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Ah, but those quants are going to make a bunch of money... There's a cottage industry forming around finding market distortions caused by bad algos. You'd thin
by dave_sullivan 11y ago
Ah, but those quants are going to make a bunch of money...
There's a cottage industry forming around finding market distortions caused by bad algos. You'd think that there wouldn't be a bunch of bots running around making stupid decisions, but there are a lot of bots that haven't been updated in some time and were put in place according to some idealized rule-based model in some esoteric area of finance that one guy came up with.
It's kind of like asking yourself seriously how many computers out there are running outdated software. The less fundamentals matter, the more computers handle various activities that have a more or less direct impact on prices of marketable securities, the more this is a valid strategy. It's basically anomaly detection on very messy data.
If transaction costs keep coming down and data becomes cheaper (both of which seem likely), trading as an independent might become less ludicrous than it is. And to be clear, it is currently ludicrous. Transaction costs will eat up any potential gains on the retail side unless you're operating with very large amounts of money.
- anonu 11y agoSomeone really bit the dust this morning in ETF land. Lots of US ETFs were down 10,20,30% and were halted due to circuit breakers. There is some quant/market-making firm out there that is really paying for this today.
- rdtsc 11y agoCould one make a bot to make money off crashes like these (like gp post suggested). It would seem circuit breakers would limit that possibility, and also, didn't they revert trades in the past during such flash crashes as well?
- anonu 11y agoYes - if you have better information than everyone else - or at least can extrapolate where the fair value of products are based on where other things are trading - then you would be able to make a bunch of money. On the other hand - many of these names kept flipping their circuit breakers on and off. So, not much volume may have traded at these "wrong" prices. I was expecting a lot of CEE (Clearly Erroneous Executions) to be raised this morning in all these ETFs - but I haven't seen it yet.
- swagswag 11y agoJane Street Capital making a killing today.
- wocram 11y agoSpeculation?
- btilly 11y agoYou'd think that there wouldn't be a bunch of bots running around making stupid decisions, but there are a lot of bots that haven't been updated in some time and were put in place according to some idealized rule-based model in some esoteric area of finance that one guy came up with. There are other reasons why stupid decisions are being made by bots. For example, response times matter. Often you have a tradeoff between making a bad decision quickly, or a good decision more slowly. It isn't clear that being smart is worthwhile...