速度與策略決定高頻交易成敗

Posted on August 24, 2012. Filed under: Book Review, Flash Crash, Strategies, Technology, Workshop | Tags: , , , , , , , , , , , , , , , , , , , , , |

The Speed Traders Workshop 2012, How High Frequency Traders Leverage Profitable Strategies to Find Alpha in Equities, Options, Futures and FX技術進步不僅將影響交易本身,而且最終會改變投資的方法

[ 在高頻交易中,如果要確保資本的有效使用,高頻交易員會希望交易價格最低的股票,這樣每筆交易的利潤保持不變但是利潤百分比就高了。這就是為什么股票的流動性和低價格成為高頻交易策略中重要的組成部分 ]

2008年金融危機以來,許多對沖基金紛紛倒閉,投資者們也謹慎地捂緊錢袋,然而,有一種交易模式卻在不斷擴張,以它為商業模式的基金也如雨後春筍,這就是高頻交易(High-Frequency Trading)。這種盈利模式的核心競爭力在哪裡,前景又如何?

近日,美國高頻交易專家、《交易快手:透視正在改變投資世界的新興高頻交易》作者埃德加﹒佩雷斯(Edgar Perez)接受第一財經日報《財商》記者專訪。他表示,實現毫秒或微秒交易的速度是高頻交易的核心競爭力。目前,在發達的市場如美國和歐洲,高頻交易已占到交易量的一半以上。而假以時日,中國有望成為世界上最大的高頻交易市場。

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The New York Times: Don’t Ban the Trades; Regulate Them in Real Time

Posted on August 6, 2012. Filed under: Exchanges, Flash Crash, Practitioners, Regulations, Securities and Exchange Commission, Technology | Tags: , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , |

The New York Times: Don’t Ban the Trades; Regulate Them in Real TimeIn my latest piece in The New York Times, I argue that wrongdoing existed long before the advent of high-frequency trading, and it will always be a part of markets. High-frequency trading is simply a tool; it can be positive or negative for investors and markets. To maximize the benefit and minimize the downsides, regulators need to catch up with the technology.

High-frequency trading has been under a microscope since the infamous “flash crash” in 2010. Let’s remember, though: The market rebounded that day almost as fast as it fell, and regulators ultimately determined that the crash was initiated by human error. But many in the financial sector and in government were uncomfortable at the thought that high-frequency trading programs could vaporize huge amounts of equity in a matter of minutes.

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High-Frequency Trading World’s Capital Moving to China with The Speed Traders Workshop 2012 Shanghai and Hong Kong

Posted on July 26, 2012. Filed under: Conference, Event Announcements, Exchanges, Practitioners, Regulations, Strategies, Workshop | Tags: , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , |

2012国际高频交易高峰研讨会・上海 - The Speed Traders Workshop 2012 Shanghai, China: How High Frequency Traders Leverage Profitable Strategies to Find Alpha in Equities, Options, Futures and FX, with author Mr. Edgar Perez

2012国际高频交易高峰研讨会・上海

The high-frequency trading world’s capital is moving to China this August with Mr. Edgar Perez, author of The Speed Traders, and former McKinsey & Co. consultant and New York University Adjunct Professor, presenting The Speed Traders Workshop 2012: How Algorithmic and High Frequency Traders Leverage Profitable Strategies to Find Alpha in Equities, Options, Futures and FX, in Shanghai and Hong Kong.

Top securities firms and traders from China, Hong Kong and Singapore trading at Zhengzhou Commodity Exchange (ZCE), Shanghai Stock Exchange (SSE), Dalian Commodity Exchange (DCE), Shanghai Futures Exchange (SHFE), Hong Kong Stock Exchange (HKEx), and Singapore Stock Exchange (SGX), are joining these enlightening workshops, which display an agenda full of information and insights, as can be seen through the following sessions:

1.      Understanding High Frequency Trading in Equities and other Asset Classes

  • The need for speed and sophisticated computer programs in generating, routing, and executing orders
  • Co-location and individual data feeds to minimize latency
  • Time-frames for establishing and closing highly-liquid positions
  • Review of the most important strategies: market making, trend following, value arbitrage and others

2.      Key Enablers for High Frequency Trading

  • Technological innovation: computing power, complex event processing, and low-latency bandwidth
  • Shift to electronic trading and the rise of alternative trading systems
  • In-depth look at strategies high frequency traders leverage to find alpha in equities, options, futures and FX
  • The profitability of typical high frequency trading strategies and its evolution

3.      Global Regulatory Overview: from the U.S. and Europe to China and Brazil

  • Regulations in place before the “flash crash”
  • Proposed regulatory initiatives after the “flash crash” in the U.S. and Europe, circuit breakers, limit up limit down and consolidated audit trail
  • High frequency trading in Asia, from Japan, Singapore and India to Hong Kong and China
  • Regulating speed trading to samba beats: Brazil and Mexico

4.      The Future of High Frequency Trading

  • Enhancing profitability: from equities to FX to cross-asset trading
  • High frequency trading in the world: from the U.S. and Europe to China and Brazil
  • Adding ammunition to the high frequency trader toolkit, FPGA, GPUs and enhanced technologies
  • Turning the tables on high frequency trading: the transparency challenge for the buy-side

Mr. Perez has been interviewed on CNBC Cash Flow, CNBC Squawk Box, BNN Business Day, CCTV China, Bankier.pl, TheStreet.com, Leaderonomics, GPW Media, Channel NewsAsia Business Tonight and Cents & Sensibilities. In addition, Mr. Perez has been featured on Caixin, Futures Daily, Xinhua, CBN Newswire, Chinese Financial News, ifeng.com, International Finance News, hexun.com, Finance.QQ.com, Finance.Sina.comThe Korea Times, The Korea Herald, The Star, BMF 89.9, iMoney Hong Kong, CNBC, Bloomberg Hedge Fund Brief, The Wall Street Journal, The New York Times, Dallas Morning News, Valor Econômico, FIXGlobal Trading, TODAY Online, Oriental Daily News and Business Times.

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The Best High Frequency Trading Book Now Available in Mandarin, Courtesy of Chinese Financial Publishing House

Posted on July 9, 2012. Filed under: Book Review, Exchanges, Flash Crash, Operations, Practitioners, Securities | Tags: , , , , , , , , , , , , , , , , , , |

The Speed Traders, An Insider’s Look at the New High-Frequency Trading Phenomenon That is Transforming the Investing World

The Speed Traders

The Speed Traders, Edgar Perez’s ground breaking work on high frequency trading, is now available in Mandarin, Courtesy of Chinese Financial Publishing House.  Unlike other works about HFT, Perez’s book provides readers with fresh, candid insight from the industry’s top HFT players.

Praise for The Speed Traders:

“Edgar’s book is fantastic . . . I recommend it highly.”
—Bart Chilton, Commissioner, United States Commodity Futures Trading Commission (CFTC)

“I have interviewed the most successful high-frequency traders in New York and Chicago, but I have learned so much more by reading Perez’s book. He covers the most relevant topics we need to know today and tomorrow.”
—Mark Abeshouse, Chairman, Augustus Capital

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