Richard, there are quite a few high frequency hedge funds. Steve Cohen
of SAC investment, DE Shaw, are two better known examples. Two Sigma
is one of the newer ones.
Difference between the couples are the instruments they trade, Renaissance is
/ was (at least 2-3 years ago) primarily Futures and listed exchange
derivatives. SAC and DE Shaw are more focused on equities.
Most such funds do not hire people from typical wall street, rather, they
look for people from academia. I have seen fresh undergrads gotten hired,
but they tend to have competed in say, the Putnams or ACM programming
contest, in the finals. But what the analysts do are very experimental,
data analysis type of work, a lot of hypothesis proving. A friend who
works at DE Shaw used to model electronic diffusion clouds for DNA
research, and he is now doing very similar methods for cross-market
studies.
As for me, I left academia a long time ago, decent coder, so I can grind
through the PhD and publish a little, but I was never that good in
theoretical research.
For instance, a system I wrote can analyze about 500k Level 2 book
changes in 1 minute (corresponding to approximately 4 hours of NYSE
trading, for a stock like IBM). And I was pretty smug until I showed to a friend
at SAC, and he quickly pointed out a few inefficiencies in my code, and he
show me his engine that did a similar high-freq simulation in approx 3
seconds! I was floored.
