How To Fix High-Frequency Trading

"The recent public outcry over high frequency trading is pointless. Solutions exist. Virtually every comparable market in the world uses them already.

But, some electronic exchanges may not willingly adopt them. Doing so may disrupt their current business model. The incentives are misaligned, and competitors or regulators may need to force the issue to see change. Luckily, the issue to be forced is far simpler than most think.

It’s time to add quality to the matching process. Over thousands of years, every naturally evolved market has headed this direction – from the ancient Greeks to Alibaba.com. It’s time for Wall Street to realize what they lost along the way, and how it can fix far more than just HFT."

http://www.zerohedge.com/news/2014-05-26/how-fix-high-frequency-trading

Everything You Wanted To Know About Global Oil Fundamentals (But Were Afraid To Ask)

"There's more than one oil price around the world and as the following comprehensive (but brief) overview from Morgan Stanley's Global Energy Teach In shows, crude oil pricing across the world is dynamic and multi-factorial - from fundamental factors (such as simple supply and demand and seasonality) to macro factors (such as USD strength, macro sentiment, and "burden") and risk premia (e.g. geopolitics), the following provides everything you wanted to know about global crude oil fundamentals, but were afraid to ask..."

http://www.zerohedge.com/news/2014-05-10/everything-you-wanted-know-about-global-oil-fundamentals-were-afraid-ask

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."

http://www.zerohedge.com/news/2014-04-06/high-frequency-trading-all-you-need-know

Refuting The Biggest "Recovery" Lies In Four Simple Charts

"US profits are growing, companies have underinvested and have no choice but to spend more on CapEx, and corporations have much less debt than they did during the crisis thanks to a massive cash build up."

"These are the generic go to explanations by soundbity talking heads for why the US recovery is gaining traction with US corporations, if not so much Joe Sixpack, and why companies are still cheap. There is one problem: they are all wrong.

As SocGen's Andrew Lapthorne shows conclusively, "US profits are not growing, companies are over not underinvesting (they may in fact have overinvested), and corporates are carrying more (not less) net debt than they were in 2009. It would appear that many believe the opposite to be true, yet corporate report and accounts data seems to say otherwise." But hey- stocks are at record highs, right, and the market is never wrong (except when it is), so who cares."

http://www.zerohedge.com/news/2014-01-17/refuting-biggest-recovery-lies-four-simple-charts

Everything You Wanted To Know About Equity Market Valuations (And Didn't Know To Ask)

Bardzo polecam zapoznanie się z raportem opisanym w linku, ponieważ w przyjazny sposób zwraca uwagę na parę kwestii związanych z horyzontem inwestycji oraz czynnikami wyceny rynkowej jako całości. Dodatkowo można tam znaleźć ciekawe wartości dla dzisiejszych poziomów amerykańskiego rynku i gospodarki. Link do pełnego tekstu raportu jest na dole tekstu (tylko fragment na Zerohedge).

"This publication tries to assess the following questions:

1. What kind of return can be reasonably expected from stock market investments? Is that rate sustainable?

2. What kind of simple tools exist to tell if the stock market is cheap or expensive?

3. Are stock market returns mean-reverting?

4. Are we going to continue to see similar cyclical fluctuations in the future, or are we in the midst of a structural break?

I will try to keep things as simple as possible. Finance doesn't have to be complex (people make it complex)."

http://www.zerohedge.com/news/2013-12-06/everything-you-wanted-know-about-equity-market-valuations-and-didnt-know-ask

How Game Theory Solved The 2011 Debt Ceiling Debacle

Krótki filmik z lipca 2011 o sporze Demokratów z Republikanami o podniesienie limitu zadłużenia (czyli podobnie jak dzisiaj). Autor przedstawia w uproszczony sposób preferencje stron i próbuje wskazać optymalne rozwiązanie wykorzystując teorię gier.

http://www.youtube.com/watch?v=DlfOgqUYOlA

http://www.zerohedge.com/news/2013-10-16/how-game-theory-solved-2011-debt-ceiling-debacle

What Radioshack's 5-Second 10% Spike Looked Like To The Machines

HFT i ruchy kursów akcji o 10% w poniżej 5 sekund na podstawie nagłówków wiadomości. 

"News yesterday that Radioshack was planning to seek new debt financing in order to give suppliers more confidence - which in itself is kind of ironic that suppliers would find an even-more-levered company a better credit risk - sent the stock spiking higher by 10% in mere seconds as the machines took the headline and ran with it. Sanity was restored moments later as the stock hit the exchange limits and was instantly reverted back to unchanged."

"Each box represents one exchange. The SIP (CQS in this case) is the box at 6 o'clock. It shows the National Best Bid/Offer. Watch how much it changes in a fraction of a second.The shapes represent quote changes which are the result of a change to the top of the book at each exchange. The time at the bottom of the screen is Eastern Time HH:MM:SS:mmm (mmm = millisecond). We slow time down so you can see what goes on at the millisecond level. A millisecond (ms) is 1/1000th of a second.

