4 ms·

Having worked with AQR, I would say they are more HF + coupled with some tend following than anything else. What makes you say they are not?

by osrec 9y ago

auntienomen 9y ago
Does that just mean that they do their own execution, or does it mean that their short-holding-time strategies are a major profit center?
dsacco 9y ago
To be clear, when you say AQR is primarily a "high frequency" firm, do you mean they are mostly position neutral with execution in (at most) a few microseconds?
- smittywerben 9y ago
  I do not think HFT has a very clear definition anyways. I'm pretty sure most we hear of comes from regulatory cases/exposure. This is how the SEC characterizes HFT firms. 1. Use of extraordinarily high speed and sophisticated programs for generating, routing, and executing orders. 2. Use of co-location services and individual data feeds offered by exchanges and others to minimize network and other latencies. 3. Very short time-frames for establishing and liquidating positions. 4. Submission of numerous orders that are cancelled shortly after submission. 5. Ending the trading day in as close to a flat position as possible (that is, not carrying significant, unhedged positions overnight). From pages 4-5 https://www.sec.gov/marketstructure/research/hft_lit_review_march_2014.pdf https://www.sec.gov/marketstructure/research/hft_lit_review_...
yellowstuff 9y ago
FWIW, Cliff Asness disagrees with you: > we are not high-frequency traders https://www.aqr.com/Insights/Perspectives/High-Frequency-Derangement-Syndrome https://www.aqr.com/Insights/Perspectives/High-Frequency-Der...
- osrec 9y ago
  I understand he does, but our definitions are different. Firstly, they are not a buy-and-hold sort of fund. Their strategy is more momentum based, and in my experience, to be good at that you need a deep understanding of HFT in current market conditions. I'm not saying they're market makers, but I will say that they employ some sub-minute strategies - to me, that is high frequency (not super high frequency, but high frequency nonetheless). Also, they seem to hire a fair few ex-HF guys in senior positions (e.g. https://nypost.com/2015/07/31/aqrs-head-of-trading-on-paid-leave-amid-probe/ https://nypost.com/2015/07/31/aqrs-head-of-trading-on-paid-l...)

Having worked with AQR, I would say they are more HF + coupled with some tend following than anything else. What makes you say they are not?

by osrec 9y ago

Having worked with AQR, I would say they are more HF + coupled with some tend following than anything else. What makes you say they are not?

auntienomen 9y ago

Does that just mean that they do their own execution, or does it mean that their short-holding-time strategies are a major profit center?

dsacco 9y ago

To be clear, when you say AQR is primarily a "high frequency" firm, do you mean they are mostly position neutral with execution in (at most) a few microseconds?

smittywerben 9y ago
I do not think HFT has a very clear definition anyways. I'm pretty sure most we hear of comes from regulatory cases/exposure. This is how the SEC characterizes HFT firms. 1. Use of extraordinarily high speed and sophisticated programs for generating, routing, and executing orders. 2. Use of co-location services and individual data feeds offered by exchanges and others to minimize network and other latencies. 3. Very short time-frames for establishing and liquidating positions. 4. Submission of numerous orders that are cancelled shortly after submission. 5. Ending the trading day in as close to a flat position as possible (that is, not carrying significant, unhedged positions overnight). From pages 4-5 https://www.sec.gov/marketstructure/research/hft_lit_review_march_2014.pdf https://www.sec.gov/marketstructure/research/hft_lit_review_...

yellowstuff 9y ago

FWIW, Cliff Asness disagrees with you: > we are not high-frequency traders https://www.aqr.com/Insights/Perspectives/High-Frequency-Derangement-Syndrome https://www.aqr.com/Insights/Perspectives/High-Frequency-Der...

osrec 9y ago
I understand he does, but our definitions are different. Firstly, they are not a buy-and-hold sort of fund. Their strategy is more momentum based, and in my experience, to be good at that you need a deep understanding of HFT in current market conditions. I'm not saying they're market makers, but I will say that they employ some sub-minute strategies - to me, that is high frequency (not super high frequency, but high frequency nonetheless). Also, they seem to hire a fair few ex-HF guys in senior positions (e.g. https://nypost.com/2015/07/31/aqrs-head-of-trading-on-paid-leave-amid-probe/ https://nypost.com/2015/07/31/aqrs-head-of-trading-on-paid-l...)