4 ms·

I think it can last longer than a couple months. I worked on some relative value trading algorithms in connection with work that a b school prof was working on,

I think it can last longer than a couple months. I worked on some relative value trading algorithms in connection with work that a b school prof was working on, which got picked up by some of the major HF players. It continued to work for a couple years before the correlations faded away.

rjurney 17y ago
Do these things really work, or are they random and software validates a belief in them?
- rdtsc 17y ago
  It's the low latency that works more than the actual trading algorithm. Algorithms eventually get diluated into the market as there are so many of them.
byrneseyeview 17y ago
Relative value and high-frequency trading are very different animals. With relative value, you probably don't even know if you have statistically significant results for a couple months; with HF, you have evidence within hours.