domingo, 26 de agosto de 2012

Neil Armstrong RIP

No fue el personaje, solo el simbolo
Quizas la definicion de Edad Media es cuando nos olvidamos de las cosas que podiamos hacer

viernes, 3 de agosto de 2012

Mercados Eficientes

Los mercados son eficientes, ese es un axioma de todos los economistas en general, ahora que ocurre cuando los actores de los mercados quienre ser mas eficientes? automatizan, y, como son eficientes bajan costos de pruebas, de documentacion, de un sin fin de cosas que los expertos dicen que hagas antes de poenr en produccion, pero no, eso es burocracia.

en fin

ah,  HFT es High Frequency trading, bah, timba automatizada

This Is What Happens When An HFT Algo Goes Totally Berserk And Serves Knight Capital With The Bill

We all know something went horribly wrong in various NYSE-traded stocks today between 9:30 am and 10:15 am. So wrong in fact that the NYSE had to step in and cancel numerous trades in 6 symbols. However it did not DK millions of other trades in 134 other symbols, the vast majority of which we assume traded errantly due to the market making of Knight Capital (as admitted by the company), which today saw its biggest drop ever since going public on volume about 60 times greater than its average. We also all know that one should buy low and sell high. At least that is what human traders are taught, and that is what they attempt. Because if one consistently does the opposite, one will simply run out of money. Well, the opposite is precisely what the berserk algo in Knight's Market Making group may have done if Nanex, which has done a forensic analysis of one of the trades in question, is correct. In other words, instead of at least attempting to provide liquidity via limit trades, Knight's algorithm acted as a market order... gone horribly wrong. As the third chart below shows what the algo did with furious repetition and steadfast consistency was to buy at the offer, and sell at the bid, in other words buy high and sell low. Over and over and over and over. As Nanex laconically notes, "In the case of EXC, that means losing about 15 cents on every pair of trades. Do that 40 times a second, 2400 times a minute, and you now have a system that's very efficient at burning money." Which also means that by not DK'ing several hundred million prints, the NYSE may have just thrown Knight under the bus, because the market maker is suddenly on the hook for tens if not hundreds of millions in inverse market making profits.

el resto?