3 ms·
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?
by 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 agoI 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_...