the trader
(C)rude HFT
“Beautiful” charts on the HFT mania reaching all assets. Courtesy Nanex.
NYMEX Black Swan ~ The March 2012 Crude Oil Futures Quote Loop
On February 13, 2012, starting 13:59:57, quotes for crude oil began queuing. At 14:00:35, all of the queued quotes were sent at once. Again at 14:01:08 the same 38 second block of quotes sent earlier was sent again — old timestamps and all plus a few new quotes. Again at 14:01:18, all quotes since 13:59:57 were sent again. This repeated 12 times.
From a programmer’s perspective, it looks like a system problem caused a blast of quotes that corrupted a memory queue causing the software to believe the queue was full all the time.
Tick chart of bid prices (red) along with quote age (blue).
Note that as the cycle repeats, it includes a few more quotes (the new quotes + those since 13:59:57). There are 500 quotes between time axis labels.
Apple, (American) Jobs and Ethics
As the World cheers Apple breaking 500 USD, a lot of different views regarding Apple, the share price and American jobs, are hitting the tapes. Is Apple becoming too big to fail too? Must see video below.
LET’S PUT ALL THIS APPLE LOVE IN PERSPECTIVE.
Guest post by Macrotrader.
Steve Jobs, may he rest in peace, I am sure was a good person. But as traders, we should never have a mancrush on anyone, not even a Steve. Not Steve Jobs, Steve Ballmer, Steve Young, Steve Austin, or any derivative of Steve.
While I know AAPL is popular, many unpopular industries like airlines, banks, dry shippers and solar companies have provided much better returns recently, but they go unloved. Now I know, AAPL has had a huge multi-year run. But as great as that is, it pales in comparison to the astronomic runs of Dell and EMC in the 90s.
Dell was a 250 bagger, and EMC a 300 bagger, low to high, so the AAPL has had a 170 bagger, nice, but still room to run before it catches EMC’s run.
Italy, Spain, Portugal Among Six Cut by Moody’s
More insight on the European Downgrades by Moody’s. Bloomberg video below.
Why is the market rising (and why might it collapse)?
Insight on the latest “stubborn” rising of the markets. Courtesy Gordon Long.
This gigantic flood of extremely inexpensive high-powered money does have a major impact, not in the real economy, but in the liquid investment markets.
Free money sets a very low hurdle for a short-term investment and as long as the transaction has decent liquidity, why not do the trade. As a result, almost every equity, commodity, and credit market is moving higher.
High beta currencies are moving higher as well, as risk is clearly on the front foot. This positive mood began at the start of October, a bit more than a week after Bernanke announced the start of ‘Operation Twist,’ a subtle way to improve the profits of the banks and increase the risk of the Fed without expanding its balance sheet.
ECB’s Trillion Bet
EFSF, LTRO and other fancy words are in fashion. They have helped lift the markets, but what is the ECB and its new boss, Super Mario, actually doing? They are simply putting on a a big bet, just like any other hedge fund. This is just a little “healthier” size than the average fund takes down. ECB is inspired by the Fed in acquiring junk assets. Let us see what happens when Merkel realizes what is going on in reality. Print, print and more print. Fom Voxeo;
Greece- Don’t forget it’s all connected
So the Greek mess is solved? We have argued, the inevitable will happen, but obviously nobody wants to take the big stop loss at the moment. Sometimes they say, a picture is worth…
We truly live in a interconnected world. Chart by NYT click here.
Horror in Greece
Greece is entering the phase where any deal will be met with further violence. People are realizing what austerity means, and who will buy their country cheaply. The once No1 power of the world, is sliding into total chaos. Report from Greece by Occupy London.
There are various estimations about the number of the people concentrated on the streets and squares of the country. Athens had anything over 500,000 people on the streets, it is not easy to estimate it, but before the attack of the police every street leading to Syntagma and the square were packed, with thousands more coming from the neighbourhoods on foot or by buses and trains. Half an hour before the demo one could see the metro stations and the bus stops full of people waiting to get on a vehicle that would bring them to the centre. Every city saw rallies and mass marches, with Heraclion of Crete, a city that holds a record in the recent wave of suicides, having a 30,000-strong march. Demonstrations alla round the country turned violent, with people destroying banks or occupying governmental buildings, e.g. in Volos the branch of Eurobank, the Inland Revenue Offices and the town hall were torched or in Corfu people attacked to the offices of their region’s MPs, trashing them, the town hall of Rhodes was occupied during the demo and still is occupied, to mention but a few of such actions. (Full reporting here.)
War of Algos and the warning of the next Crash
We try bringing you the latest and most interesting pieces on the the HFT theme. The Trader has argued that a war of Algos is developing, and that the gap between regulators and the technological developments are just increasing. People have heard of the Flash Crash, but few know similar events occur on a daily basis. From New Scientist.
Might a fleeting and little understood aspect of stock market dynamics hold the key to warding off financial crashes? That is the tantalising suggestion to emerge from a group of physicists who have been studying stock movements.
The study is the first to focus on an ultra-fast feature of market dynamics that the team, led by Neil Johnson at the University of Miami in Coral Gables, calls a “fracture”. Fractures happen when the price of a stock briefly shoots up or down, often before returning to its original level. They take place so quickly, sometimes lasting less than half a second, that they can be invisible to any human following the price. “If you blink you miss it,” says Johnson. His research shows that there seems to be a link between these fractures and sudden stock market crashes, known as “black swans”.
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