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[2008, the investor that applies traditional low frequency to trade has 70% to produce loss, some fund orgnaization struggles on line of life and death even, and high frequency trade fund manager was realizing gain in those days almost, among them most by market take delight in talking about is Jim · Ximengsi, his success pocket gains of 2.5 billion dollar]
Trade when the stock market with " velocity of light " when undertaking, all sorts of uncertainty of profit and loss will be thick as hail.
Indian stock market last week 5 " lightning dies dish " later, be born several years however still mysterious " high frequency trade " emerge again.
Actually, stock market of the whole world before this because " technical breakdown " the number that cause rises " lightning is fluctuant " , somebody points to spearhead high frequency trade (HFT, high-Frequency Trading) .
"If its define place,saying, speed is the most important role. " the United States is high frequency trade expert, " trade quick worker: What fluoroscopy is investing the world in the change is burgeoning and high frequency trade " author Edgar Peileisi ( the best selling brooch pins Ed memory laptop toshiba gar Perez) ever was being accepted " daily of the first finance and economics " when reporter special interview, such appearance is high frequency trade. The speed that Peileisi points to, be in millisecond (for 1/1000 second) or do business inside small second limits.
Trade to decrease as far as possible systemat scooby costume ic defer, high frequency the leader that the member that trade hopes to hand in easy place repeatedly directly will run a program. "As the member that trade, you can not hope the computer is placed to be in a place that is far from bourse, accordingly, need the space of hire bourse. " Peileisi says.
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"Technical black swan " ?
Index of Indian grail NIFTY steeps fall inside 8 seconds nearly 16% , bring about Indian nation stock exchange to be forced to suspend trading 15 minutes, till wrong order is cancelled; And happen two days in this incident before, bourse of American accept Si Dake because " technical breakdown " the mistake that abolished provision blocking a husband trades, share price of husband of the card before this is pushed inside 1 minute tall 29% .
Some earlier this year moment, the United States is large capital of knight of the business that become city (Knight Capital Group, interpret Nai is special capital group) will happen in August trade systematic breakdown, deficit enlarge c most popular selling canon ef 15mm omes 440 million dollar; Nasidake trades IPO of month of place Facebook 5 appears on the market first days to produce technical breakdown, affect latter share price to go directly situation; The 3rd big stock of American trades operation business BATS makes mistake because of computer system bring about trade unusual, force transaction of malic share price to spark not only " fusing mechanism " , its oneself cancels IPO; In addition, tokyo card hands in free memory laptop toshiba a place to because technical breakdown is forced to suspend trading,happen twice this year, among them that catastrophe failure lasted in Feburary nearly 3 half hours; Spanish stock exchange stems from same reason to suspend trading nearly 4 hours. In May 2010 of the US stock steeping fall is 1000 bits to allow investor more up to now one's heart still fluttering with fear.
This a series of " technical breakdown " bring about trade interrupt reach loss of a huge sum, can't help letting a person generate question, is high frequency Fair become " technical black swan " ?
The velocity of light between decisive battle millisecond trades
Before before long, on Shanghai Chen Zhi of manager of fund of some illicit collect (alias) enrolling 3 maths is to reading a graduate student to become pluralistic assistant. Basically work even if collect their for Chen Zhi data, the analysis is built model and write futures to trade program.
"The sea puts in a clique 's charge " fund manager Chen Zhi is right " high frequency trade " nature is not new. In recent years wave motion of whole of domestic money market is increased, have overseas investment experience and the Chen Zhi of statistic of perfectness data analysis thinks, for the mature investor that has experience to home, reasonable high frequency trading is to be opposite a kind when develop an interest to trade effectively tool.
Actually, what invest a product as domestic banking in recent years is increasingly rich, especially period point to, what commodity and debt city trade is hot, the whole world is high frequency trade business also has been stared at on Asian rising market.
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Those who deserve attention is, more and more frequent " quantify investment " , " high frequency trade " wait for major to groom, had invested industry to lift a tide in home.
In American market, accompany pair of strong fund dimensions to grow increasingly, in quantifying investment, occupy bigger than comparativing " high frequency trade " it is mature to had developed very much.
Just as its name implies, "High frequency trade " it is the interconnected system of computer science department with powerful have the aid of and complex program operation, dominant finance kind the product is in 100 minutes or in one thousandth second finish a large number of buying automatically sheet and sell sheet, and cancel to dictate, the share price from minimum scores gain in fluctuant interval.
Sometimes, to contend for millisecond (millisecond is 1/1000 second) machine, broker company even the server mandatory around bourse, just convey fiber-opticly to shorten distance.
