Browsing: HFT

Posts Tagged ‘ HFT ’

Interest Rate Derivatives, Announcements and HFT: It’s All About Timing

May 23rd, 2019 | Filed under: Newly Added, Algorithmic and high-frequency trading, The A.I. Industry, Credit Derivatives, Structured Credit Products, Structured Products

Three scholars associated with the University of Wollogong, Australia, recently published a paper on the contribution of high-frequency traders to the absorption of new information by the markets, especially in relation to the prices of interest rate derivatives. The study is the work of Alex Frino, Michael Garcia, and IvyRead More


Bart Chilton: A Career of Regulating Commodities, Futures and Cheetahs

May 7th, 2019 | Filed under: Newly Added, Commodities, The A.I. Industry, Investing in Commodities, Commodities

Bart Chilton, a senior adviser at DLA Piper who was from 2007 to 2014 a Commissioner of the Commodity Futures Trading Commission, passed away April 27. Chilton had a colorful reputation in the largely grey-hued world of commodities regulation. President George W. Bush appointed Chilton to the CFTC at aRead More


What Constitutes Price Manipulation?

Apr 24th, 2018 | Filed under: Newly Added, The A.I. Industry, Regulatory Environment, Commodities, Commodities: Examples, Energy

The two commissions that serve as market enforcers in the United States, the Commodity Futures Exchange Commission and the Securities Exchange Commission, agree on a lot. (As, indeed, one would hope, since their work has considerable overlap.) One of the points on which the commissions have general agreement is theRead More


ESMA’s Greybeards Ponder Blockchains

Sep 11th, 2016 | Filed under: Newly Added, Algorithmic and high-frequency trading, Currencies, Emerging Alternative Investments, The Global Economy & Currencies, Digital currencies, Business News, Finance & Economics, Other Topics in A.I.

There has been a flurry in recent days of activity about blockchains among the graybeards of the financial world, those who ponder the Really Big Picture and who have the ear of important regulators. Let us start from the beginning. What is a blockchain? It is a chronological, virtual, andRead More


UC Berkeley: Stale Prices Not a Threat to Liquidity Takers

Sep 7th, 2016 | Filed under: Newly Added, Algorithmic and high-frequency trading, Equity Hedge Funds, Alpha Strategies, Hedge Funds, Business News, Finance & Economics

Two scholars associated with the University of California, Berkeley, have argued in a recent paper that there is less to latency arbitrage, or at least to a certain paradigmatic sort of latency arb, than meets the eye. Robert P. Bartlett III and Justin McCrary used data from the Securities InformationRead More


Lewis’ Heroes Get an Exchange for Their Speed Bump

Jun 26th, 2016 | Filed under: Newly Added, Algorithmic and high-frequency trading, Hedge Fund Strategies, Equity Hedge Funds, Hedge Funds, Business News

On Friday, June 17, the Securities and Exchange Commission approved the promotion of IEX from an ATS to a proper exchange. Thereby it gave a new ending of sorts to Michael Lewis’ book, Flash Boys. One of the big issues for both proponents and opponents of IEX’ application to becomeRead More


Weeden Suggests Half-a-Loaf for IEX

Mar 23rd, 2016 | Filed under: Industry Size & Managers

As regular readers know, AllAboutAlpha has been following the continuing controversy over IEX, the ATS designed by Brad Katsuyama around a “speed bump.” For the uninitiated, that speed bump is a trick for saving institutional investors from the rigors of an otherwise-necessary arms race with the high-frequency traders. Of late,Read More


Bollerman Addresses IEX’s Critics

Feb 9th, 2016 | Filed under: Newly Added, Algorithmic and high-frequency trading, Business News

IEX, the institution created by Michael Lewis’ “flash boys,” began life as an ATS. But as its name, a shortening of “Investors’ Exchange,” suggests, it has always aspired to be an exchange. One of its core principles is its “speed bump,” a system of delaying the availability of market pricingRead More


BATS, Spoofing, and Shifting Definitions

Sep 22nd, 2015 | Filed under: Business News

BATS now proposes to define spoofing in an elaborate and narrow two-part manner. An investor, commenting to the SEC, accurately notes that this is a good deal different from the statutory definition, or from a definition endorsed recently in another context by BATS itself.Read More


