Posts Tagged ‘algorithmic trading

31
May
11

En defensa del value investing

Phillip K. Dick se preguntaba si soñaban los androides con ovejas eléctricas. Charles Sizemore nos alerta que los algos sueñan con Hollywood.

 

Advertisements
10
May
11

Como hacer dinero en microsegundos (1µs)…

…Ese es nombre de un articulo escrito por Donald MacKenzie. En el cual explora la transición hacia el trading electronico, algoritmico y de alta frecuencia. Explica muy detalladamente el Flash Crash. Y referencia varios algoritmos utilizados para hacer hacer plata (VWAP, spoofing). El unico pecado del texto: su longitud.

(…)

The trigger was indeed an algorithm, but not one of the sophisticated ultra-fast high-frequency trading programs. It was a simple ‘volume participation’ algorithm, and while the official investigation does not name the firm that deployed it, market participants seem convinced that it was the Kansas City investment managers Waddell & Reed. The firm’s goal was to protect the value of a large position in the stock market against further declines, and it did this by programming the algorithm to sell 75,000 index future contracts. (These contracts track the S&P 500 stock-market index, and each contract was equivalent to shares worth a total of around $55,000. The seller of index futures makes money if the underlying index falls; the buyer gains if it rises.) The volume participation algorithm calculated the number of index futures contracts that had been traded over the previous minute, sold 9 per cent of that volume, and kept going until the full 75,000 had been sold. The total sell order, worth around $4.1 billion, was unusually large, though not unprecedented: the SEC/CFTC investigators found two efforts in the previous year to sell the same or larger quantities of futures in a single day. But the pace of the sales on 6 May was very fast.

(…)

Por ultimo, en el escrito se habla de un paper de Hasbrouck y Saar, creo que es este.

04
Apr
11

fun & finance: capítulo 6, Trading Electronico

En esta sexta entrega, Marco le explica a Gaston, lo que es Trading Electrónico, Trading Algorítmico y HFT. Para terminar, con su opinion sobre Latinoamerica y el Trading Electrónico.

Para un mayor disfrute de este video, le recomendamos que lo vea desde Vimeo directamente en Alta Definición.

 

10
Jan
11

Gráfico du Jour: Algo FX

(Fuente: BIS, via Econbrowser)

03
Aug
10

Círculos en los Cultivos, por HFT

Nanex tiene breve e interesante estudio sobre un “fenomeno” que ellos llaman Quote Stuffing, pero que se da en secuencias poco convencionales (que no siguen una lógica económica).

As we continue to monitor the markets for evidence of Quote Stuffing and Strange Sequences (Crop Circles), we find that there are dozens if not hundreds of examples to choose from on any given day. As such, this page will be updated often with charts demonstrating this activity.

The common theme with the charts shown on this page is they are obviously all generated in code and are algorithmic. Some demonstrate bizarre price or size cycling, some demonstrate large burst of quotes in extremely short time frames and some will demonstrate both. In most cases these sequences are from a single exchange with no other exchange quoting in the same time frame.

07-12-10
NASDAQ “Ask Mountain”. Symbol IAU. Over 56,000 quotes in 10 seconds, all with same Ask Price and the Ask Size increasing or decreasing by 1 (to almost 40,000!).

18
Jul
10

7ma Reunion del QF Club

El pasado viernes se presentaron los siguientes trabajos en la 7ma Reunion del QF Club:

Matias Schapiro, “Software de backtesting y trading automático de estrategias de inversión algorítmicas – Arquitectura, Diseño y Ejemplos de uso”

Manuel Calderon, “Bonos Catastrofe, Analisis Financiero y Propuesta de Implementación en Argentina”

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.

(…)




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

November 2017
M T W T F S S
« Nov    
 12345
6789101112
13141516171819
20212223242526
27282930  

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