The United States quantifies investment fund manager surprises in Ao Erde of · of moxa beautiful jade (Irene Aldridge) ever " high frequency trade " described as " trade with velocity of light, decisive battle between millisecond " . The ABLE ALPHA that she manages is a professional and high frequency system deals namely politic investment firm.
Depend on the program with high frequency lightning to change trade, ever achieved brilliant result 2008 in what money market lowest confuses really.
Public data shows, according to not complete count, 2008, the investor that applies traditional low frequency to trade has 70% to produce loss, some fund orgnaization struggles on line of life and d the best selling memory card digital cameras eath even, and high frequency trade fund manager was realizing gain in those days almost, among them most by market take delight in talking about is Jim · Ximengsi the most popular memory card digital cameras (Jim Simons) , his success pocket gains of 2.5 billion dollar.
Model of group of Nai spy capital trades automatically sectional president Ming Kewei, be engaged in high frequency trade old. He thinks likewise, high frequency trading profit and market performance did not concern. "Bovine city, high frequency trading is not special make money, its expression is inferior to be being bought hold some trading all the time politic. When the market is only more troubled, high frequency trade can not know to profitable way is found when what producing in others. " he says to analysis of our newspaper reporter.
"Person, machine " controversy
plantronic wireless headsetHigh frequency trade Cong Mou is planted fluidity and wave motion can be brought to the market on degree. But the other one side that the fact shows a coin however -- afterwards market is full of be as high as 7 to become bear the weight of of huge amount order " high frequency trade " later, bourse of global much home because " technical breakdown " and " lie gun " . More and more " black swan " incident is ringing noisy alarm bell.
News analyst of website of American finance and economics heart of luck of shellfish benefit · (Barry Randall) writes civil doubt recently: "Stock market is because of investor existence after all, be still for that by mandatory does in new jersey the server of city put Huoboken in? Be still for that by mandatory does in new jersey the server of city put Huoboken in??
"The program is changed high frequency it is OK to trade trade efficiency is the biggest change, overcome human weakness, grasp the dinky careful opportunity in the market, facilitating control and management deal medium risk and cost. " look in Chen Zhi, accept high frequency trading premise is " you must believe data order model and computer instruction speed can surpass brains judgement and finger mouse to hang sheet, can bring profit the biggest change " .
Ming Kewei also is " high frequency trade " name: "High frequency trade a lot of moment make the scapegoat that is censured. Actually high frequency although trading quantity is very big, but all the time very stable, won't cause very big effect. Won't cause very big effect..
From the tradition " person - person " the business that become city trades, develop nowadays mainstream " person - machine " electronic system deals, arrive again of computer dominant " machine - machine " high frequency program trades, money market really because trade the development all the more of means and method is complex and multivariate.
Apparent, technical breakdown gives appear on the market the concussion that company, money market brings and loss, still need a person to assume finally. For example, na Sida overcomes bourse to compensate for what must pay at least 62 million dollar for Facebook incident; Chivalric capital also is close to going bankrupt because of gigantic deficient nearly; More traditional investor is counting a second inside giga free canon ef 15mm ntic explode in concussion storehouse.
Critical personage thinks, high frequency those who trade abound in, meet not only of aggravate market opaque, offend finance trades of the market " just morality bottom line " , make traditional investor is in inequitable inferior position, the system that exists on technical level breaks down risk, more bring about money market to must be faced with besides crisis of natural disaster, economy another kind produces probability extremely tall " incident of technology black swan " .
In fact, the superintendency orgnaization that includes the multilateral money market such as the United States, Germany realizes among them complexity and huge risk early, adopt in succession right " high frequency trade " investigate and superintend. American card was handed in 2009 meeting (SEC) prohibited in the round high frequency trade kinds big medium " lightning instruction trades " (Flash Order) . Be aimed at what have controversy sex extremely in recent years " couplet buy " (Co-location) trades the form never also has stopped to investigate and be superintended. This is through will trading systematic setting is in the data center of a certain bourse, trade in order to shorten instruction to trade the executive sluggish offer that business delivers, this has been the large share of the United States and Europe, common practice that derives bourse. Inspect of our country card also can publish measure limitation is high frequency trade sortie futures trades.
The near future, united States Congress continues to be opposite high frequency trade spread out to be investigated continuously, also have German media exposure, the cabinet below German premier Mokeer's leader also agrees to approve act draft, the computer that is in charge of unusual to many stock exchange wave motion is high frequency trade undertake stricter superintendency. In addition, bourse does town business to contend for to mix " high frequency trade " client, be eager to enabling new research and development to trade the system deals with promotion speed, also be inspected drive " high frequency trade " one of inducement, the voice that should establish stricter brief mechanism stopping a card about bourse is louder and louder also.
Sincere if a character surprises in Ao Erde, baleful high frequency trade to be superintended in effective cannot undertake almost in good exchange mechanism.
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