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I agree with your general assessment of HFT, but if the article is correct, this fund doesn't fit that mold: > said Lun, whose computer holds trades for an ave
by scott_karana 9y ago
I agree with your general assessment of HFT, but if the article is correct, this fund doesn't fit that mold:
> said Lun, whose computer holds trades for an average of six days
- namuol 9y ago> an average of Does this exclude outliers? What's the median duration?
- scott_karana 9y agoEven though "average" is a statistically non-rigorous term, we should be out of the "5-15 second maximum" holding times mentioned by GP by at least one order of magnitude.
- module0000 9y agoIt's average as determined by the statistics from my own algorithm's licensees, and from my competitors. I'm sure there are plenty out there that don't fit that mold, but all I can report on is what I see - and those statistics are what I see day in and day out. Another disclaimer, the markets I'm quoting these averages from are the ES and ZB.