c*****r
发帖数: 8227 | |
o******e
发帖数: 3522 | |
s*****e
发帖数: 559 | 3 new york times有节选，很有意思
【在 c*****r 的大作中提到】
: High-Speed Trader Virtu Delays IPO Launch
: http://online.wsj.com/news/articles/SB1000142405270230443260457
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t********t
发帖数: 1264 | 4 Michael Lewis一直在写啊，什么火写什么。他的alpha可比HFT高多了。怪不得老一辈
quant全改行写书了 |
f********s
发帖数: 103 | 5 I wonder how much does he really know about HFT. He was a bond sales. He
just wrote about a hot topic and now want to sell more books. Do you really
expect st from the book? |
h*******e
发帖数: 72 | 6 读了一些，他对HFT根本不了解，书里很多显而易见的错误，就是在误导。更像在为那
个新成立的Exchange做广告。那个Exchange根本不公平。大户和机构有优先权。 |
l*******n
发帖数: 206 | 7 I guess you are saying, the tv producers, the wall street hedge fund
managers, and all ppl bought the book don't know he was a bond sales. Or
they know but they are plain stupid?
or maybe he points out some of the excess in hft and hft ppl are angry?
really
【在 f********s 的大作中提到】
: I wonder how much does he really know about HFT. He was a bond sales. He
: just wrote about a hot topic and now want to sell more books. Do you really
: expect st from the book?
|
f********s
发帖数: 103 | 8 I would say your guess of my point is wrong and sounds emotional. I didn't
say many places don't know Lewis. And didn't say they are stupid. And I don'
t think hft ppl are angry because he pointed out sth.
The hft topic has been there for a long time. Hft pal maybe not happy
because he brings up the topic again. It's okay for him to bring up the
topic again. What I don't like is he always mentions his book in every
interview. That how my question comes up: does he really talk about sth new
in the book? Or can he? |
l*******n
发帖数: 206 | 9 He is a writer, a story teller, or in this case, more like an investigative
reporter, He simply did a good job connecting the dots. So I wouldn't judge
his book by his background.
don'
new
【在 f********s 的大作中提到】
: I would say your guess of my point is wrong and sounds emotional. I didn't
: say many places don't know Lewis. And didn't say they are stupid. And I don'
: t think hft ppl are angry because he pointed out sth.
: The hft topic has been there for a long time. Hft pal maybe not happy
: because he brings up the topic again. It's okay for him to bring up the
: topic again. What I don't like is he always mentions his book in every
: interview. That how my question comes up: does he really talk about sth new
: in the book? Or can he?
|
f********s
发帖数: 103 | 10 He is a good salesperson. Now everybody knows he has such a book. If I have
some time to spend, I would watch 'We She He Shou', not that book. |
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a****n
发帖数: 230 | |
c*****r
发帖数: 8227 | 12 再加些从业者的观点。
High-frequency trading is a growing cancer that needs to be addressed
Charles Schwab, Founder and Chairman
Walt Bettinger, President and CEO
http://www.aboutschwab.com/press/issues/ |
a*********a
发帖数: 3656 | 13 the book is a pile of bull s. And for IEX to promote itself with some sort
of moral high ground is laughable.
the root of HFT is Reg NMS. Reg NMS opened the door to a highly fragmented
US equity market with dozens of exchanges and scores of dark/grey pools. It
is impossible for all of them to be sync'ed to ms level, as a result the
latency arbitragers arise.
Who is to say the HFTs are not making the market more efficient by arbing
out inconsistencies across trading venues that last only a fraction of a
second?
Blaming the people with the technical know-how to take advantage of the
market structure promoted by Reg NMS is hypocritical.
