Zabobony na parkiecie - liczby Fibonacciego

"Inwestorzy korzystający z narzędzi opartych na liczbach Fibonacciego i złotej proporcji posługują się w istocie magią. Narzędzia te dają graczom jedynie fałszywe poczucie zrozumienia procesów zachodzących na wykresie cenowym."

"Zwolenników krytykowanych powyżej metod podzieliłbym na Wierzących i Pragmatyków. Wierzący przekonani są, że posługują się narzędziem objawionym przez samą naturę i wszechświat. Pragmatycy zaś utrzymują, że nie wiedzą, czemu to działa, ale jednak działa i umożliwia zarabianie pieniędzy. Wierzących zapewne przekonać się nie uda, jednak odważnym Pragmatykom polecam eksperyment. Polega on na zmianie wartości w aplikacji służącej do rysowania zniesień na wybrane losowo liczby. Zapewniam, że nowe poziomy będą równie skuteczne jak poprzednie."

http://pulsinwestora.pb.pl/3741556,99627,zabobony-na-parkiecie

High-Speed Traders Rip Investors Off

Michael Lewis, autor m.in. "Liar's Poker" czy "Moneyball: The Art of Winning an Unfair Game", krytykuje strategie HFT.

"The U.S. stock market is rigged when high-frequency traders with advanced computers make tens of billions of dollars by jumping in front of investors, according to author Michael Lewis, who spent the past year researching the topic for his new book “Flash Boys.”

"While speed traders’ strategies, developed over the past decade with help from exchanges, are legal, “it’s just nuts” that they’re allowed, Lewis said during an interview televised yesterday on CBS Corp.’s “60 Minutes.” The tactics are too complicated for individual investors to understand, he said."

http://www.bloomberg.com/news/2014-03-30/high-frequency-traders-ripping-off-investors-michael-lewis-says.html

The Financial Economists Roundtable Weighs in on Financial Transaction Taxes

"Many concerns motivate these proposed taxes. Some people want the financial sector to pay for the tremendous economic costs that they believe it imposed on everyone in the global financial crisis of 2008. Others believe that the financial sector should bear its “fair share” of taxes; such beliefs are particularly strong in countries where financial transactions are exempt from value-added taxes and therefore “escape” taxation. Still others simply want new revenues to support additional government spending, reduce the deficit, or provide tax relief to other sectors. Finally, some commentators believe that too much financial activity focuses on short-term rather than long-term goals. They believe that a transaction tax would force investors and businesses to focus more on long-term values and less on short-term activities that they perceive to be wasteful."

"Not all taxes are economically sensible, regardless of how desirable they may appear. A transaction tax imposed at any economically meaningful rate by only some countries would cause many transactions to be shifted to other countries, resulting in far less revenue than a simple static analysis might suggest. Furthermore, to the extent that a financial transaction tax would generate substantial revenue, the tax and the associated reduction in liquidity would lower asset prices. Lower asset prices would cause decreased corporate investment, resulting in less capital per worker in the long run and thus lower wages throughout the economy. Therefore, governments should be extremely wary of introducing or increasing financial transaction taxes."

http://blogs.cfainstitute.org/investor/2014/02/27/the-financial-economists-roundtable-weighs-in-on-financial-transaction-taxes/

The Wall Street Code

Krótki film dokumentalny o osobach programujących algorytmy na Wall Street, ich działalności oraz branży HFT.

http://www.youtube.com/watch?v=kFQJNeQDDHA#t=2293

Surprise - US Policy Reduces Trading Volumes AND Liquididty In The US Treasury Market - BRAVO

"The US Federal Reserve Bank has been easing quantitatively (QE) for 4 years now, since 2009.  Over this period, average daily trading volume in the US Treasury market has reduced from 500bln 10yr equivalents per day to 350bln 10yr equivalents.  350bln 10yr equivs may still seem like a big number...but this is a 30% decrease in trading volumes, and that is a reduction not only in volume, but liquidity.  Some readers out there might think"so what?" or "whats the big deal if the US Treasury market is less liquid than it used to be?"  The answer rests in the ultimate lenders of capital, and the structure of the Treasury market which is of great concern to participants of this market.  Investors (yes, a rarely used word these days) prefer to invest in assets that are liquid, especially when that asset is designated as a "risk free" asset.  Liquidity = ability to enter / exit at tight spreads without affecting the market price for the security.  (...)

