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Make $377,000 trading Apple in one day?

38 点作者 elleferrer超过 11 年前

12 条评论

kolbe超过 11 年前
I hear a lot of complaining about the HFT business, and there is plenty to complain about, but I think every so often we need to take a step back and remember what the alternative is: Insular, inefficient, corrupt, pit-based trading.<p>We now complain about a few pennies being scraped off of each order, which stings a little, but read Reminiscences of a Stock Operator to get some context about the dollars that used to be scraped off of each order by pit traders. Today, if you&#x27;re trading a low dollar stock like Bank of America or Zynga, the vast majority of the money you&#x27;re giving up to make a trade goes to brokerage, rather than to market makers like Getco.<p>Where computers are involved in trading, there will always be an edge to be gained from writing better, faster programs. We can take some steps to de-emphasize making programs that have a speed advantage (e.g. assign random latencies to all entered orders, or to bring all orders in each stock to trade on a single, specially-designated exchange), but I&#x27;ll take computers over pit traders any day.
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AndrewBissell超过 11 年前
&quot;Hendershott walked away with almost $377,000 in theoretical profits by picking off quotes on various exchanges that were fractions of a second out of date.&quot;<p>LOL, classic. If I just _pretend_ I get filled on every order, I make a hojillion dollars, see?
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jellicle超过 11 年前
Intervals of a few milliseconds? You could peg prices every few seconds, minutes, or hours. A trading interval of one trading session per hour would be fine. Put in all your offers to buy or sell, trading closes at 10:00:00 and then all the received trades are matched up and executed. Once per hour, once per minute, any interval works fine for the USEFUL purpose of the stock market (allocate capital). It just happens to kill off the non-useful purpose, gambling.<p>While you&#x27;re at it, tax all stock purchases.<p>All HFT is front-running the market and should be banned.
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dkhenry超过 11 年前
I would like to point out this was a theoretical operation done by this professor. It looks to me there are a few errors in his conclusions ( specifically about the risk associated with what he was pretending to do, and the nature of market making ). Also he didn&#x27;t actually make an algorithm to do the trading and back test it, he just assumed that &quot;with a good algorithm&quot; you could do this.<p>Also the fact that this is represented as a broad threat to the market is just false. This only effects day traders and other HFT&#x27;s. Yes the long term investor might also be hit by this to the tune of 0.01% per transaction, but the liquidity provided by HFT&#x27;s almost makes up for that.<p>Make the system better, but do it so that the market functions more efficiently not so that people who aren&#x27;t you will make less money.
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lifeformed超过 11 年前
How much is he starting with to make that $377k? If I had ten million dollars to play around with, I could easily make that in a day. That figure it meaningless if it&#x27;s not relative to something. What % return is it?
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npad超过 11 年前
I&#x27;ve been wondering - couldn&#x27;t you just impose a small delay, say one or two seconds, on each order - forcing everyone to wait a moment to get their order on the order book.<p>Seems like that should eliminate high-frequency trading altogether?<p>Betting exchanges use this idea to prevent people doing time-based arbitrage on live sporting events. For example, to prevent one guy who&#x27;s watching a match live in the stadium gaining an advantage against someone else watching on TV, where the pictures are delayed a few seconds.
ISL超过 11 年前
The economist&#x27;s preferred trade stoppages don&#x27;t eliminate the advantage of trading fast, they only reduce it somewhat. If the stoppages are a little out of phase globally, they may actually increase it.<p>When buying and selling stocks on timescales of weeks to years, HFT doesn&#x27;t effect my strategies nor outcomes in any meaningful way (except to provide exact pricing at the moment I send in a trade).
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nohuck13超过 11 年前
Translation from cable-news-speak: Henderschott used paper trading to estimate an upper bound on the amount of money to be made by _all arbitrageurs combined_ trading AAPL on BATS for one day. He assumed perfect execution as an estimation tool and this was not an error. He&#x27;s not claiming that he would have made $377k, he&#x27;s estimating the size of the pie.<p>Re: the intermittent auction idea: Having an intermittent auction doesn&#x27;t take speed out of the picture, but it forces traders to be really fast at the moment before the auction instead of all the time. Lots of exchanges have opening and closing auctions where we can see empirical data. Some exchanges try to solve last-moment problem by having a randomized start time for the auction: you know it will be between, e.g. 3:25 and 3:30, but not exactly when.<p>That said, Henderschott is a really smart guy and I haven&#x27;t read the paper. I&#x27;m curious to see what his suggested solution looks like. I was at a talk he gave a few years ago and someone asked him about this, and I understood that he was against the auction idea for pretty much the standard reasons. I wonder what&#x27;s changed.<p>Aside, &quot;Latency arbitrage&quot; is an oxymoron. Latency is more or less the defining characteristic of arbitrage. Just because we&#x27;re using computers instead of carrier pigeons doesn&#x27;t mean the situation is somehow changed. Saying &quot;latency arbitrage&quot; instead of just &quot;arbitrage&quot; seems like a rhetorical device to paint HFT as something new and dangerous, rather than as a continuation of stuff that has always happened. There are plenty of substantive things to debate about HFT, but using scare words doesn&#x27;t improve the quality of the debate.<p>Anybody interested in this stuff should read former high-speed trader Chris Stucchio&#x27;s (yummyfajitas) awesome blog posts and HN discussion. Part 1 here: <a href="https://news.ycombinator.com/item?id=3852341" rel="nofollow">https:&#x2F;&#x2F;news.ycombinator.com&#x2F;item?id=3852341</a>
biturd超过 11 年前
It costs me x dollars to place a trade, how are they getting around a trading fee? Or do not all people have to pay trading fees?
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GigabyteCoin超过 11 年前
&gt; playing one stock (Apple (AAPL)), Hendershott walked away with almost $377,000 in theoretical profits<p>OK... I&#x27;m waiting for tomorrow&#x27;s story that states he actually gained $377K in profit trading his own money using that algorithm.<p>Until I read that article, this is all hearsay.
GoldfishCRM超过 11 年前
Darn. I thought I was going to make 377 000 dollars a day. That would have been around $94M trading stock. Now I have to work for a living... Instead I got this article about fair game. Whats up with that=)
nraynaud超过 11 年前
Why don&#x27;t the pension funds use HFT too if it works better?
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