30
Jun
10

Sobre HFT, Wilmott palabras mayores…

Llegue de casualidad, via el blog Zero Hedge, a un postescrito por Paul Wilmott– sobre High Frequency Trading y su impacto en la liquidez y en la volatilidad de los mercados (Como diría un profesor de economía que tuve, “¿pero de que mercados me hablan?” cuando exigía claridad en los términos).

(…)

I am concerned about High-frequency Trading (HFT) for two main reasons: Reduction of the relationship between value and price; Potential for positive feedback.

(…)

But feedback can be positive or negative.

Negative feedback is when an up move in a stock leads to a sell signal, and thus a fall in the price, and a down leads to a buy, and thus a rise in the price. This dampens volatility.

Positive feedback is when an up begets a buy, which causes the stock to rise again, causing another buy, etc. etc. And when a fall begets a sell, causing another fall, and further selling, and…

So which is it? Does HFT result in a reduction of volatility via negative feedback or an increase via positive feedback? This is an easy one. If you are a hedge fund manager which of the following would you prefer? A or B?

A. Low volatility. Shares go up or go down fairly predictably. No skill is required to make money, even by the man on the street. Hedge funds can’t charge large fees.

B. High volatility. Very difficult markets, experts needed and can charge large fees. If a fund does well they make a killing because of the enormous profit they have made for their clients. But they are just as likely to lose all their clients’ money, in which case…nothing bad happens to the fund manager.

Yes, we are in that familiar territory of moral hazard. Of course the funds want to increase volatility and they have found themselves in exactly the place they want to be to make this happen.

(…)

Advertisements

0 Responses to “Sobre HFT, Wilmott palabras mayores…”



  1. Leave a Comment

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s


Fun & Finance

Vimeo

Fun & Finance Rollover

Contacto

informes@qfclub.com.ar
"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

Powered by

June 2010
M T W T F S S
« May   Jul »
 123456
78910111213
14151617181920
21222324252627
282930  

Categorias

Archivo

Ingrese su dirección de email para suscribirse a este blog y recibir las notificaciones de nuevos posts via email

Join 35 other followers

Web Analytics Clicky

%d bloggers like this: