3 ms·

I've seen this paper before, or something like it. It's incredible to me that anyone would publish this. It's like reading a paper on astrology or dowsing, writ

I've seen this paper before, or something like it. It's incredible to me that anyone would publish this. It's like reading a paper on astrology or dowsing, written in the style of a physics paper. You don't get any benefit from putting your trading system half way between the two exchanges, you colocate it with one or the other (or both). Likewise if there are three exchanges to trade on, you don't build a datacentre at the circumcentre of the triangle or whatever voodoo geometry nonsense. You colocate at each of the three and buy/rent/build a line for each of the three point-to-point connections. Source: worked in HFT for more than 15 minutes.

mattrp 8y ago
I know the author well and he would likely conced to you some of the practical points you’re making about collocation and market microstructure. However he wrote the paper to illustrate how global compute networks could someday collaborate using the techniques described to facilitate AI. Hft is a early form of AI so if that’s an area of interest for you maybe take another look at that paper.
loxias 8y ago
I also know one of the authors quite well, long term friend. He is nothing short of brilliant but also has a penchant for enjoying being a "subtle troll". While he does have a serious point/observation/discovery in the paper, I assure you, he's well aware of the "funny" or "goofy" aspect of the impracticability and laughing about it has been a source of great late night entertainment between us.
paulgrant999 8y ago
If you want the mathematical model; it has to do with the difference between optimizing on L1 and L2 norms; that is, under L1 Norms, the correct strategy is to colocate with the center where you are doing the most business. Under L2 norms, you can use the extra dimensionality in order to achieve an optimal solution in between i.e. with mixing. Its quite interesting niche field of mathematics (with some practical application).

mattrp 8y ago

I know the author well and he would likely conced to you some of the practical points you’re making about collocation and market microstructure. However he wrote the paper to illustrate how global compute networks could someday collaborate using the techniques described to facilitate AI. Hft is a early form of AI so if that’s an area of interest for you maybe take another look at that paper.

loxias 8y ago

I also know one of the authors quite well, long term friend. He is nothing short of brilliant but also has a penchant for enjoying being a "subtle troll". While he does have a serious point/observation/discovery in the paper, I assure you, he's well aware of the "funny" or "goofy" aspect of the impracticability and laughing about it has been a source of great late night entertainment between us.

paulgrant999 8y ago

If you want the mathematical model; it has to do with the difference between optimizing on L1 and L2 norms; that is, under L1 Norms, the correct strategy is to colocate with the center where you are doing the most business. Under L2 norms, you can use the extra dimensionality in order to achieve an optimal solution in between i.e. with mixing. Its quite interesting niche field of mathematics (with some practical application).