Submitted by Tyler Durden on 07/01/2011 00:21 -0400
* Guest Post
* Nat Gas
* Natural Gas
Submitted by The World Complex
Deconstructing Algos, Part 2: Leveraging Chaos Into High-Frequency Arbitrage Opportunities
The recent elegant explanation for the activities of the HFT algos by Nanex seems likely to be a better one than the analysis that follows, as it answers the all-important question--why? In the following analysis we will look a little bit at how, but most or our interpretation of the results is coloured by the Nanex explanation. It explains why so many trades happen outside the bid-ask spread, particularly as the bid and ask prices are moving rapidly. They are scalping fractions of pennies from some poor fool who has data more than a few ms old.
As this is the reason, the method of choosing
http://www.zerohedge.com/article/guest-post-deconstructing-algos-part-2-leveraging-chaos-high-frequency-arbitrage-opportuniti?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+zerohedge%2Ffeed+%28zero+hedge+-+on+a+long+enough+timeline%2C+the+survival+rate+for+everyone+drops+to+zero%29
Realist - Everybody in America is soft, and hates conflict. The cure for this, both in politics and social life, is the same -- hardihood. Give them raw truth.
| 