Completely understand why HFT must exist

elliots11 · Jun 12, 2012

payment for providing equity is a part of it as well

nitro · Sep 29, 2012

Quote from Dialectician:

Yes, I would assume so.

However; they hired a team of F# programmers a few years back, and it is their main modeling language now.

It's because of institutions like CS that F# moved beyond the research level at Microsoft.

http://www.microsoft.com/casestudies/Case_Study_Detail.aspx?casestudyid=4000006794

As a mathematician, I find F# very pleasant to use. Sadly, there are many programmers who seem determined to miss out on the joys of functional programming. Apparently too few have read SICP...

SICP

http://sicpebook.files.wordpress.com/2011/11/sicp.pdf

ddude · Sep 29, 2012

Ah yes, SICP, a classic...

Lisp, a dynamic language... FPGAs, dynamic hardware...
Turtles all the way down 8^)

Cordially,
-DD-

"Simplicity is the ultimate sophistication." -Leonardo da Vinci-

nitro · Oct 16, 2012

I found this a bit strange when I read it .But in time it has sunk in and now I understand the idea behind it.

The question is now, are there countably infinite agents, or uncontable number of them. Almost certainly countable...

Quote from nitro:

Mathematical Logic Finds Unexpected Application on Wall Street

In an unexpected development for the depressed market for mathematical logicians, Wall Street has begun quietly and aggressively recruiting proof theorists and recursion theorists for their expertise in applying ordinal notations and ordinal collapsing functions to high-frequency algorithmic trading. An ordinal notation system is used to name each ordinal in a certain initial subsequence of the countable ordinals; such systems have recently been applied by elite trading operations to the parameterization of families of trading strategies of breathtaking sophistication. Ordinal notation high-frequency trading algorithms, also called ordinal arbitrage systems, pit their strategies against similar algorithmic opponents on electronic exchanges for a few fleeting seconds, during which thousands of trades are executed, including exploratory trades that test the strategies of opposing human and machine traders.

The monetary advantage of the current strategy is rapidly exhausted after a lifetime of approximately four secondsâan eternity for a machine, but barely enough time for a human to begin to comprehend what happened. The algorithm then switches to another trading strategy of higher ordinal rank, and uses this for a few seconds on one or more electronic exchanges, and so on, while opponent algorithms attempt the same maneuvers, risking billions of dollars in the process.

The elusive and highly coveted positions for proof theorists on Wall Street, where they are known as trans-quantitative analysts, have not been advertised, to the chagrin of executive recruiters who work on commission. Elite hedge funds and bank holding companies have been discreetly approaching mathematical logicians who have programming experience and who are familiar with arcane software such as the ordinal calculator. A few logicians were offered seven figure salaries, according to a source who was not authorized to speak on the matter.

http://christianmarks.wordpress.com...-finds-unexpected-application-on-wall-street/

Random.Capital · Oct 16, 2012

While an admirable attempt, what they're trying to do here (which is a bit mis-described in the article, but whatever, close enough) is only achievable in isolation, not in live systems.

clearinghouse · Oct 16, 2012

Quote from nitro:

I found this a bit strange when I read it .But in time it has sunk in and now I understand the idea behind it.

The question is now, are there countably infinite agents, or uncontable number of them. Almost certainly countable...

Kind of cool, but probably a losing bet in terms of salary paid vs. results. Chalk it up to the speculative R&D budget?

Everytime I saw one of these ambitious projects tried in a firm, it always ended up in a layoff a few months later.

But, I'm wililng to believe that there's probably some fly by night shop out there with 3 PhDs (probably all former Soviet defectors who got tired of building nuclear weapons) using this, on an FPGA, with a homebrew microwave network link. They all dress in Walmart clothes and trade out of an RV in New Jersey, and the most we'll ever know about this A-Team of trading is the random obscure blog post talking about their unpublished landmark research.

Oh, and even though they're all super billionaires, their supermodel wives don't tip cab drivers well.

DeeDeeTwo · Oct 16, 2012

Quote from ddude:

"Simplicity is the ultimate sophistication." -Leonardo da Vinci-

Thanks for this quote.

Always known that very smart people make things very complicated...
But geniuses simplify, simplify, simplify.

Very smart people cross the street via the North Pole...
Geniuses find a shortcut... always a shortcut.

jem · Oct 16, 2012

but why does hft have to exist... those profits could have been spread out over a wider collection of people.

As 30 second to 2 minute time frames once allowed me to make a nice living.

It would seem HFT can destablize the market as they are doing battle with each other and blowing each other up. Do they not claim to be providing liquidity?

CT10Gov · Oct 16, 2012

Why must you and your few friends exist rather than HFT?

HFT merely found a way to more efficiently harvest a niche source of alpha.

One would think on elite 'trader', one doesn't need to be subject to this sort of nonsense about 'distributive justice'.

Quote from jem:

but why does hft have to exist... those profits could have been spread out over a wider collection of people.

As short time frames once allowed me and a few friends to make a nice living.

jem · Oct 16, 2012

its a question of whether we should all be on an even playing field or the field should be tilted to a few with co located servers or faster quotes (which was in the news recently)

I think the playing field should be fair. I do not think crony capitalism is a good model.

Quote from CT10Gov:

Why must you and your few friends exist rather than HFT?

HFT merely found a way to more efficiently harvest a niche source of alpha.

One would think on elite 'trader', one doesn't need to be subject to this sort of nonsense about 'distributive justice'.