access to the markets,
The Daily Show takes on HFT
The Daily Show’s “Cash Cow” sums up high frequency trading: “So douchey traders are being replaced by douchey computers?”
See also: “If I know about a stock’s activity a day before it’s insider trading…if I know about a stock’s activity one second before it’s HFT”
Mrs. Robo Jones starts to make an FX impact
We’ve written about the shifting dynamics in the world of retail forex trading before. In particular, the phasing out of ‘Mrs. Watanabe’ in favour of ‘Mrs. Robo Jones’ — the western-based punter seeking returns in a zero-rate environment,
Just who is buying this rally?
Here’s an insightful question from David Rosenberg of Gluskin Sheff on the matter of the current rally in global equities.
Who is actually doing the buying?
As Rosenberg notes:
It’s not private clients – stock funds registered net outflows of $1.33bn last week.
No HFT in small-caps? Puh-lease…
US Senator Edward Kaufman brought high frequency trading (HFT) back to into the spotlight this week when he took to the Senate floor on Monday. He argued the practice gave certain participants an unfair advantage in the market and urged Congress to tighten rules on the different types of electronic trading that facilitated the process.
HFT in commodity ETFs
When looking through the top holdings of the Powershares DB double long crude ETC, the leveraged commodity ETF that is about to be liquidated, we were intrigued to discover that the largest owner of units was one EWT LLC,
A defence of high frequency trading by NYSE Euronext
This is certainly interesting. On Wednesday, NYSE Euronext’s vice president of corporate communications Ray Pellecchia posted a defence of high frequency trading – flash orders aside – on the exchange’s “Exchanges”
Dawn of the investment assembly line
Machines are taking over the management of equity assets, according a new report issued this week by Tabb group, the research house that drew heavy attention to the proliferation and effects of high frequency trading in US equity markets.
Nasdaq and BATS to stop offering flash trading
The war on high frequency trading continues apace – and already there have been some high-profile casualties, or at the very least, capitulations.
Both Nasdaq and BATS said on Thursday they will stop offering flash trading – mere months after they initiated the service on June 3.