【在 c*****r 的大作中提到】
: 再加些从业者的观点。
: High-frequency trading is a growing cancer that needs to be addressed
: Charles Schwab, Founder and Chairman
: Walt Bettinger, President and CEO
: http://www.aboutschwab.com/press/issues/
|
P*****s
发帖数: 758 | 14 这只是从业的一边的人
【在 c*****r 的大作中提到】
: 再加些从业者的观点。
: High-frequency trading is a growing cancer that needs to be addressed
: Charles Schwab, Founder and Chairman
: Walt Bettinger, President and CEO
: http://www.aboutschwab.com/press/issues/
|
c*****r
发帖数: 8227 | 15 No comment. Read this:
BATS Forced to Correct Statements by President O’Brien on How Its Exchanges
Work
http://blogs.wsj.com/moneybeat/2014/04/03/bats-forced-to-correc
It
【在 a*********a 的大作中提到】
: the book is a pile of bull s. And for IEX to promote itself with some sort
: of moral high ground is laughable.
: the root of HFT is Reg NMS. Reg NMS opened the door to a highly fragmented
: US equity market with dozens of exchanges and scores of dark/grey pools. It
: is impossible for all of them to be sync'ed to ms level, as a result the
: latency arbitragers arise.
: Who is to say the HFTs are not making the market more efficient by arbing
: out inconsistencies across trading venues that last only a fraction of a
: second?
: Blaming the people with the technical know-how to take advantage of the
|
l*******n
发帖数: 206 | 16 Very interesting. Thanks for sharing.
http://en.wikipedia.org/wiki/Regulation_NMS
So before 1972, mkt was framented as well. the price difference at different
mkts could be quite large. so they push for one national market, then they
found issues, and Reg_NMS was born, mkt fragmented again with much lower
spread. But you are subject to front run by HFT arb strategy, now HFT debate
starts.
As an investor (i.e. longer term, slower, less tech savy trader), does that
mean spread as a measure of huge improvement of mkt over the
years is exaggerated bc you are paying HFT implicitly through slippage?
It
【在 a*********a 的大作中提到】
: the book is a pile of bull s. And for IEX to promote itself with some sort
: of moral high ground is laughable.
: the root of HFT is Reg NMS. Reg NMS opened the door to a highly fragmented
: US equity market with dozens of exchanges and scores of dark/grey pools. It
: is impossible for all of them to be sync'ed to ms level, as a result the
: latency arbitragers arise.
: Who is to say the HFTs are not making the market more efficient by arbing
: out inconsistencies across trading venues that last only a fraction of a
: second?
: Blaming the people with the technical know-how to take advantage of the
|
l*******n
发帖数: 206 | 17 He is not a victim => less resourceful victim does not exist?
眼球
【在 a****n 的大作中提到】
: 这个人就跟那些民科忽悠加速器会弄出黑洞来吞噬地球一样，阴谋论总是容易抓人的眼球
: 看看这个吧
: http://online.wsj.com/news/articles/SB1000142405270230397830457
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S*******s
发帖数: 13043 | 18 anyone recommend good books on HFT? |
a****n
发帖数: 230 | 19 Where is the victim? How are they victimized?
One has to show evidence before pointing the finger, not based on some
speculation or conspiracy.
【在 l*******n 的大作中提到】
: He is not a victim => less resourceful victim does not exist?
:
: 眼球
|
l*******n
发帖数: 206 | 20 What evidence does Asness show? Yet you believe his story seems like
mitbbs is not court of law. pls provide your two cents if you don't mind.
That would be helpful
【在 a****n 的大作中提到】
: Where is the victim? How are they victimized?
: One has to show evidence before pointing the finger, not based on some
: speculation or conspiracy.
|
|
|
a****n
发帖数: 230 | 21 Who started the accusation? This Lewis has no data or evidence to support
his accusation. All his claim are groundless.
我怀疑你杀人了，要你举证你没杀人，是应该这样吗？
My 2 cent is individual investors like you and me are well protected, at
least in the group that I am in. You can't expect market maker not to make
any money by providing liquidity to you. That's not fair. He mentioned about
Virtue's success. That's just because they did much better than other
market makers. You didn't see other falling market makers.
【在 l*******n 的大作中提到】
: What evidence does Asness show? Yet you believe his story seems like
: mitbbs is not court of law. pls provide your two cents if you don't mind.
