Program Trading

B

Bob777

Has anyone on the list ever been involved with a program trading firm? I was looking at the NYSE program trading stats and I was shocked at what I saw. I always thought that program trading was index arbitrage of the S&P futures and NYSE stocks. Take a look at these stats.

http://www.nyse.com/pdfs/pt020702.pdf

Index arbitrage only accounts for 8.6% of program trades for the past year. 90.2% accounts for all other strategies. Does anyone know what these other strategies are?
 
bob: don't get intimidated by the big money, particularly by i-banks. i haven't worked in a program trading (sweat)shop, but what they do is almost always conceptually simple. you have to convince management before working on a project, so they will never let you do something they can't understand.

besides index arbitrage they also do pairs trading, momentum, sector trading and sometimes they use multifactor "valuation" models. those are the strategies that come to my mind right now.

their returns and risk measures are decent, enough to keep their jobs, but they are not anywhere close to the best hedge funds. they usually don't have to produce positive returns year after year like hedge funds, they "just" have to outperform the benchmarks. it's a high turnover/low margin business and that explains the big volumes you see.
 
I was surprised, dismayed and alarmed that the trading by
executing market percentage by "Other" was 30%!

I have no idea who "Other" is...

:D
 
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