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The Problem of HFT - Collected Writings on High Frequency Trading & Stock Market Structure Reform (English Edition) [Format Kindle]

Haim Bodek

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Descriptions du produit

Présentation de l'éditeur

This book explores the problem of high frequency trading (HFT) as well as the need for US stock market structure reform. This collection of previously published and unpublished materials includes the following articles and white papers:

The Problem of HFT
HFT Scalping Strategies
Locked Markets, Priority, and Why HFTs Have an Advantage
HFT – A Systemic Issue
Electronic Liquidity Strategy
Reforming the National Market System
NZZ Interview with Haim Bodek
TradeTech Interview with Haim Bodek

(approx. 26K words)

Biographie de l'auteur

Haim Bodek is a Managing Principal of Decimus Capital Markets, LLC, a tactical consulting and strategic advisory firm focused on high frequency trading and market structure. Mr. Bodek was formerly a founder and Chief Executive Officer of Trading Machines LLC, an independent high frequency options trading firm. Prior to TM, Mr. Bodek was a Managing Director and Joint Global Head of Electronic Volatility Trading at UBS Investment Bank. He is an electronic trading executive and algorithmic trading strategist with 15 years of experience in the automated trading space. Mr. Bodek's career, experiences, and advocacy for US stock market regulatory reform are described extensively in Dark Pools by Scott Patterson, freelance writer and staff reporter for The Wall Street Journal.

Détails sur le produit

  • Format : Format Kindle
  • Taille du fichier : 589 KB
  • Nombre de pages de l'édition imprimée : 113 pages
  • Editeur : Decimus Capital Markets, LLC (15 janvier 2013)
  • Vendu par : Amazon Media EU S.à r.l.
  • Langue : Anglais
  • ASIN: B00B1UDSS4
  • Synthèse vocale : Activée
  • X-Ray :
  • Word Wise: Non activé
  • Composition améliorée: Activé
  • Classement des meilleures ventes d'Amazon: n°148.858 dans la Boutique Kindle (Voir le Top 100 dans la Boutique Kindle)

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Amazon.com: 4.0 étoiles sur 5  25 commentaires
13 internautes sur 14 ont trouvé ce commentaire utile 
5.0 étoiles sur 5 No One Should Make Another Trade Until They Have Read This Book 20 janvier 2013
Par CalibratedConfidence - Publié sur Amazon.com
Format:Format Kindle|Achat vérifié
Haim did a great job highlighting the more complex issues around the micro-structure of American financial markets. Avoiding the typical complaints that are heard, Haim dives into the deep connections around exchanges, certain High Frequency Traders, and the order types created for those specific traders.

What I found to be the most shocking was under the section The Alpha in an Order Type. Haim addresses the knock-on effects created by Reg-NMS in which certain order types were created to help HFT during specific market conditions so as not to hinder the traders strategies. The most shocking part is found at the number three slot in a list of innovations which served to preference HFT over the public. Traders who were entering orders and expecting to be "makers" wound up having their orders flipped into those that would be identified as "takers", resulting in a fee being paid. This is not a public order type and subjects non-HFT investors and non expert-network connected traders to manipulation through order types that are not part of the public record. This type of catering to HFT creates an issue around disclosure as some traders have no way of knowing about this type of back-door manipulation

These order types are not the generic Limit, Market, AON, etc. They were specifically created for specific market conditions for specific traders and the only way to know them is to have cocktails with an exchange head. Think of it like this: in chess there are specific move sequences all players understand and accept. Players can only use the standard pieces and move them only in accordance with the rule book. However, lets say that with one move away from checkmate, the other player introduces a new movement ability to win the game, you'd call him a cheat. The chess piece (order type) can only be used a certain way, altering it subjects the integrity of the game to depreciation. Haim walks through the complexity of this and what it means for traders who may be identified as "uninformed".

