Wired har en mycket väldokumenterad artikel om den ljusskygga värld av HFT-handel där 14,5 millisekunder tur och retur mellan New York och Chicago är soo slow. Raging Bulls: How Wall Street Got Addicted to Light-Speed Trading
”Under the “maker-taker” model, some exchanges offer tiny incentive payments, or rebates, for posting a quote (to buy or sell a stock) that results in a trade. The exchange charges the other side in the trade, the taker, a slightly higher fee and collects the difference. So an algo can buy a stock, earn a rebate, then sell the stock and earn a rebate for that too.
All of this is governed by algorithms whose lifespans can be as short as a few weeks.Sometimes an algorithm does something as simple as look for a stock that ticks up in price several trades in a row. A “momentum” algo would buy the stock, expecting the rise to continue. A “mean-reversion” algo would sell, expecting a drop back to average price. They might both even be deployed by the same firm. Over the course of a minute, they might both be right.”
”By some estimates, 90 percent of quotes on the major exchanges are canceled before execution. Many of them were never meant to be executed; they are there to test the market, to confuse or subvert competing algorithms, or to slow trading in a stock by clogging the system—a practice known as quote stuffing. It may even be a different stock, but one whose trades are handled on the same server. On the Internet, this is called a denial-of-service attack, and it’s a crime. Among quants, it’s considered at most bad manners.”
Orsak och verkan, vem behöver vem och varför en verksamhet existerar har vänts upp och ned. Men vem är förvånad, fistad igen.
”High-frequency trading raises an existential question for capitalism, one that most traders try to avoid confronting: Why do we have stock markets? To promote business investment, is the textbook answer, by assuring investors that they can always sell their shares at a published price—the guarantee of liquidity. From 1792 until 2006, the New York Stock Exchange was a nonprofit quasi utility owned by its members, the brokers who traded there. Today it is an arm of NYSE Euronext, whose own profits and stock price depend on getting high-frequency traders in the door. Trading increasingly is an end in itself, operating at a remove from the goods-and-services-producing part of the economy and taking a growing share of GDP—twice what it did a century ago, when Wall Street was financing the enormous industrial expansion of the economy. “This is counterintuitive, to say the least,” wrote New York University economist Thomas Philippon in an article for the Russell Sage Foundation. “How is it possible for today’s finance industry not to be significantly more efficient than the finance industry of John Pierpont Morgan?””