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本帖最后由 bobcat 于 2009-10-27 23:41 编辑
DUHIGG: "Nearly everyone on Wall Street is wondering how hedge
funds and large banks like Goldman Sachs are making so much
money so soon after the financial system nearly collapsed.
High-frequency trading is one answer."
Bobcat: " This statement shows that he dose not understand the
meaning of trading at all. 'Wondering?' all traders understand
that extreme events help. Traders can go long and short. Even
for long only traders, right after the bear market is always
the best time for profit. We have witnessed the fastest uprun
from March 2009, looking into many years of the history of
stock markets. This is, in fact, a rare period of time in which
high frequency traders (although they should still do well)
might fall behind other good traders. Even last year, during
the market meltdown, many managers had the best time they ever
had. Many of them were trading long term such as Turtle
Traders. The reason was very simple, in the 2nd half of 2008,
the forced de-leveraging process pushed down the prices of all
asset classes at the same time. Traders could not hope anything
as simple and as profitable as this. In my opinion, it is
shameful for GS to brag its profit as it is so small comparing
to the money it manages."
DUHIGG: "High-frequency traders often confound other investors
by issuing and then canceling orders almost simultaneously.
Loopholes in market rules give high-speed investors an early
glance at how others are trading. And their computers can
essentially bully slower investors into giving up profits — and
then disappear before anyone even knows they were there."
Bobcat: "The only loophole for "early glance" is related to the
so-called "flash trading" . DUHIGG does not have an idea that
flash trading is only a very small part of high frequency
trading, and the enemy of flash trading is often also high
frequency trading itself. These people view unfilled marketable
orders before public and take advantage of the ask-bid spread
the same way as market makers. They are bearing the same
adverse information risk as other MMs. Since the public has not
seen the orders yet, they would not know the market impact of
these orders. When they are trading against other better
informed high frequency traders, such as momentum traders, more
orders in the same direction may be coming at very high speed,
and they will lose the same way as MMs. Flash Trading should be
banned although it increases the liquidity for non market
making traders. As when you trade, you want to minimize the
exposure of the trades to public. It hurts market making
traders because of flash traders' early knowledge of orders. No
doubt this is unfair to most unregistered market makers.
Banning high frequency trading is another thing. Investment
banks will expand their MM divisions, which have high frequency
trading anyway. Only smaller traders cannot do that"
DUHIGG: "Powerful computers, some housed right next to the
machines that drive marketplaces like the New York Stock
Exchange, enable high-frequency traders to transmit millions of
orders at lightning speed and, their detractors contend, reap
billions at everyone else’s expense. These systems are so fast
they can outsmart or outrun other investors, humans and
computers alike. And after growing i n the shadows for years,
they are generating lots of talk."
Bobcat: "I only use PC to generate trades. Large institutions
cannot compete with me exactly in speed. When they must sell a
million shares of each stock and I only need to sell 5000
shares for each stock, there is in no way they can compete with
me in speed. This is exactly how small money can beat big money
in return rate in large margin. No matter how powerful the
computer an institution may use, the speed per capital is low.
Any traders can use computers to generate orders and send them
to market places in high speed. "Outsmart"ing other traders (I
don't think investors are much affected) is the essence of
trading by its own meaning. It lowers the cost of capital
reallocation and increases the efficiency for the market, so
that big money such as Buffett cannot make money anymore:) Even
by hand, computer entry is much faster than telephone entry. Is
computer entry unfair?"
DUHIGG: "For most of Wall Street’s history, stock trading was
fairly straightforward: buyers and sellers gathered on exchange
floors and dickered until they struck a deal. Then, in 1998,
the Securities and Exchange Commission authorized electronic
exchanges to compete with marketplaces like the New York Stock
Exchange. The intent was to open markets to anyone with a
desktop computer and a fresh idea. But as new marketplaces have
emerged, PCs have been unable to compete with Wall Street’s
computers. Powerful algorithms — “algos,” in industry parlance
— execute millions of orders a second and scan dozens of public
and private marketplaces simultaneously. They can spot trends
before other investors can blink, changing orders and
strategies within milliseconds."
Bobcat: "These paragraphs betrayed the real purpose of DUHIGG.
He was thinking about the good old time, when ask-bid spread
was 10 or 20 times bigger than now as in 90's, when market
makers with least intelligence made several hundreds percent
yearly by front running, changing title of tickets, and all
kinds of cheating. At that time, no orders except from
registered market makers were shown to pubic. They controlled
the spreads even by threatening and harassing uncooperative
market makers. After an investigation by SEC, all but one
market makers pleaded guilty and paid a huge fine to public.
After the rest of the world adopted electronic markets, US
finally had ISLAND with penneywise spread by Datek. Since then
the spreads started to shrink and new regulations started to
require all orders be made open to public (not BB PK though).
Market Makers shouted that they would quit but they didn't.
What else can they do? Once off the floor, they start to lose.
High frequency trading has made it much more difficult for
market makers to make money. They are trying to call off high
frequency trading to lower the liquidity of the market so that
they make much fatter spread. Other traders will pay much more
on spread and commission! " |
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狗仔卡
发表于 2009-10-27 06:27 PM
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发表于 2009-10-27 06:43 PM
