Date post: | 18-Dec-2015 |
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Brainteaser
• You drive 60 miles at an average speed of 30 mph. How fast would you need to drive the same 60 miles back home to average 60 mph over the entire trip?
Market Update
• Indian Elections• The great hedge fund unwind• FOMC minutes: slightly dovish
(damage control after the “6 months” comment)
Algorithmic Trading
• Write code to have your computer trade for you based on a series of rules– Time, price, quantity
• Two major types of algorithms– Execution– Discretionary
Execution Trading
• Main functions include– Getting the best entry
prices– “Hiding” the order
• A few methods– TWAP– VWAP
Discretionary
• Have a series of rules that tells you when to buy/sell securities
• Price action based: most common and widespread– Supports/resistances,
momentum, other price action “rules”
• Fundamental based: quant modeling
Criticism of HFT
• Asymmetric information (arguable)
• False liquidity
• Knight Capital implosion
• Tight bid/ask
Pros/Cons