Note how every exchange must process every quote from the others -- for proper trade through price protection. This complex web of technology must run flawlessly every millisecond of the trading day, or arbitrage (HFT profit) opportunities will appear. It is easy for HFTs to cause delays in one or more of the connections between each exchange."

http://www.youtube.com/watch?v=FY11xLN54pQ

http://www.zerohedge.com/news/2013-10-04/what-radioshacks-5-second-10-spike-looked-machines

The Ultimate "What Would Janet Yellen Do?" Cheatsheet

"Pulling from an extensive record of public speeches and FOMC meeting transcripts, Goldman Sachs reviews Fed Chair-nominee Janet Yellen's views on a number of policy-relevant issues. Probably the most differentiating feature of Yellen's public communications relative to other Fed officials has been her focus on "optimal control" considerations in illustrating potential future paths for the fed funds rate, which generally suggest a more accommodative path than current consensus expectations.

Yellen has expressed confidence in the benefits of QE in the past, and has generally not suggested that the costs of QE are substantial enough to warrant any changes to the stance of policy.

She believes that most of the increase in unemployment since the crisis has been cyclical rather than structural in nature, and will be looking for a broad-based improvement in labor market indicators before deciding that a "substantial" improvement has occurred.

FOMC meeting transcripts show that Yellen generally erred on the side of preferring more accommodation during 2006 and 2007 (detailed transcripts are delayed 5 years), but expressed significant concern about inflation during the mid-1990s.

Via Goldman Sachs, (...)"

http://www.zerohedge.com/news/2013-10-11/ultimate-what-would-janet-yellen-do-cheatsheet

Poland Confiscates Half Of Private Pension Funds To "Cut" Sovereign Debt Load

Czyli z serii jak nas widzą na Dalekim Zachodzie: parę chaotycznych cytatów, trochę problemów ze zrozumieniem słowa "niekonstytucyjne" i całkiem dużo wyrwanych z kontekstu informacji jak na tak mało znaczący na świecie kraj jak Polska. Przynajmniej znowu nie pomylili nas z Portugalią.

"End result: "The Polish pension funds' organisation said the changes may be unconstitutional because the government is taking private assets away from them without offering any compensation.... (...)

Unconstitutional? What's that. But whatever it is, it's ok - after all the public pension system is still around. At least until that too is plundered. But in the meantime, all such pensions will be "safer",guaranteed.

But best of all, in the aftermath of Cyprus, we now know what the two most recent European blueprints for preserving the myth of solvency are: bail-ins, which confiscate deposits, and pension fund "overhauls", which confiscate, well, pension funds."

http://www.zerohedge.com/news/2013-09-06/poland-confiscates-half-private-pension-funds-cut-sovereign-debt-load

The Incredible Shrinking COMEX Gold Warehouse Inventories

"Just 3-1/2 years ago in early 2011, COMEX warehouses held more than 11 million ounces of eligible gold, with JPM holding more than 3 million of these 11 million ounces. As of August 9, 2013, JPM’s eligible gold has fallen from 3+ million ounces to 361,606 ounces. Thus, it is safe to conclude that physical gold is being withdrawn from COMEX warehouse due to a lack of trust in the global banking sector’s honesty and credibility. Though most statistics today discuss the collapse in eligible gold, I actually believe that the collapse in registered gold is more compelling. Recall that registered gold is the gold held at the COMEX that is available for delivery while eligible gold is not “eligible” for delivery."

http://www.zerohedge.com/contributed/2013-08-13/incredible-shrinking-comex-gold-warehouse-inventories

Goldman Admits Payroll Data Is "Economically Meaningless"

"So, the bottom line is that market moves off the headline data releases of the Payrolls and GDP are inefficient and based on a false belief that this data in some way indicates improving (or deteriorating) economic conditions. Once again, investors have been fooled by an ongoing mythology about the often noisy (and always revised) data and the mainstream media's need for a headline upon which to hang the manipulation-du-jour."

http://www.zerohedge.com/news/2013-08-11/goldman-admits-payroll-data-economically-meaningless

The Ultimate Guide To Detroit's Chapter 9 Bankruptcy

"Since Detroit’s Chapter 9 filing in late July, it has slipped off the front-pages to some extent. The Chapter 9 process is underway and Barclays provides a deep-dive look at the various liabilities involved in the bankruptcy. From the pension obligation certificates (POC), which they believe could be subject to the most volatility over the course of the bankruptcy process and will likely recover no more than 30 cents on the dollar, Barclays' muni team expands on the various aspects of the eligibility process, historical precedents (such as Stockton, CA), and the tough decisions that investors face in deciding between short-term goal of certainty of payment or a long-term goal of maximizing returns. The judge has set a mid-March 2014 deadline for the city to file its plan of adjustment."

http://www.zerohedge.com/news/2013-08-09/ultimate-guide-detroits-chapter-9-bankruptcy

China Is Ending Its "One-Child Policy" - Here Are The Implications

"Back in 1978, the Chinese politburo enacted the "one-child policy", whose main purpose was to "alleviate social, economic, and environmental problems" in China as a result of the soaring population. According to estimates, the policy prevented more than 250 million births between 1980 and 2000, and 400 million births from about 1979 to 2011. And while not applicable to everyone, in 2007 approximately 35.9% of China's population was subject to a one-child restriction."

