Not on this thread because I respect professional attitude of hft and would like to thank him for keeping it professional.
1.if these guys had no unfair advantage i'd be fine. hapy to take on phd's and whoever else. 2. if they have unfair advantage i will not participate. my thinking reflects thinking of many. connect this to flash crashes, indicating lack of participation, and i can assume with high probability that hft's have unfair advantage. no doubt, hft-ers will deny at all costs. Now, how you going to undermine this argument ?!?!
right, but nowadays, can you even be competitive with a $5k server and $5k/mo connection fees? curious what you think the minimum cost to entry is to even stand a chance? hundreds of thousands per day in costs is pretty impressive.
Absolutely. Well maybe 5K is pushing it but let's say 10K for the same server we use. You can be in the same ballpark as any HFT firm in terms of speed with that hardware, and the connection to the exchanges are identical, down to the cable length so it's even footing for everyone. In fact if I did exactly this, I have no doubt I'd be faster than my current setup because I could remove any iota of latency that is not crucial to my customized application (but is a part of the shared libraries that I use). However you are severely limited in the number of markets/inputs you have so your PNL potential will be limited. Fees would be another factor depending on your clearing arrangement. Hence your profit margin and sharpe will be lower than mine, but given the right choice of market and product there is no financial reason you couldn't make consistent money with that basic setup.
What would you estimate to be a feasible comm per share under such a set up? And what type of monthly pnl would you expect with it? Of course, I realize there are a ton of dependencies, but I'm just curious what sort of numbers would sound reasonable to you.
I find it to be the opposite. And if time and price scale will be removed from a chart, you will not be able to tell 5 min and 1 week charts apart.
Are you saying that shorter time horizons are less random? I don't think you are. Let's see if I can clarify. Two blips do not make a trend. A dozen or a hundred might. A trend is not random price action (though, yes, we observe what appear to be trends in random data). If you watch a tick chart (the shortest time horizon), you will see a random succession of blips. On a 5 min chart, you might see a trend. If you are trading a tick chart, you are much more likely to encounter random results (excluding the spread); if you are trading a longer time horizon, you are more apt to encounter a trend. Finally, back when I was testing trend-following systems, they demonstrated better profitability over longer time horizons. I don't think I've quite said it as clearly as might like to, but hopefully shedding a bit more light on the point. It does seem like time should be irrelevant, so I suppose what I'm describing is the number of trials, not necessarily the time horizon. Maybe someone could address that.
The short term is definitely more predicable than the long term. There are stocks where you can predict the next tick with near certainty (and of course that is not enough to be profitable in those cases).
every tick is finely crafted, predicable, elementary , inconspicuous, preposterous. jack hershey explains it all.