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CPTrader
Registered: Sep 2003
Posts: 1228 |
07-06-05 11:01 PM
High Frequency Trading (HFT) seems to be the new rave on hedge fund street/wall Street.
Is there really an edge in this strategy or is it just lot's of the typical Wall Street hype?
All comments, experiences, insights, will be much appreciated.
Many Thanks.
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TimP
Registered: Jun 2005
Posts: 34 |
07-06-05 11:20 PM
HFT is not an inherently better way to trade the market. Indeed, given transaction costs, it is a relatively expensive way to trade. Furthermore, it emphasizes the importance of nano-second order transmission and smart order-execution routing.
Subject to these constraints, HFT tries to exploit current inefficiencies in trading opportunities available to the broad market, whether based on improvements to data latency, unique algorithms, or both.
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Alchemist
Registered: Feb 2002
Posts: 61 |
07-06-05 11:23 PM
Well, it just sounds cooler.
The term "daytrading" is out of fashion: people think of the stock bubble and how they lost lots of money at best, at worst they think of guys who go into offices and kill a bunch of people.
"Scalping" is an even less savoury word: an even more painful death than getting shot by the berserk daytrader.
"High frequency trading" also implies some kind of automation support.
Saying "I do automated scalping" just doesn't have that ring.
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CPTrader
Registered: Sep 2003
Posts: 1228 |
07-06-05 11:28 PM
Quote from Alchemist:
Well, it just sounds cooler.
The term "daytrading" is out of fashion: people think of the stock bubble and how they lost lots of money at best, at worst they think of guys who go into offices and kill a bunch of people.
"Scalping" is an even less savoury word: an even more painful death than getting shot by the berserk daytrader.
"High frequency trading" also implies some kind of automation support.
Saying "I do automated scalping" just doesn't have that ring.
Hilarious but true!
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CPTrader
Registered: Sep 2003
Posts: 1228 |
07-06-05 11:30 PM
Quote from TimP:
HFT is not an inherently better way to trade the market. Indeed, given transaction costs, it is a relatively expensive way to trade. Furthermore, it emphasizes the importance of nano-second order transmission and smart order-execution routing.
Subject to these constraints, HFT tries to exploit current inefficiencies in trading opportunities available to the broad market, whether based on improvements to data latency, unique algorithms, or both.
My concern has always beenwith the issue of transaction costs. How can you make money given the high transaction costs and the small margins you attempt to capture?
In addition, what is the 'edge' in this so called HFT? I can't discern it. Furthermore, I think HFT and many so-called "arb" strategies have great embedded AND hidden risks. Just my thoughts... I'm open to debate and insights from those more experienced and enlightened.
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ssternlight
Registered: Feb 2002
Posts: 1259 |
07-06-05 11:37 PM
There is some stuff -- including a few interesting articles -- stashed here .
The recent competition and the winning buying the book strategy was interesting...
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