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high_frequency_trading [2013-01-31 23:01] nikhigh_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. 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. 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.
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 Dutch TV showed a great doc 'Quants the alchemists of Wall Street' see it in mediaplayer:[[http://player.omroep.nl/?aflID=10567577/|tegenlicht]] (short intros are in Dutch) which claims that only a few leading ATQs understand and therefore dominate this global financial trade. Dutch TV showed a great doc 'Quants the alchemists of Wall Street' see it in mediaplayer:[[http://player.omroep.nl/?aflID=10567577/|tegenlicht]] (short intros are in Dutch) which claims that only a few leading ATQs understand and therefore dominate this global financial trade.
  
-=== Trial and Error ===+==== Trial and Error ====
  
 design, test and trade -> https://www.quantopian.com/algorithms design, test and trade -> https://www.quantopian.com/algorithms
  
-=== On the appearance of strange bots in HFT ===+==== On the appearance of strange bots in HFT ====
 <blockquote> <blockquote>
 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 "curious," and noted that it wasn't immediately apparent what such order placement strategies might do. 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 "curious," and noted that it wasn't immediately apparent what such order placement strategies might do.
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    * http://www.nanex.net/FlashCrash/CCircleDay.html    * http://www.nanex.net/FlashCrash/CCircleDay.html
  
-=== Accidental Art ===+==== Accidental Art ====
  
 {{http://www.nanex.net/FlashCrash/CropCircles/BKF_080310.png}} {{http://www.nanex.net/FlashCrash/CropCircles/BKF_080310.png}}
  
  
-=== Lightspeed not fast enough. ===+==== Lightspeed not fast enough. ====
  
 <blockquote> <blockquote>
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 </blockquote> </blockquote>
  
-=== the 400ms news leak ===+==== 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://www.nanex.net/aqck2 "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://www.nanex.net/aqck2
 /4090.html /4090.html
 +
 +"Veteran traders would usually wait in anticipation for the weekly report of gas-inventory figures by the U.S. Energy Information Administration released on Thursday at 10.30 AM and then dive into the busiest trading window of the week. This is no longer true as most traders are now staying out of the market due to the HFTs new strategy - sending floods of orders in an effort to trigger huge price swings just before the data gets released, also known as “banging the beehive”.
 +
 +http://invezz.com/news/alternative-investments/625-uk-report-advises-against-more-hft-regulations
 +
 +==== "This Is What One Half Second of High Speed Trading Looks Like" ====
 +
 +<html><iframe width="640" height="360" src="https://www.youtube.com/embed/rB5jJuMP84E?feature=player_embedded" frameborder="0" allowfullscreen></iframe></html>
 +
 +http://blogs.smithsonianmag.com/smartnews/2013/05/this-is-what-one-half-second-of-high-speed-trading-looks-like/
  
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