It takes guts for someone to put themselves on the line and make information like this public for all to see. Many of us address these things on blogs or among ourselves, limiting the ability of someone who isn't "inside" or "in" finance to gain an understanding of these new knock-on complexities created through the implementation of Reg-NMS. The Problem Of HFT makes this available to everyone who can read or listen to an audiobook.

Anyone who is willing to share this information and subject the investors world to more honest discussions on the structure of our market from routing to order types should be listened to. You will not find another book packed with as much information as this. The collections of articles and papers is enough to bring anyone up to speed on the underground complexities about HFT that are not addressed in WSJ or IBD. A must read for professional Wall Street insiders and for mom and pop investors. No one should make another trade until they have read this material! For a cost less than the commission charged by discount online brokers traders and others alike can finally understand what happens to their order once it is sent into the fragment matrix which is the American financial market.
6 internautes sur 6 ont trouvé ce commentaire utile 
4.0 étoiles sur 5 Short and to the point 21 mars 2013
Par Theodore Stamas - Publié sur Amazon.com
Format:Broché|Achat vérifié
After reading two other books on HFT ("Crapshoot Investing" and "Dark Pools"), I decided to delve further into it with a more technically oriented book. All three books are excellent, but Haim Bodek's book it written primarily for professional fund managers and traders. It's a short read, and will give instituational money mangers good insight as to what is going on with stock market plumming. The SEC should also take a look at it.
7 internautes sur 8 ont trouvé ce commentaire utile 
5.0 étoiles sur 5 A Terrific Read on the Securities Market Structure and Its Reform 20 janvier 2013
Par svdolgop - Publié sur Amazon.com
Format:Broché|Achat vérifié
I've been following Haim Bodek's white papers and articles, which are cited in my own work on regulatory aspects of the securities market structure, and it was really exciting to see a book that brings his work together, while expanding it and providing several unifying themes. The overarching comment is that the book is a terrific reading, and Bodek's work helped connect many dots together in my own head. This book occupies a different niche compared to popular books / journalistic accounts, such as "Dark Pools" by Scott Patterson or "Crapshoot Investing" by Jim McTague, and a certain level of sophistication is assumed. Another good thing is that Bodek's book issues a grave warning but does not overdramatize / over-sensationalize. There is no overall doom-and-gloom scenario, and the author in fact documents several positive developments taking place in securities markets (I must add that some of them are attributed to his own advocacy efforts). Furthermore, as opposed to many recent empirical studies that focus on various correlations and questionable hypotheses, this book digs deep into the underlying trading processes from the perspective of a securities industry insider.

The book evaluates the overall state of the securities market structure and offers several reform proposals. One piece of the puzzle is a largely redistributive effect of many rules adopted by trading venues as self-regulatory organizations. Although no rule has a truly neutral effect on *all* market participants, Bodek goes into great detail to demonstrate that certain order types are created by trading venues in order to market them to high-frequency traders, who, in turn, are able to win the zero-sum trading game. In other words, such order types contribute to the overall complexity of the trading architecture and create a de facto informational asymmetry (and hence a market failure). The author warns that "speed is only a pre-requisite" and points out that sometimes there's no adequate documentation for order type rules submitted to the SEC and available to outsiders. And who knows how these rules are administered by individual trading venues? For instance, Nanex has shown that the recent ban of "stub quotes" is often ignored. (On the other hand, the Securities and Exchange Commission has started paying attention, and the "benchmark" order type proposal by NASDAQ was recently shot down by the regulators.) The book also illustrates several wrinkles created by regulation, such as the "locked markets" prohibition in Reg NMS. Another interesting illustration provided by Bodek is the subversion of the maker-taker pricing model (in my opinion, the maker-taker approach is *not* inherently evil). The book also questions the role of high-frequency traders as de facto market makers and touches on the issue of balancing market making obligations and privileges, which surfaces again and again in current regulatory debates.

