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Finalnub

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21# 跳转到 »
发表于 2013-4-22 11:40 | 只看该作者
And what about stop-loss orders that are triggered. ZH has some good graphs of the volume pings that drop prices precipitously and the obvious market manipulation.
I’m with KidDynamite, just eliminate market orders. Problem solved.

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ap0258

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22#
发表于 2013-4-22 11:41 | 只看该作者
justin88 Wrote:
——————————————————-
I never said that “without HFT we’d go back to the
$100 with spreads at 25c”. I was merely pointing
out that the bygone days you yearn for were far
worse than what we have now, particularly for
retail investors. A lot of the innovation we’ve
had has been beneficial for retail investors,
including IMO, HFT.
Yeah, I yearn for the days, perhaps 10 years ago, when everything was massively inefficient. There isn’t a single shred of “innovation” that has been good for retail investors in HFT.

HFT wouldn’t exist unless there was already a
market inefficiency. HFT in essence is providing
small amounts of liquidity for certain names, on
certain venues, at certain times. Retail
investors, while not getting perfect execution,
are getting better execution, partially due to
HFT, than ten years ago. (Very few even paid
attention to execution at all ten years ago.)
What “market inefficiency” are you speaking of? Taking advantage of minute price differences, or blatantly manipulating prices? I guess with such efficient markets we’d never have had the credit bubble or the .bombs. Thank god for HFT.

Perhaps your lolrage is better directed toward the
fragmentation of the markets than HFT? The reason
SS flash crashes happen is because liquidity is
fragmented across dozens of trading venues, many
of which are trading the exact same/fungible
things, but the price on one of those venues
temporarily plummets/rips because someone routed
an outsized amount of flow to that venue relative
to its liquidity.
Yeah, perhaps if we tripled the current volume on the major exchanges we’d have an uber-efficient market. Ohh wait, we already did that and it didn’t do dick to make them more efficient.

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AndyNZ

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23#
发表于 2013-4-22 11:42 | 只看该作者
spierce Wrote:
——————————————————-
[…]
I don’t know why I’m trying to explain things to you, since you seem to have an axe to grind. Hopefully others will benefit from a more rational discussion.
There are obviously still imperfections with the markets; in particular I’ve noted the fragmentation of equity liquidity is a problem. The markets will never be perfect; nonetheless the markets are fairer and more liquid than they were ten years ago, particularly for the retail investor.
For instance, as a retail investor in my Fidelity account, I can trade the S&P500 index in real-time, commission free via an ETF. Should I choose to invest in it, I pay a ~9bp expense ratio. Should I choose to trade it, the spread is usually $0.01. The top of book is usually liquid enough to support $1,000,000 trades at market. This is effectively infinite liquidity for a retail investor trading this asset.
HFT plays a major role, not only in liquidity, but also in the efficient aka fair pricing of all kinds of cross-market assets. This cross-market liquidity allows retail investors to trade markets at very fair prices when they were previously inaccessible. Two examples: GLD and LQD are ETFs that enable the retail investor to take previously-difficult-to-assume risks (gold and diversified IG corporate bonds), due to market structure and minimum price. (Front month gold on the CME is more than $100,000 per contract, and a diversified bond portfolio would require even more capital.)
One could argue the rapid pace of financial innovation is contributing to the bubble pricing of gold and bonds, but I digress.

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towardsutopia21

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24#
发表于 2013-4-22 11:42 | 只看该作者
justin88 Wrote:
——————————————————-
spierce Wrote:
————————————————–
—–
  […]

I don’t know why I’m trying to explain things to
you, since you seem to have an axe to grind.
Hopefully others will benefit from a more rational
discussion.

There are obviously still imperfections with the
markets; in particular I’ve noted the
fragmentation of equity liquidity is a problem.
The markets will never be perfect; nonetheless the
markets are fairer and more liquid than they were
ten years ago, particularly for the retail
investor.

For instance, as a retail investor in my Fidelity
account, I can trade the S&P500 index in
real-time, commission free via an ETF. Should I
choose to invest in it, I pay a ~9bp expense
ratio. Should I choose to trade it, the spread is
usually $0.01. The top of book is usually liquid
enough to support $1,000,000 trades at market.
This is effectively infinite liquidity for a
retail investor trading this asset.

HFT plays a major role, not only in liquidity, but
also in the efficient aka fair pricing of all
kinds of cross-market assets. This cross-market
liquidity allows retail investors to trade markets
at very fair prices when they were previously
inaccessible. Two examples: GLD and LQD are ETFs
that enable the retail investor to take
previously-difficult-to-assume risks (gold and
diversified IG corporate bonds), due to market
structure and minimum price. (Front month gold on
the CME is more than $100,000 per contract, and a
diversified bond portfolio would require even more
capital.)

One could argue the rapid pace of financial
innovation is contributing to the bubble pricing
of gold and bonds, but I digress.
Obviously somebody believes everything the Lords of Finance has said is good for society. Just as much as you wonder why you bother to edumacate my poor soul, I wonder if you even have one. Keep on believing in your (and their) greatness while the systemic risk inherent in such systems increases.
I am sure the SEC investigation will result in bupkis, that’s what happens in a “free market” (aka, purchased regulators) situation anyway.

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atate2007

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25#
发表于 2013-4-22 11:43 | 只看该作者
I’ve pointed out repeatedly that market fragmentation, in the short run, is not a good thing for the retail investor. In the long run, it is beneficial, and we’ve seen dramatic technical advances in this space due to competition.
PS No, I don’t have a “soul”. I’m a complex bag of meat and water. Keep your sanctimonious, passive-aggressive bullshit to yourself, please. Thanks!

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