The market is a discounting function, in that it discounts future expected values in the current price of assets.  This means that ultimately, when the market realizes that the Fed cannot exit its QE position (i'm amazed this hasn't happened yet), the discounting function requires the price of UST debt to drop, yields to rise, and the currency to cheapen.  And here is where the Fed holding a sizable portion of all outstanding UST debt becomes both a problem, solution, and problem again."

http://govttrader.blogspot.com/2013/11/surprise-us-policy-reduces-trading.html

Stawka godzinowa tradera

"Mity o romantycznym życiu gracza giełdowego wiążą się często z przekonaniem o łatwych pieniądzach (minimum kilkadziesiąt procent w skali roku) uzyskiwanych w niestresujących warunkach (jeśli nie składanie zleceń spod palmy na Hawajach, to przynajmniej możliwość tradingu w piżamie)."

http://blogi.bossa.pl/2008/11/24/stawka-godzinowa-tradera/

Zarządzanie pozycją cz.1

"Proszę jednak nie spodziewać się cudów. Wielkość pozycji to jedynie ułamek integralnej całości systemu/strategii, na który składa się przede wszystkim zarządzanie ryzykiem oraz metody wejścia i opuszczenia pozycji. Sama metoda określenia wielkości użytego kapitału nie uczyni żadnej strategii odrzutowo zyskownej, co najwyżej pomoże wydobyć lub ulepszyć tkwiącą w niej przewagę (pozytywną wartość oczekiwaną). Przede wszystkim powinna jednak pomóc uniknąć bankructwa i uchronić kapitał w czasie niepomyślnych warunków, kiedy portfel doznaje cyklicznych obsunięć wartości."

http://blogi.bossa.pl/2013/08/25/zarzadzanie-pozycja-cz-1/

Dark-pool trading reaches record levels in Europe

"European share trading taking place in anonymous, off-exchange venues known as "dark pools" reached its highest-ever level in July, amid lower volatility and a growing proliferation of high-frequency trading on the platforms.

About 10.3% of all European equities trading last month took place on these venues, according to data from Thomson Reuters. (...)

Dark pools do not display prices to the market, and allow investors to place orders anonymously to help minimise market impact. Trading often shifts to the venues in quieter periods, when institutions have increased confidence in trading away from exchanges or 'lit' markets."

http://www.marketwatch.com/story/dark-pool-trading-reaches-record-levels-in-europe-2013-08-12

Abe Spurs Day Traders as Japan Stock Swings Hit 2-Year High

"Day trading helps explain why Japanese individuals now account for more than 40 percent of the nation’s equity volume, or about as much as the overseas institutions that once were the biggest traders. They’ve also helped make Japan the most volatile developed market, which is good for some and bad for others. (...) Dramatic price movements aren’t the only thing that’s made Japan a day trader’s paradise. Deregulation of margin tradingopened the flood gates, Murakami said. After rules were relaxed in January, investors can borrow three times as much as their brokerage account balances and turn loans over the instant they exit a trading position."

http://www.bloomberg.com/news/2013-06-23/abe-spurs-day-traders-as-japan-stock-volatility-hits-2-year-high.html

How Much is Too Much? (Position Sizing)

"30 people in a room, everyone gets the same exact trades in the same exact sequence. How many different outcomes will result?

Years ago I did a lot of work with Van Tharp, one of the original Market Wizards from Jack Schwagers books. Van had game where he had 100 marbles in a bag, each representing a trade. Each marble (trade) was denoted with a return that was a multiple of the risk (know as “R”) taken on that trade, +1R, -2R, + 5R, etc. 60% of the marbles (trades) were winners. The unknown was the amount of the gain or loss from each trade. Participants were each allocated $100,000 and instructed to bet a percentage of their equity on each marble pull. The range of results was astounding. Some made huge multiples of their equity some made a solid return, some had small losses and some blew out. In all there were 30 different results."

http://daytraderbootcamp.com/blogs/the-traders-jacket/how-much-is-too-much-position-sizing/

Co zmieni system UTP?

"Od 15 kwietnia 2013 r. notowania na Giełdzie Papierów Wartościowych w Warszawie prowadzone będą w nowym systemie transakcyjnym - Uniwersalnej Platformie Obrotu (UTP). Jej twórcą jest NYSE Technologies. UTP oparty jest na tej same technologii, na jakiej opiera się system stosowany na giełdach w Nowym Jorku, Paryżu, Brukseli, Amsterdamie, Lizbonie czy Katarze."

"Wraz z pojawieniem się nowego systemu transakcyjnego zmianie ulegają niektóre rodzaje i sposoby realizacji zleceń. Na GPW pojawi się jeden nowy rodzaj zlecenia (PEG), modyfikacji ulegają zlecenia - PKC i PCR, które zastąpi dotychczasowe zlecenie PCR i PCRO, w systemie UTP pojawią się również trzy nowe typy ważności zleceń."

http://gpwmedia.pl/entries/6006/

Exchange-Traded Funds, Market Structure, and the Flash Crash

“Exchange-Traded Funds, Market Structure, and the Flash Crash” by Ananth Madhavan.

The author analyzes the relationship between market structure and the flash crash. The proliferation of trading venues has resulted in a market that is more fragmented than ever. The author constructs measures to capture fragmentation and shows that they are important in explaining extreme price movements. New market structure reforms should help mitigate such market disruptions in the future but have not eliminated the possibility of another flash crash, albeit with a different catalyst

http://www.cfapubs.org/doi/pdfplus/10.2469/faj.v68.n4.6