: That would be helpful
|
w*********i
发帖数: 77 | 22 well said
about
【在 a****n 的大作中提到】
: Who started the accusation? This Lewis has no data or evidence to support
: his accusation. All his claim are groundless.
: 我怀疑你杀人了，要你举证你没杀人，是应该这样吗？
: My 2 cent is individual investors like you and me are well protected, at
: least in the group that I am in. You can't expect market maker not to make
: any money by providing liquidity to you. That's not fair. He mentioned about
: Virtue's success. That's just because they did much better than other
: market makers. You didn't see other falling market makers.
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r*******p
发帖数: 97 | 23 market moves away from you is quite known to many. Hardly that could be
argued as liquidity, can it? Front run is wrong/illegal period.
Yes, Lewis did not provide all the evidence. Because there is no way for him
to get it. There is no trade record of by microsecond anywhere, is it fair
to ask him to get all the evidence? But he brought up many suspicious
behavior of the HFT practitioners.
Flash crash as an example, the SEC report has no value as they don't have
trade record by fraction of second, how could they find out what's wrong.
But it's clearly wrong somewhere.
It's a good read |
r*****d
发帖数: 44 | 24 What you claimed is simply not true. Many venues provide order-by-order feed
which gives you full transparency including every order and trade - you may
need to have colo service to have access to this.
him
fair
【在 r*******p 的大作中提到】
: market moves away from you is quite known to many. Hardly that could be
: argued as liquidity, can it? Front run is wrong/illegal period.
: Yes, Lewis did not provide all the evidence. Because there is no way for him
: to get it. There is no trade record of by microsecond anywhere, is it fair
: to ask him to get all the evidence? But he brought up many suspicious
: behavior of the HFT practitioners.
: Flash crash as an example, the SEC report has no value as they don't have
: trade record by fraction of second, how could they find out what's wrong.
: But it's clearly wrong somewhere.
: It's a good read
|
l*****o
发帖数: 11 | 25 even better then, hopefully SEC, FED, DOJ's probe will find out if the front
run is real or not with all the record
feed
may
【在 r*****d 的大作中提到】
: What you claimed is simply not true. Many venues provide order-by-order feed
: which gives you full transparency including every order and trade - you may
: need to have colo service to have access to this.
:
: him
: fair
|
r*****d
发帖数: 44 | 26 Regulators can always demand tapes from exchanges to get details of every
order.
HFTs cannot front run your orders. Only brokers can front run their clients'
orders or they can sell the order flow to HFTs so they can take a first
look before routing to exchanges. Once your order shows up in the exchange
market data feed, nobody can jump in front of you.
It is interesting to see that brokerage firms like Charles Schwab jumped out
to criticize HFT. They are the ones who sell their client order flow to
HFTs.
front
【在 l*****o 的大作中提到】
: even better then, hopefully SEC, FED, DOJ's probe will find out if the front
: run is real or not with all the record
:
: feed
: may
|
x****k
发帖数: 2932 | 27
him
fair
===Just as you mentioned: he didn't not provide evidence for his opinion in
his book. That is why his accusation on HFT is "groundless"
===Yes, it's clearly wrong somewhere. but why didn't he blame bureaucratic
regulator? why didn't he blame the herd instinct of humam being? why didn't
he blame the greediness and stupidity of buy side investors. Is it just
because he think the readers of his book with brains full of bullshit and
concrect are too "smart" to understand market structure and technology, and
incline to blame sth they can't understand.
【在 r*******p 的大作中提到】
: market moves away from you is quite known to many. Hardly that could be
: argued as liquidity, can it? Front run is wrong/illegal period.
: Yes, Lewis did not provide all the evidence. Because there is no way for him
: to get it. There is no trade record of by microsecond anywhere, is it fair
: to ask him to get all the evidence? But he brought up many suspicious
: behavior of the HFT practitioners.
: Flash crash as an example, the SEC report has no value as they don't have
: trade record by fraction of second, how could they find out what's wrong.
: But it's clearly wrong somewhere.
: It's a good read
|
