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The Trading Mesh

Christopher Faille's Blog

HFT-Limiting Experiment Underway in Germany

March 8, 2013 Comments (0)           

This article was originally published at, and is reproduced here with the author's permission.
Germany’s Bundestag voted Thursday, February 28, approving a bill aimed at limiting the abuses of high-frequency trading.
If you’re a pessimist, you are even now muttering, “we’re from the government, and we’re here to help.”
If you’re an optimist, [and one who lives, invests, and seeks alpha for the most part outside of...

B of E Studies HFT: Begins and Ends with Ambivalence

January 8, 2013 Comments (0)           

This article was originally published at, and is reproduced here with the author's permission.
A recent working paper from the Bank of England reports on efforts to understand the rise of high-frequency trading and its impact on equity markets. I think it fair to say that the study fails to get any firm grasp of its subject matter, going “about it and about but evermore,” as poet Omar Khayyam wrote. The authors leave the subject by the same...

Mixed Report on HFT from Brits Foresight Project

November 2, 2012 Comments (0)           

The U.K.’s Foresight Project, part of the Department for Business Innovation & Skills (BIS) has issued a white paper on “The Future of Computer Trading in Financial Markets” that discusses both high frequency trading and algorithmic trading, both of which (as the Foreword says with a bit of Brit understatement), have “attracted considerable controversy and opposition.”
The message of the Foresight Project on HFT and AT is mixed. On the one hand, (as...

CFTC Working Group Tries to Define High Frequency Trading

July 6, 2012 Comments (0)           

The Technology Advisory Committee of the Commodity Futures Trading Commission met on June 20 to discuss, among other matters, the proper definition for high frequency trading.
They were there to hear from four working groups. The first of these – the one that had been laboring on that definition – had the driest sounding purpose, but it ended up proving a good morning’s excitement.
Lions have Prides, Cheetahs don’t
But first, there were opening statements to...

The Ultimate in High-Frequency Trading

May 10, 2012 Comments (0)           

Consider that this summer ice-breaking and cable-laying ships are scheduled to create the first-ever fiber optic cables through the Arctic Ocean. There are supposed to be three such cables when the planned work is done: two on the Canadian and one on the Russian side of the pole.
Each of these cables will connect Tokyo with London, and they are expected to shave 60 milliseconds off the time it takes for data to get from one of those cities to the other.
My first thought in this connection...

Algo Trading: Life in the Cross-Hairs

March 9, 2012 Comments (0)           

A recent paper by three attorneys of the multi-national law firm of Covington & Burling LLP says that algorithmic trading is now “squarely in the cross-hairs of securities and commodities regulators,” in large part due to the flash crash of May 6, 2010.
The authors/attorneys are: David L. Kornblau, Allison Lurton, and Jonathan M. Sperling (respectively, as below). Their paper, which appeared in the Securities Regulation & Law Report in February, cites a joint...

Aleynikov Released: Second Circuit Doesnt Love a Wall

February 28, 2012 Comments (0)           

If you manage algorithmic funds you know perfectly well that your ability to produce for your investors depends upon an evanescent ‘edge.’ You have to be doing something that is different from what all the other algorithmic funds are doing.
There are several reasons why no edge lasts long. First, algorithmic trading is a field that invites both parallel invention and reverse engineering. The competitors who know what you’re doing can hire smart people to figure out how....

High-Frequency Trading Inspires a Formula

January 13, 2012 Comments (2)           

In a new working paper, Godfrey Cadogan, of Toronto’s Ryerson University, offers a stock-price formula designed to capture the “empirical regularities of high frequency trading.”
As is often the case, though, the discussion can leave those of us outside the quant world confused: does the rendering of facts as a formula make them clearer, or does it just create a potentially misleading patina of precision?
Given Cadogan’s ambitious-sounding program, linking HFT,...

Efforts to Shed Light on High Frequency Trading

December 20, 2011 Comments (1)           

On Dec. 13, the Commodity Futures Trading Association’s Technology Advisory Group held its year-end meeting. There were three items on the agenda. One of these was how to define and classify high-frequency trades (HFT) for purposes of monitoring their impact on the markets.
About 15 months before, the Financial Industry Regulatory Authority had fined Trillium Brokerage Services $1 million for an illicit trading strategy in which HFT featured prominently. That sanction also involved...