More Weird Behaviour Inward High Frequency Markets
Today's Coke as well as IBM markets are jumping every hr on the hour. Does anyone know what the heck is going on? One approximate received: unopen to other instance of algorithms gone wild. But whose, as well as on the hour, exactly? And are at that spot no humans left to counter this form of thing? Looking at the google finance plot (source here) this started precisely at the opened upward today as well as seems to conduct maintain petered out. (Thanks Giovanni Puma for sending me the pictures.)
Update (Friday AM). Bloomberg article on it. They conduct maintain no persuasion either, beyond suspecting an algorithm has a põrnikas inward it. But why tin 1 trader motion a large marketplace then much?
Update 2 (Friday 10 am) Better coverage as well as improve graphs inward the Wall Street Journal, suspecting " a estimator algorithm known every bit a time-weighted algorithmic program, or a TWAP. These programs are designed to parse trades out over a ready menstruum of time, helping explicate the clockwork-like consistency of the trading. “I mean value unopen to large institutional buyer is using a novel algorithm,” mused Eric Hunsader, principal executive of marketplace information service Nanex.
Translation, I think: this is a "fundamental buyer" (known every bit "liquidity trader" or "mark") trying to package a large position out past times spreading the merchandise out through the day, using an algorithm to create so, as well as non actually watching the results. Still... a puzzle to me why people purpose such algorithms. Randomizing is the solely means non to larn front end run. And a bigger puzzle that markets for coke as well as IBM are effectively then illiquid inward the middle of the twenty-four hr menstruum that fifty-fifty large mistakes tin motion prices. Stay tuned....
Update (Friday AM). Bloomberg article on it. They conduct maintain no persuasion either, beyond suspecting an algorithm has a põrnikas inward it. But why tin 1 trader motion a large marketplace then much?
Update 2 (Friday 10 am) Better coverage as well as improve graphs inward the Wall Street Journal, suspecting " a estimator algorithm known every bit a time-weighted algorithmic program, or a TWAP. These programs are designed to parse trades out over a ready menstruum of time, helping explicate the clockwork-like consistency of the trading. “I mean value unopen to large institutional buyer is using a novel algorithm,” mused Eric Hunsader, principal executive of marketplace information service Nanex.
Translation, I think: this is a "fundamental buyer" (known every bit "liquidity trader" or "mark") trying to package a large position out past times spreading the merchandise out through the day, using an algorithm to create so, as well as non actually watching the results. Still... a puzzle to me why people purpose such algorithms. Randomizing is the solely means non to larn front end run. And a bigger puzzle that markets for coke as well as IBM are effectively then illiquid inward the middle of the twenty-four hr menstruum that fifty-fifty large mistakes tin motion prices. Stay tuned....
No comments