Overtrading and the Danger of Pro Rata

Jul 30th, 2015 | Filed under: Commodities, Algorithmic and high-frequency trading, Currencies, Derivatives, Forex

Guest columnist Ginger Szala looks at pro rata and what happens if...Read More


Aleynikov Again: State Jury Conviction Set Aside

Jul 8th, 2015 | Filed under: Algorithmic and high-frequency trading, Technology, Legislation/Court rulings

The judge's ruling setting aside the jury's guilty verdict is, of course, grand news for Aleynikov. It is also the curtain on a sometimes farcical spectacle. But let us not forget that there are issues of principle involved. Read More


Spoofing: The ‘It’ Enforcement Action

Jun 17th, 2015 | Filed under: Algorithmic and high-frequency trading, Hedge Fund Strategies, Derivatives, Regulatory, Technology

Spoofing is probably about as ubiquitous as texting-while-driving. And it is possible to make an example of a spoofer caught red-handed. But it isn't clear what purpose that will serve. The real problem is that a broken market contains a broken set of incentives. Read More


The Forrest or the HFTrees? ‘Preferred Data Customers’

May 7th, 2015 | Filed under: Algorithmic and high-frequency trading, Hedge Fund Strategies, Legislation/Court rulings

It is of course possible to “question the wisdom of the SEC’s stance on this issue and its fairness to ordinary investors,” said the Judge in the Lanier/HFT decision. But the court isn’t in the business of second guessing the wisdom of regulation. Lanier's claims are dismissed. Read More


Authorities Offer Revisionism About Flash Crash

Apr 22nd, 2015 | Filed under: Algorithmic and high-frequency trading, Derivatives, Indexes

Authorities now claim that the shenanigans that set off the flash crash of May 2010 were the work of Navinder Singh Sarao. Does this mean Waddell & Reed were unjustly maligned? Almost certainly. Read More


Aleynikov’s Trial and My Cousin Vinnie

Apr 21st, 2015 | Filed under: Algorithmic and high-frequency trading, Intellectual Property, Legislation/Court rulings

A party seeking to employ an expert witness is supposed to let the other side know who the expert is in advance of trial. Fans of a classic Joe Pesci movie will remember that it isn't necessary to join the prosecutor in a hunting lodge. Read More


A Basis for Pursuing the Pursuers? Sonar-based Whale Hunts

Feb 17th, 2015 | Filed under: Algorithmic and high-frequency trading, Derivatives, Institutional Investing, Alpha Hunters, Regulatory

To the extent that high-frequency trading is analogized to 'insider trading,' it may be in trouble with securities regulators but still in the clear with commodities regulators. After all, the latter do allow hedgers to use non-public material information to protect themselves. But Gregory Scopino doesn't believe pinging and related HFT practices should be in the clear with the CFTC at all. Read More


Should Governments Slow Trading Down by Taxing It?

Feb 5th, 2015 | Filed under: Algorithmic and high-frequency trading, Hedge Fund Strategies, Regulatory, Technology

A physicist recently suggested that exchanges might do well to change the nature of the trading they host, holding batch auctions every one-hundredth of a second to better serve their real economic functions. Then a commenter proposed that taxation could achieve the same effect. Our physicist went back to the drawing board to consider this. Read More


Explaining Why the Portfolio-Barbell Works

Jan 20th, 2015 | Filed under: Liability Driven Investing, Risk management, Emerging markets

Most efforts to introduce "entropy" into finance have seen it as a quantity to be minimized. A new paper, which begins as an effort to explain barbell portfolios, uses entropy in a different manner. Unfortunately, it doesn't really end up clarifying those barbells. Read More


ECB Beats SNB in race for the Bottom

Jan 19th, 2015 | Filed under: Commodities, Algorithmic and high-frequency trading, Currencies

An SNB announcement caused wild market moves Jan. 15th, not only in Forex but in commodity and equity prices as well. In the wake of the commotion, one key question has to be: why the announcement? Why this sudden change in the policy of Switzerland's central bankers? Read More


The Quant Conundrum: Perfectly Repeatable or Repeatedly Imperfect?

