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high_frequency_trading [2010-08-13 07:00] – created 87.210.211.132 | high_frequency_trading [2013-05-09 07:17] (current) – nik | ||
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- | === High Frequency Trading === | + | ==== High Frequency Trading |
- | High-frequency traders employ algorithms to look for patterns in the market and exploit them. The bots that do the trading at millisecond speed are written by financial-mathematicians called Quants. | + | High-frequency traders employ algorithms to look for patterns in the market and exploit them. An important part of this is Low Latency Trading which uses computers that execute trades within milliseconds. The bots that do the trading at millisecond speed are written by financial-mathematicians called Quants. |
- | Often the highest paid form of Quant, ATQs (Algortimic Trading Quants) make use of methods taken from signal processing, game theory, gambling Kelly criterion, market micro structure, econometrics, | + | < |
+ | Because | ||
+ | -- from [[http://en.wikipedia.org/wiki/Quantitative_analyst|Wikipedia]] | ||
+ | </ | ||
+ | < | ||
+ | Often the highest paid form of Quant, ATQs (Algortimic Trading Quants) make use of methods taken from signal processing, game theory, gambling Kelly criterion, market micro structure, econometrics, | ||
+ | -- also from Wikipedia | ||
+ | </ | ||
- | On the appearance of strange bots in algotrade: | + | Dutch TV showed a great doc ' |
+ | |||
+ | ==== Trial and Error ==== | ||
+ | |||
+ | design, test and trade -> https:// | ||
+ | |||
+ | ==== On the appearance of strange bots in HFT ==== | ||
< | < | ||
But the algorithms we see at work here are different. They don't serve any function in the market. University of Pennsylvania finance professor, Michael Kearns, a specialist in algorithmic trading, called the patterns " | But the algorithms we see at work here are different. They don't serve any function in the market. University of Pennsylvania finance professor, Michael Kearns, a specialist in algorithmic trading, called the patterns " | ||
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Donovan thinks that the odd algorithms are just a way of introducing noise into the works. Other firms have to deal with that noise, but the originating entity can easily filter it out because they know what they did. Perhaps that gives them an advantage of some milliseconds. In the highly competitive and fast HFT world, where even one's physical proximity to a stock exchange matters, market players could be looking for any advantage. | Donovan thinks that the odd algorithms are just a way of introducing noise into the works. Other firms have to deal with that noise, but the originating entity can easily filter it out because they know what they did. Perhaps that gives them an advantage of some milliseconds. In the highly competitive and fast HFT world, where even one's physical proximity to a stock exchange matters, market players could be looking for any advantage. | ||
- | "They are moving the high-frequency services as close to the exchanges as possible because even the speed of light matters," | + | "They are moving the high-frequency services as close to the exchanges as possible because even the speed of light matters," |
- | --from | + | --from |
</ | </ | ||
+ | |||
+ | |||
+ | * [[http:// | ||
+ | * [[http:// | ||
+ | * http:// | ||
+ | |||
+ | ==== Accidental Art ==== | ||
+ | |||
+ | {{http:// | ||
+ | |||
+ | |||
+ | ==== Lightspeed not fast enough. ==== | ||
+ | |||
+ | < | ||
+ | The latency disadvantage of globally distributed markets can't be entirely erased by technology, but the comparative lag times for international stock trades in general can be lessened by employing intermediate trading points. Alex Wissner-Gross, | ||
+ | \\ | ||
+ | Securities trading companies could put semiautonomous computers at these strategic crossroads. Programmed with sophisticated buying and selling instructions these computers would act much more promptly to price signals coming from remote markets than if the signals had to travel all the way to the home office.\\ | ||
+ | --from | ||
+ | </ | ||
+ | |||
+ | ==== the 400ms news leak ==== | ||
+ | |||
+ | "On January 31, 2013, approximately 400 milliseconds before the official release of the EIA Natural Gas Report, trading activity exploded in Natural Gas Futures and ETFs such as UGZ, UNG and BOIL." http:// | ||
+ | /4090.html | ||
+ | |||
+ | " | ||
+ | |||
+ | http:// | ||
+ | |||
+ | ==== "This Is What One Half Second of High Speed Trading Looks Like" ==== | ||
+ | |||
+ | < | ||
+ | |||
+ | http:// | ||
+ | |||
+ | ---- | ||
+ | |||
+ | [[category economics]] | ||
+ |