4 ms·
I think it as bit disingenous. The key part about the alpha measurement is this > [...] in the next very short period, say one second [...] Most "institutiona
by mads_ravn 11y ago
I think it as bit disingenous. The key part about the alpha measurement is this
> [...] in the next very short period, say one second [...]
Most "institutional investors" (which I guess means longer-term in the context of the article) would not be affected by this.
- dcw303 11y agoThere's a paragraph in the article that explains that when such an investor places an order with a broker, it gets broken up into many small orders, which are indeed at high risk of being tagged as "too much positive alpha".
- mads_ravn 11y agoYou're right that the article states, that the AES SOR would sometimes be (mis?) classified as oppotunistic - so the metric is not perfect. I'm actually inclined to believe that order send/cancellation rate (see analysis in eg. [1]) would be better. But the entire paragraph (in my reading, at least) seems to be arguing, that you will loose money, if you have short-term negative alpha (footnote 8 actually retracts the argument again). This is obviously not true, as this would only leave room for the HFTs in the market. [1] http://www.nanex.net/aqck2/4661.html http://www.nanex.net/aqck2/4661.html