"Such an unprecedented pace of aging poses big challenges to China’s pension system. Traditionally, Chinese families have largely relied on their children after their retirement. However, after a 30-year enforcement of the one-child policy, every only-child will need to support two parents and four grandparents, which is likely to be too much of a burden. The retirees will have to depend on the national pension system. China needs to quickly catch up its pension system coverage to ensure social security, as currently only about a third of the population is covered. Furthermore, how to finance the pension system remains a big question as China’s labor force shrinks."

http://www.zerohedge.com/news/2013-08-04/china-ending-its-one-child-policy-here-are-implications

The Days Of The Super-Powered Chinese Economy Are Over

"The recent liquidity crunch, and its cause, illustrates some of the difficulties China's economy will face in the future. Over the last two years, and especially in 2013, mainland corporations with offshore affiliates had been borrowing money abroad, faking trade invoices to import the money disguised as export revenues, and profitably relending it as Chinese yuan. As China receives more dollars from exports and foreign investment than it spends on imports and Chinese investment abroad, the People's Bank of China, the central bank, is forced to buy those excess dollars to maintain the value of the yuan. It does this by borrowing yuan in the domestic markets. But because its borrowing cost is greater than the return it receives when it invests those dollars in low-earning U.S. Treasury bonds, the central bank loses money as its reserves expand."

Authored by Michael Pettis, originally posted at Foreign Policy.

http://www.zerohedge.com/news/2013-06-28/days-super-powered-chinese-economy-are-over

Goldman Slams Abenomics: "Positive Impact Is Gone, Only High Yields And Volatility Remain; BOJ Credibility At Stake"

"While many impartial observers have been lamenting the death of Abenomics now that the Nikkei - essentially the only favorable indicator resulting from the coordinated and unprecedented action by the Japanese government and its less than independent central bank - has peaked and dropped 20% from the highs, Wall Street was largely mum on its Abenomics scorecard. This changed overnight following a scathing report by Goldman which slams Abenomics, it sorry current condition, and where it is headed, warning that unless the BOJ promptly implements a set of changes to how it manipulates markets as per Goldman's recommendations, the situation will get out of control fast."

http://www.zerohedge.com/news/2013-06-18/goldman-slams-abenomics-positive-impact-gone-only-high-yields-and-volatility-remain-

Gold Crush Started With 400 Ton Friday Forced Sale On COMEX

"The gold futures markets opened in New York on Friday 12th April to a monumental 3.4 million ounces (100 tonnes) of gold selling of the June futures contract in what proved to be only an opening shot. The selling took gold to the technically very important level of $1540 which was not only the low of 2012, it was also seen by many as the level which confirmed the ongoing bull run which dates back to 2000. In many traders minds it stood as a formidable support level... the line in the sand. (...) 

The selling was timed for optimal impact with New York at its most liquid, while key overseas gold markets including London were open and able feel the impact. The estimated 400 tonne of gold futures selling in total equates to 15% of annual gold mine production - too much for the market to readily absorb, especially with sentiment weak following gold's non performance in the wake of Japanese QE, a nuclear threat from North Korea and weakening US economic data. The assault to the short side was essentially saying "you are long... and wrong"."

http://www.zerohedge.com/news/2013-04-15/gold-crush-started-400-ton-friday-forced-sale-comex

Przykład, jak się bawią "algorytmy"

Ciekawy przykład, co się dzieje, gdy następuje błąd jakiegoś algorytmu transakcyjnego. Dodatkowo rzadko kiedy w Polsce jest potrzeba i okazja oglądać wykresy w interwałach wynoszących 5 milisekund oraz z podziałem na zlecenia z różnych platform obrotu. :) Część transakcji poniżej $32.72 została anulowana później.

http://www.nanex.net/aqck2/4052.html

http://www.zerohedge.com/news/2013-01-02/another-algo-gone-wild-bailed-out-nasdaq-after-mini-flash-crash

http://www.finviz.com/quote.ashx?t=gva

Trystero - "O korzyściach z krytycznego analizowania informacji"

To jest akurat dzisiejszy tekst świetnego moim zdaniem blogera, Trystero (btw. jednego z doktorów z krakowskich uczelni), którego blog naprawdę polecam wszystkim! Mam nadzieję, że dzięki temu wpisowi przekonacie się, że nie zawsze należy bezgranicznie ufać temu, co niektóre "autorytety" piszą lub mówią publicznie. Każdą informację, jeśli chce się ją dalej przekazać, powinno się weryfikować, o czym widać dzisiaj przekona się prof. Rybiński. 

http://blogi.bossa.pl/2012/11/22/o-korzysciach-z-krytycznego-analizowania-informacji/