Bodek justly criticizes many practices of trading venues and points to the fundamental conflict between their self-regulatory functions and the for-profit status, but he leaves some room for self-regulation. In my own opinion, the self-regulatory system does not have a real alternative, but it still depends on proper supervision by the SEC (which physically can't administer competing trading regimes of individual trading venues by itself) and the appropriate boundaries of "regulatory immunity" asserted by trading venues. I realize that this sounds like "that's-how-I-would've-written-this-book", but Bodek's future work could provide some additional discussion of competitive dynamics *among* high-frequency traders and various implications of the HFT oversaturation. Also, what specific strategies do top-tier banks use to mitigate the harm to their clients (and do they even offer agency-based HFT)?

Overall, a fantastic book!
3 internautes sur 3 ont trouvé ce commentaire utile 
3.0 étoiles sur 5 Not for the layman reader 6 avril 2014
Par Kindle Reader - Publié sur Amazon.com
Format:Format Kindle|Achat vérifié
This book, as advertised, is a collection of articles published in various professional forums. So it should be no surprise that it contains a lot of industry jargon, acronyms, and assumptions about the knowledge level of readers. I know a fair amount about general software, hardware, electronics, telecommunications, and computerized trading, having worked in all of those fields in my life, but I still probably only understood 70% of what was said in this book.

I felt that most of the book was concerned with special order types on the exchanges, but the implications and proper (or improper) use of all those order types were not known to me. More to the point, there were no detailed examples in the book that explained the issues to readers such as myself. Many issues were mentioned, and many, many order types were mentioned, but I don't think the book did a good job of explaining (even in general) how any of them worked.

Mostly the book would mention or identify something, and claim that it gave an unfair advantage to someone, without ever explaining to the reader why that was the case. Perhaps these things that I am missing are general knowledge in the professional forums in which these papers were originally published. But I think this book is weaker because of the lack of explanations.

I thought the best part of the book was the authors list of 10 suggestions for reforming the current electronic markets. They all made sense to me. I thought the weakest part of the book was the authors writing style – I found that many of the sentences required two or three readings to dig past the awkward wordings and phrasings to find the meaning. I would not recommend this book to anyone except a professional who understands the many software order types used within the industry.
18 internautes sur 25 ont trouvé ce commentaire utile 
2.0 étoiles sur 5 Omits the worst HFT abuse 12 janvier 2014
Par Patient Researcher - Publié sur Amazon.com
Format:Broché|Achat vérifié
This book is OK as far as it goes - it addresses sneaky ways HFT (high frequency trading) has been enabled by ECNs (Electronic Communication Networks) to jump to the front of the order queue. But the author neglects the abuse that bedevils every trader daily: let's suppose XYZ is bid x ask at 3.00 x 3.01. One can sit all day at the bid, or ask, watching trades go through at 3.0001 or 3.0099. Apparently privileged entities that "pay for order flow" are allowed to execute such trades at prices not available to ordinary mortals. If the spread is only .01, you can hold your nose and just hit the bid, or ask, if you are not merely scalping for pennies. But suppose it is a thinly traded stock and the market is 3.00 x 3.30 (yes I have seen this), and as far as you can tell you are offering the best price. You can wait for hours for a trade only to see it go through at .0001 better than your displayed price. This is market parasitism and severely impairs traders' and investors' ability to transact in thin stocks.

Update: Since writing this review the rules have changed - for the worse. Payment for order flow participants now no longer need to provide a price improvement. Now they can simply fill orders at the NBBO. So their market parasitism is less obvious to the casual observer, although a good time & sales feed identifies their trades.

The author focuses on abuses in the options markets and omits the abuse that most severely affects the average option trader there as well. Options that are not actively traded typically suffer from a wide spread. So rather than accept a bad entry you put in a bid or offer .05 better than the listed quote. The market makers then all rush to join. This would be fine if you got to keep your time priority in the order queue. But, no matter which ECN you use, before long the time priority gets reset and market makers get to the head of the line in time priority. Now you at looking at a hundred times or so the daily volume ahead of you at that price. So, once again, improve the listed quote by .05, rinse and repeat. If you ever do get filled, the mm's once again revert to a wide spread.
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