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High Frequency Trading Roundtable

Tyler Durden's picture




 

Yet another good introduction for the novices in the field. Keep in mind the various participants have extensive interests so read between the lines.

The presentation, courtesy of Streambase, can be found here.

Panel participants include:

Bernard Donefer - Associate Director, Baruch College, CUNY
Professor Bernard Donefer is Associate Director at the Subotnick Financial Services Center of Baruch College, CUNY. Professor Donefer is a distinguished lecturer and previous SVP and Head of Capital Markets Systems at Fidelity Investments.

David Harris - CEO,  CBOE Stock Exchange (CBSX)
David Harris is CEO of the CBOE Stock Exchange (CBSX). Before CBSX, Mr. Harris served as The American Stock Exchange's SVP of Business Planning and Strategy.

Eric Pritchett - CEO, PhaseCapital
Eric Pritchett is a founding partner of PhaseCapital LP, where he serves as CEO and co-Portfolio Manager.  PhaseCapital is a Boston-based systematic high frequency investment firm. Mr. Pritchett is responsible for development of overall high frequency investment process including portfolio strategies, risk management, and trade execution.

Deborah Mittelman - Director of Product for US Equities, Lime Brokerage
Deborah Mittelman is Director of Product for US Equities at Lime Brokerage, a technologically advanced brokerage firm that caters to a sophisticated customer base including professional traders, hedge funds, asset managers and other broker-dealers.  She oversees the US Equities product offerings that specialize in automated and high-volume electronic trading strategies.

Paul Zubulake - Senior Analyst, Aite Group
Paul Zubulake is a senior analyst at Aite Group, specializing in financial, energy and commodities futures and options markets. His expertise includes how the application of algorithmic trading is playing an ever-increasing role in futures and options trading.

 

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Sat, 08/22/2009 - 16:29 | 44906 AnonymousMonetarist
AnonymousMonetarist's picture

Monday, July 20, 2009
http://nihoncassandra.blogspot.com/

Still, the uproar outside rantings of ZeroHedge is decidedly muted. Exchanges make money. Brokers make money. Libertarians dislike any regulation or restriction. Perhaps regulation is simply not possible and pecuniary control is not desirable. But there remain weapons at the disposal of both perturbed traders, and the daring and the bold. Guerilla tactics. In simpler times, when Atari elicited a "wow" instead of a "huh?", this might have been achieved by leaving sizable but plausible limit, stop or MOC orders, then pulling them to see who and how much was leaning on them. Now more cunning is required. Torquemada-like fear and surprise. Spoof them back. Double-spoof. Triple spoof. In size. BOOOO!! Randomize. Maybe relax or eliminate all restrictions upon transaction etiquette, thereby allowing trade with oneself to paint the tape as required shake the parasites, perhaps leveling the playing field. Or merely to make it more like quick-sand. Declare all-out war so anything goes. Let - no, encourage the 'bots to fight and predate each other. "Greetings, Mr Anderson". Is this real or are we in the Matrix??! Hunt the hunter. "Kill the bear" as Anthony Hopkins rallied in The Edge. "What one man can do - another man can do!!" Heck, it's not about investing anymore (if ever it was) - its about winning the game, and as this time of The Quickening approaches, an algorithmic battle to the death, an epic battle cannot be far behind, leaving in its wake, RAIDs, bandwidth, over-educated Russians with no scrupples, recursive bloodshed and, then yes, SkyNet...

Sat, 08/22/2009 - 18:48 | 44967 Rollerball
Rollerball's picture

Sit back and watch the snake choke on itself to orgasmic death.  Then we can bury the carcass under a level playing the field (so as) to fertilize green shoots, draw the lines, and play ball!    

Sat, 08/22/2009 - 19:00 | 44969 tom a taxpayer
tom a taxpayer's picture

We need high frequency prosecution.

 

For a recap of the rampant criminality that begs for high frequency prosecution, see William Black's "Great American Bank Robbery":

http://hammer.ucla.edu/watchlisten/watchlisten/show_id/129363

Sat, 08/22/2009 - 20:39 | 45022 michigan independant
michigan independant's picture

More facets to paints a accurate picture so reserve judgement for as they say "may you live in intersting times"

 

Sat, 08/22/2009 - 21:52 | 45084 SloSquez
SloSquez's picture

Yep, I agree with that.  I can't help but wonder why on earth we as a society would dedicate so much talent to such a fruitless endeavor.  It really struck me when the professor asked if he should be steering his students into mathematics.  The response was mathematics or engineering.  WTF.  Do something useful!!!  Engineer something useful, or destructive, or both.  Do something real.  IMHO.

Sun, 08/23/2009 - 00:46 | 45207 . . .
. . .'s picture

Engineers get paid squat.  Zero incentive to become an engineer.

Sun, 08/23/2009 - 11:34 | 45322 Printfaster
Printfaster's picture

HFT is a manifestation of Fed policy.

We are faced with a short squeeze in dollars which becomes manifest in HFT.  HFT is an attempt to speed velocity to compensate for the collapse of monetary supply due to the collapse of credit and the Fed's policy of not issuing enough dollars to cover the maturation of treasury credit.

Here is the problem.  When treasury issues credit it sucks a dollar out of circulation and pays it out to a payee and issues a credit in the form of bill, note or bond.  When that credit comes due, it has to suck a dollar out of the economy using taxes.  For example if all T debt were due at once, there is currently not enough money in circulation to pay it out, since the money that it paid out was money in flight.

HFT is a wild attempt to increase velocity to hold up the economy while money supply is collapsing due to the collapse of credit.  As soon as velocity slows down, everyone defaults.

The reason that the stock market is going up, is that it now cannot go down.  If the market goes down, it will trigger massive sales which will require liquidity which does not exist.  That lack of liquidity will trigger massive liquidation which because of the lack of money supply will cascade into catastrophe.  First stocks are sold, then short treasuries, then company debt, then longer term treasuries, then foreign currency, then foreign stocks, then foreign debt, then everything.

 

Sun, 08/23/2009 - 13:46 | 45415 Anonymous
Anonymous's picture

Bernard Donefer was a prof of mine in B-school. A gentleman scholar of the highest order with a microscopic knowlege of inner workings of banking institutions and a macro, long perspective of risk management.

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