Pokazywanie postów oznaczonych etykietą manipulacja. Pokaż wszystkie posty
Pokazywanie postów oznaczonych etykietą manipulacja. Pokaż wszystkie posty

High Frequency Trading: All You Need To Know

"So the bottom line: HFT is legal frontrunning... but also so much more.  In fact, like the TBTF banks, HFT itself has become so embedded in the topological fabric of modern market structure, that any practical suggestions to eradicate HFT at this point are laughable simply because extricating HFT from a market - which indeed is rigged but not only by HFTs at the micro level, but more importantly by the Federal Reserve and global central banks at the macro - is virtually impossible without a grand systemic reset first. Which is why regulators, legislators and enforcers will huff and puff, and...  end up doing nothing. Because if there is one thing the TBTF systemic participants have, is unlimited leverage to collect as much capital due to being in a position of systematic importance in a market, rigged or otherwise.
Finally, if push comes to shove, and the fate of HFT is threatened, watch out below, because if HFT's presence, glitchy as it may have been, led to the May 2010 flash crash and the subsequently unstable market which has exhibited at least one memorable crash every single month, then the threat of pulling the marginal trader which now accounts for 70% of all stock churn and volume (if certainly not liquidity) would have consequences comparable to the Lehman collapse."


Inside tracks

"Is there any way to make insider trading less attractive? The government’s willingness to prosecute high-profile traders is a start. Still, we need a more fundamental approach. In a world where companies increasingly know about their business in real time, it makes no sense that public reporting mostly follows the old quarterly schedule. Companies sit on vital information until reporting day, at which point the market goes crazy. Because investors are kept in the dark, the value of inside information is artificially inflated. “Insider trading is, by definition, based on information that is not known to investors,” Baruch Lev, a professor of accounting and finance at N.Y.U. and an expert on corporate disclosure, told me. “If you increase transparency, the gains for insider trading must go down.” Back in 2002, Harvey Pitt, who was then the head of the S.E.C., told Congress that companies should be providing investors with regular updates about their performance, rather than just making quarterly disclosures. More consistent, if not real-time, data about revenue, new orders, and major investments would help investors make more informed decisions and, into the bargain, would diminish the value of insider information. If companies tell us more, insider trading will be worth less."


A Couple of Things You Should Know About the Stock Market

"We all know the Federal Reserve is manipulating the stock market. It does so in two ways:
1. Financial repression: lowering the yield on "safe" assets such as Treasury bonds to negative rates (adjusted for inflation, you're paying the government to park your capital in its bonds), which drives capital into so-called risk assets that offer a yield, for example dividend-paying stocks and rental housing.
2. POMO and bulk purchases of futures contracts on the S&P 500 before the market opens. Studies have found that the majority of gains in the stock market occur on POMO (one of the Fed's quantitative easing programs) days and on days when large lots of E-Mini futures contracts are purchased, pushing the markets higher at the open.

Everyone knows markets in the U.S. and Japan are levitating higher as money is created and pushed (via currency devaluation and financial repression) into stocks.

What nobody knows is the eventual consequence of all this manipulation. Right now the consensus is "don't fight the Fed," meaning stay invested in stocks because they're going higher.
In less-manipulated markets, we would expect the consensus to eventually be punished, simply because the market rarely rewards the majority for long. But in central-planning manipulated markets, the feedback that is the foundation of open markets has been suppressed."

Dealbreaker: LIBOR Gate

Lawsuit Claiming Banks Worked Together To Fix Libor Dismissed Because Banks Were Supposed To Work Together To Fix Libor

http://dealbreaker.com/2013/04/lawsuit-claiming-banks-worked-together-to-fix-libor-dismissed-because-banks-were-supposed-to-work-together-to-fix-libor/

Exploratory trading - The Top 8 HFTs Remove Liquidity 59% of the Time

"Exploratory trading is a form of manipulation designed to test the market's reaction to a trade. Probing for stop orders would be one form of exploratory trading. This paper specifically investigates exploratory trading that attempts to determine whether the bid/ask spread is about to shift up or down a level. The impact on the market would be an increase in intraday volatility. Exploratory trading distorts the market's view of supply and demand and induces trading activity from other participants. Furthermore, as participants learn of the strategy, they will employ counter-measures - which will further muddy an accurate picture of supply and demand for everyone else. This is why regulations ban manipulation."

"A lot of media discussion about HFT focuses on 3 benefits: they provide liquidity, narrow spreads and lower trading costs. This Harvard paper exposes some disturbing truths: the top HFT engage in a predatory market manipulation strategy that removes liquidity 59.2% of the time (by volume), causes undue intraday volatility (which amounts to a tax on investors), warps the true picture of supply and demand, and raises trading costs for everyone processing market data."

Why It’s Smart to Be Reckless on Wall Street

Ciekawy tekst o pewnym pomyśle na zarabianie na Wall Street. Na liczby w tekście patrzyłbym z pewnym dystansem, gdyż ciężko je zweryfikować, ale sam opis metody wyciągania premii jest intrygujący.
In 2000 a young PhD in mathematics approached me about a job before eventually landing at a European bank in research. In 2004 he started proprietary trading, where traders bet with the bank’s money. Pay was 15% of the profits. In 2005 he bought obscure and high-yielding corporate bonds, which generated profits of $40 million. He took home $6 million. In 2006 he made $80 million and took home $12 million. In 2007 the world turned and the group was disbanded as losses mounted. He was dismissed, and his trades eventually lost the firm close to $300 million. What was his PhD thesis about? Game theory, or using math to find the optimal solution to complex systems.