Jan 15th, 2015 | Filed under: Algorithmic and high-frequency trading, Hedge Fund Strategies, Risk management, Alpha Seekers

Guest columnist Diane Harrison looks at both sides of the quantitative investment debate.Read More


If You’re So Smart, Why Aren’t You Rich?

Jan 14th, 2015 | Filed under: CAPM / Alpha Theory, Algorithmic and high-frequency trading

A new paper by a senior market economist at BNP Paribas celebrates the invention of Learning Vector Quantization (LVQ), a machine-learning algorithm that could enable some smart economists to get very rich indeed. Read More


Will HFTs force a market redesign?

Nov 12th, 2014 | Filed under: Algorithmic and high-frequency trading, Technology

One of the unintended consequences of high-frequency trading may be that it forces a market re-design. Guest columnist Ginger Szala looks at the issues.Read More


Footnote 13: Barclays Did ‘Change the Number’

Oct 7th, 2014 | Filed under: Algorithmic and high-frequency trading, Institutional Investing, Regulatory

The most intriguing revelation in the exchange of briefs between the State of New York and Barclays appears in a humble footnote, where Barclays seems to concede that an employee was pressured to change an internalization number. But it was just the once.... Read More


Metamorphosis in HFT: Update with Brad Katsuyama of IEX, Central Figure in ‘Flash Boys’

Sep 18th, 2014 | Filed under: Algorithmic and high-frequency trading, Hedge Fund Strategies, Alpha Hunters

Guest columnist and intrepid reporter Doug Friedenberg talks to Brad Katsuyama about HFT, Michael Lewis and more.Read More


Responding to a Challenging Tweet about Front-Running

Aug 19th, 2014 | Filed under: Algorithmic and high-frequency trading, Regulatory, Technology

What do I mean by "front run," asked a reader. I use the term for a range of situations in which one party trades on the basis of advance [non-public] information of another party's upcoming trade, Faille replies. Read More


SIP and the Law of Unintended Consequences

Aug 12th, 2014 | Filed under: Algorithmic and high-frequency trading, Regulatory, Technology

Christopher Faille reviews the basic facts about SIP, the Securities Information Processor, and cites (with some incredulity) a new contention in some quarters that SIP isn't all that important because nobody really relies upon it. Read More


Private Lawsuits Over Order Types Used to Facilitate HFT

Jun 2nd, 2014 | Filed under: Algorithmic and high-frequency trading, Legislation/Court rulings

HFTs and trading venues alike have worked hard to fit their practices into the Reg NMS framework. As a consequence, violations of NMS “are unlikely” Dolgopolov writes, “to provide a basis for civil liability of HFTs who use such orders because of their compliance – however formalistic – with this regulatory norm.”Read More


MiFID Implementation Consultation: A Rocky Start

May 28th, 2014 | Filed under: Algorithmic and high-frequency trading, Derivatives, Regulatory

ESMA defines HFT as “a special class of algorithmic trading in which computers make decisions to initiate orders based on information that is received electronically, before human traders are capable of processing the information they observe and of taking a decision in relation thereto.” It then decides that needs further definition.Read More


New Tweaks to MiFID/MiFIR Recall College Daze

Jun 18th, 2013 | Filed under: Algorithmic and high-frequency trading, Regulatory

MiFIR includes provisions that allow for "dark pools" and that limit the size -- or, if you will, the depth -- of such pools. On June 10, 2013, authorities in Brussels released a new proposal for tweaks of MiFIR in general and these provisions in particular.Read More


Unlocking Alpha in the New Normal

May 6th, 2013 | Filed under: Algorithmic and high-frequency trading

Guest columnist Louis Lovas looks at data management in the world of algorithmic trading.Read More


B of E Studies HFT: Begins and Ends with Ambivalence

Jan 6th, 2013 | Filed under: Algorithmic and high-frequency trading, Alpha Strategies

Bank of England white paper on high-frequency trading yields little in the way of return.Read More


John Bogle, Topsy Co-Founder Rishab Ghosh Speak at Bloomberg Conference

Mar 13th, 2012 | Filed under:

AllAboutAlpha.com attends and reports on a Bloomberg "Manager Mash-up." Vanguard's John Bogle tells a few "truths" and Topsy Founder Rishab Ghosh talks Twitter.Read More