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I wouldn't say that HFT arbs out only the "obvious" things. We try to arb the non obvious things as well, with more or less success. HFT just means you trade a
by smabie 5y ago
I wouldn't say that HFT arbs out only the "obvious" things. We try to arb the non obvious things as well, with more or less success.
HFT just means you trade a lot and you have low tick to trade latency. It doesn't say much about why you are trading.
For example you could have a HFT stat arb strategy in which you are arbing higher dimensional factors that are pretty far from obvious.
In general, the speed wars are over and everyone is reaching deep to become as smart as possible. Or in the other words, just being fast is no longer an edge, it's a commodity.
- whimsicalism 5y ago> In general, the speed wars are over and everyone is reaching deep to become as smart as possible. Or in the other words, just being fast is no longer an edge, it's a commodity. I'm curious what the best techniques for being "smart" are when you have to have such quick turnaround. Are these rules-based techniques, statistical but interpretable, or black box?
- smabie 5y agoI would say all of the above, with a general transition from rules -> statistical -> black box as time goes on. But you're right that being fast and smart is pretty hard. You almost always have to sacrifice one for the other. Different firms operate on different spectrums of this speed vs smarts divide: some are faster and dumber (relatively), some are slower and smarter. But everyone is trying to up skill (analogous to moving up on the value chain), because the markets have gotten fiercely competitive at the nanosecond to millisecond scale, especially on american venues (CME for example is a straight shark tank).
- H8crilA 5y agoI am so glad for all this work that HFTs are doing, let's me buy ETFs and all kinds of things cheaply. But maybe not now, I need the valuations, rates, risk premia to get a little more attractive. Maybe even next year, who knows when's the next March/April 2020 coming. I am hoping for a much better selloff next time!
- qorrect 5y ago> For example you could have a HFT stat arb strategy in which you are arbing higher dimensional factors that are pretty far from obvious. What does this mean (HFT stat arb strategy)? What higher dimensional factors ? Ty!
- 1e-9 5y agohttps://en.wikipedia.org/wiki/Statistical_arbitrage https://en.wikipedia.org/wiki/Statistical_arbitrage