6 ms·

This is silly. HFT is a $10-50B/year industry, depending on who's numbers you go with. (You can ballpark the numbers by multiplying trade volume by the spread.)

This is silly. HFT is a $10-50B/year industry, depending on who's numbers you go with. (You can ballpark the numbers by multiplying trade volume by the spread.) For comparison, Morgan Stanley alone made $8B in profit in the last quarter [1]. HFT is tiny, a drop in the bucket compared to the rest of the financial industry. Further, many big players in the industry are against HFT since HFT reduces their information advantage over smaller players [2]. The danger in a 1-second tick is that a) a massive change like this is hard to do [3] and b) it would likely increase volatility. A stylized fact of dynamical systems is that continuous feedback reduces volatility, whereas discrete step sizes increase it - witness how many numerical ODE solvers can blow up even while the underlying ODE is stable. [1] https://www.google.com/finance?q=NYSE%3AMS&fstype=ii&ei=bVYIVNiUNcqfrAHHp4GoCA https://www.google.com/finance?q=NYSE%3AMS&fstype=ii&ei=bVYI... [2] http://www.chrisstucchio.com/blog/2014/fervent_defense_of_frontrunning_hfts.html http://www.chrisstucchio.com/blog/2014/fervent_defense_of_fr... [3] Bloomberg, Excel and other calculators contain mathematical errors (e.g., "weekends are sometimes treated as a business day for the purpose of interest accrual") which cannot be fixed because the change would be too disruptive.

zweiterlinde 12y ago
FWIW, the estimates I hear kicked around from Tabb Group and the like are more in the $1-5B range, not $10-50B. Which is to say, even a tinier drop in the bucket.
- kasey_junk 12y ago
  That's the "profit" number which is useful and much lower than people expect, but not what people normally use when describing the size of an industry.
crdoconnor 12y ago
>This is silly. HFT is a $10-50B/year industry, depending on who's numbers you go with. For comparison, Morgan Stanley alone made $8B in profit in the last quarter [1]. I'm not sure what your point is here? There's more to finance than HFT? There are other, bigger rip offs out there?
- kasey_junk 12y ago
  His point is that small industries (especially ones with very low margins like HFT) cannot wield the political muscle required to invoke "regulatory capture". For instance BlackRock, a large hedge fund that has been very vocal in it's anti HFT stance made more profits in 1 quarter last year than the entire HFT industry. If regulatory capture was going to happen, don't you think they would be in a better position to accomplish this? Bill Ackman is another giant player who is highly vocal against HFT and is known to spend donation money to attempt to make trades go his way. HFT is the little guy in this story, the little guy doesn't get to create regulatory environments.
  - crdoconnor 12y ago
    The few larger players who came out against it have done so only relatively recently, and in Goldman's case, only subsequent to being under investigation by the AG for its own HFT practices.
    - kasey_junk 12y ago
      This is simply untrue. http://www.reuters.com/article/2009/12/02/us-highfrequency-idUSN173583920091202 http://www.reuters.com/article/2009/12/02/us-highfrequency-i... A Senator quoted against high frequency trading at least 5 years ago. Principal Financial is also quoted.
      - crdoconnor 12y ago
        One Senator, huh?
        kasey_junk 12y ago
        Found in a 2 minute google search. Your position is false, that no one was against HFT until recently. Large participants have been actively against it for a very long time, further pointing out how incorrect your position is on regulatory capture. You have an ax to grind and an incomplete understanding of how the market and HFT work. It makes you look foolish.

zweiterlinde 12y ago

FWIW, the estimates I hear kicked around from Tabb Group and the like are more in the $1-5B range, not $10-50B. Which is to say, even a tinier drop in the bucket.

kasey_junk 12y ago
That's the "profit" number which is useful and much lower than people expect, but not what people normally use when describing the size of an industry.

crdoconnor 12y ago

>This is silly. HFT is a $10-50B/year industry, depending on who's numbers you go with. For comparison, Morgan Stanley alone made $8B in profit in the last quarter [1]. I'm not sure what your point is here? There's more to finance than HFT? There are other, bigger rip offs out there?

kasey_junk 12y ago
His point is that small industries (especially ones with very low margins like HFT) cannot wield the political muscle required to invoke "regulatory capture". For instance BlackRock, a large hedge fund that has been very vocal in it's anti HFT stance made more profits in 1 quarter last year than the entire HFT industry. If regulatory capture was going to happen, don't you think they would be in a better position to accomplish this? Bill Ackman is another giant player who is highly vocal against HFT and is known to spend donation money to attempt to make trades go his way. HFT is the little guy in this story, the little guy doesn't get to create regulatory environments.
- crdoconnor 12y ago
  The few larger players who came out against it have done so only relatively recently, and in Goldman's case, only subsequent to being under investigation by the AG for its own HFT practices.
  - kasey_junk 12y ago
    This is simply untrue. http://www.reuters.com/article/2009/12/02/us-highfrequency-idUSN173583920091202 http://www.reuters.com/article/2009/12/02/us-highfrequency-i... A Senator quoted against high frequency trading at least 5 years ago. Principal Financial is also quoted.
    - crdoconnor 12y ago
      One Senator, huh?
      - kasey_junk 12y ago
        Found in a 2 minute google search. Your position is false, that no one was against HFT until recently. Large participants have been actively against it for a very long time, further pointing out how incorrect your position is on regulatory capture. You have an ax to grind and an incomplete understanding of how the market and HFT work. It makes you look foolish.