WEEKLY DIGEST 2014, December 07 - 14 for High Frequency Trading Review - Quant, Algo and High Frequency Trading As Dream
mql5 blog post
"This, folks, is what we call a “mini flash crash.” GDX was happily trading along all day, up just a little bit on the day, and in the last two seconds of trading—from 3:58:58 to 4:00:00—millions of shares changed hands while the price dipped as low as $17.72, before finally recovering to a rational price of $19.62."
Singapore's Temasek buys stake in US high-frequency trading firm Virtu Financial
Temasek Holdings' portfolio size rose 3.7% to a record S$223bn in the 12 months to March 2014. The fund also reported a net income of S$10.9bn, a tad higher than the preceding year's S$10.6bn. The investment firm described the financial year ended March 2014 as its most active year for new investments since the global financial crisis. The top three sectors for investments during the year were financial services, life sciences and energy.
Aggressive High-Frequency Trading in StocksWhy does aggressive HFT participation matter? Multiple academic studies have confirmed that aggressive HFTs worsen market conditions for institutional investors. The aggressive HFTs are not to be confused with the passive HFTs, as the passive HFTs have been shown to improve liquidity in the markets, while the aggressive HFTs tend to worsen liquidity conditions. As a result, large trades in stocks with higher aggressive HFT participation obtain worse prices than do trades in comparable stocks with lower aggressive HFT interest, among other problems. Understanding aggressive HFT participation in securities of interest may help institutional investors lower execution costs and generate higher investment returns as a result.
Quant, Algo, High Frequency Trading A “Money Printing” Dream
In any society in the world where life is busy enough for lines of people to form, waiting to place an order or to receive a service, there is a universal dislike for those who jump to the front of the line without waiting for their turn. According to some, High Frequency Traders (HFTs) are doing just this: jumping to the front of the “order line.” This behavior has been likened to placing bets at a horse race in which a small group of people already know the outcome so that they win every time.
According to author Michael Lewis in his new book “Flashboys” high-frequency trading is so technically complicated that most people don’t understand it, allowing those who use it to “print” billions of dollars while raising costs for average investors. According to Lewis “if people understood what high-frequency traders were doing it would be outlawed.”
the article
