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These "experts" are just journalists who wouldn't be writing articles if they had enjoyed any success analyzing orderbooks. This article is perhaps the most clu

These "experts" are just journalists who wouldn't be writing articles if they had enjoyed any success analyzing orderbooks. This article is perhaps the most clueless garbage I've read on the topic of crypto, and there is a LOT of cringeworthy stuff out there. What's that saying about how people scoff at the inaccuracies when reading about something in the news they know intimately, and then read the rest of the paper as though it's going to be any better? > Meanwhile you don't seem to understand why it is remarkable that the market can absorb a huge order that should move the market because of its sheer size while much smaller order have a much larger impact. Is the concept of an orderbook so foreign to non-finance/math people? Firstly, 13k is not a "huge" order. Secondly, someone clearly just had a somewhat large maker order placed at $1 for the example cited which absorbed a few orders, and the book was thinner for a subsequent price movement (liquidity vacuum). Explained by the market being low volume, low volatility, likely dominated by a handful of traders/algos, and plain old random variation (individual players' orders have a more significant effect in low volume markets like Tether/USD). It's also important to note that psychological price levels (like 1.0) tend to accumulate larger walls as a result of human nature. For Tether in particular, it makes sense that the price never breaches 1.0. It's an easy short above 1.0, as it is impossible for Tether to ever become worth more than the price it is pegged at, whereas it could become worth less if it were insolvent. So there is probably a huge wall sitting there on every exchange.

neom 8y ago
The part I'm confused about is if you look at order size to volume, isn't it weird that price flux doesn't seem to match the spay in order size? Also, is tether formally a fixed-exchange-rate system, if so how is the pegging being mechanized?
- lend000 8y ago
  You can't read into it much for such a low volume exchange. It's akin to a small sample size resulting in behavior that can stray farther from the mean. This article also makes a glaring omission of using the Tether/USD index price (since Kraken is not the only exchange trading the pair), so prices can move in the market without any volume occurring on Kraken, if the traders shuffle the orderbook before arbitragers make trades.
wpietri 8y ago
Did you read the article? These experts are experts. Including: "New York University Professor Rosa Abrantes-Metz and former Federal Reserve bank examiner Mark Williams"
- lend000 8y ago
  Those references are not the authors, and keep in mind that professors usually would not be professors if they had a sufficient understanding of markets to beat them. No one cited in the article has seen a live exchange with as low of volume as Tether/USD, simply because such low volume exchanges are typically considered irrelevant. Lower volume == fewer players == higher impact of a smaller number of traders == attribution of the inefficiencies of a small group of traders to market-wide patterns == clueless articles like this one.
  - wpietri 8y ago
    They are experts. The article is written by skilled financial journalists based on the work of experts. I used to write trading systems for market makers, and still have friends in the business. I also have friends who are professors, including a finance professor. Trading is not really about market knowledge; it's a skill and an orientation. Being a professor is much more about knowledge, but it's also about skills and orientation. They're different kinds of people, doing very different work. Your "the only people who can possibly understand this are the ones who agree with me" approach is essentially religious thinking. You're making an argument from authority, except the only cited expert is you, an anonymous person with no credentials and no provable experience.
    - lend000 8y ago
      Consider the analogy of playing tennis against a tennis commentator (who wasn't formerly a professional). Sure, the commentator understands the game at a deeper level than your average joe, but it's a very different kind of understanding/skill from the pros making the money. I'd give myself better odds to beat the commentator / SE working for a market maker than the pro / fund manager. This applies to journalism at large, but for market and trading analysis in particular, professors fit into this category much more than in other fields (such as engineering, where there is still a disconnect between academia and industry). In trading, anyone who truly understands the market at such a powerful level is using that knowledge to make money. It's a complex adaptive system, so publishing financially actionable research in the field is usually pointless because the market adapts. In my anecdotal experience, even engineers / employees of quant funds like yourself do not often really understand the market when they were focused on some specific piece of infrastructure / a part of someone else's larger design. When left alone without the infrastructure and systems they were used to, breaking even is often their best case scenario. But this is all beside the point. Instead of personal attacks, getting defensive, and bowing to credentials, consider thinking for yourself and addressing the content, if you reply. Source: I'm an anonymous professional trader who beats the market.

neom 8y ago

The part I'm confused about is if you look at order size to volume, isn't it weird that price flux doesn't seem to match the spay in order size? Also, is tether formally a fixed-exchange-rate system, if so how is the pegging being mechanized?

lend000 8y ago
You can't read into it much for such a low volume exchange. It's akin to a small sample size resulting in behavior that can stray farther from the mean. This article also makes a glaring omission of using the Tether/USD index price (since Kraken is not the only exchange trading the pair), so prices can move in the market without any volume occurring on Kraken, if the traders shuffle the orderbook before arbitragers make trades.

wpietri 8y ago

Did you read the article? These experts are experts. Including: "New York University Professor Rosa Abrantes-Metz and former Federal Reserve bank examiner Mark Williams"

lend000 8y ago
Those references are not the authors, and keep in mind that professors usually would not be professors if they had a sufficient understanding of markets to beat them. No one cited in the article has seen a live exchange with as low of volume as Tether/USD, simply because such low volume exchanges are typically considered irrelevant. Lower volume == fewer players == higher impact of a smaller number of traders == attribution of the inefficiencies of a small group of traders to market-wide patterns == clueless articles like this one.
- wpietri 8y ago
  They are experts. The article is written by skilled financial journalists based on the work of experts. I used to write trading systems for market makers, and still have friends in the business. I also have friends who are professors, including a finance professor. Trading is not really about market knowledge; it's a skill and an orientation. Being a professor is much more about knowledge, but it's also about skills and orientation. They're different kinds of people, doing very different work. Your "the only people who can possibly understand this are the ones who agree with me" approach is essentially religious thinking. You're making an argument from authority, except the only cited expert is you, an anonymous person with no credentials and no provable experience.
  - lend000 8y ago
    Consider the analogy of playing tennis against a tennis commentator (who wasn't formerly a professional). Sure, the commentator understands the game at a deeper level than your average joe, but it's a very different kind of understanding/skill from the pros making the money. I'd give myself better odds to beat the commentator / SE working for a market maker than the pro / fund manager. This applies to journalism at large, but for market and trading analysis in particular, professors fit into this category much more than in other fields (such as engineering, where there is still a disconnect between academia and industry). In trading, anyone who truly understands the market at such a powerful level is using that knowledge to make money. It's a complex adaptive system, so publishing financially actionable research in the field is usually pointless because the market adapts. In my anecdotal experience, even engineers / employees of quant funds like yourself do not often really understand the market when they were focused on some specific piece of infrastructure / a part of someone else's larger design. When left alone without the infrastructure and systems they were used to, breaking even is often their best case scenario. But this is all beside the point. Instead of personal attacks, getting defensive, and bowing to credentials, consider thinking for yourself and addressing the content, if you reply. Source: I'm an anonymous professional trader who beats the market.