Sep

23

1. Why don't the exchanges and the sell side research behemoths distribute the same descriptive information set about all markets equally?

For example, the FX Market disseminates certain highly valuable information into the public arena that would be most valuable to the trading of various futures markets. An exhaustive yet discreet enumeration of ALL available information released by exchanges about major futures contracts does not include the information to which I refer.

(I posit that the FX market does not realise the power of the information so it slips out)

2. What does it say about the value of financial information when it is given free of charge?

3. What value financial instruments sold as 'protection' when, if the feared or hoped for event occurs,  best prices (or no prices!) are not available to the participant due to extraordinary spreads, components of the instrument not opening or exchange diktat? I refer here mainly to options markets and the much degraded and over interpreted VIX, among much other detritus.

4. Why are strategies, techniques and other associated 'bells & whistles' best kept out of the public eye?

I don't think this is as clear cut as many other points. I do agree, to an extent, with the AQR research team's recent paper about how a strategy can still work in the public domain , but in the context of not relying on drift or long term returns, being leveraged and aiming for solid risk adjusted numbers - I think things are best kept close knit (perhaps with the judicious application of the law of contract). If anyone reads this post and wants to see the AQR piece let me know.

5. The HFT crescendo. The move from cable to things like sound, vibration and microwave line of sight technology that I have mentioned over recent years in the annals of this lists contributions have certainly coincided with a high public awareness of what goes on now.

Attempts to 'beat' them and devise strategies to mitigate the effective HFT tax should now be 'du jour' to all market players. If not… Well. The Chair's two decade old published comments on the ecology of markets have certainly withstood the test of time.

As a nice aside and another in the plethora of available examples of ever changing cycles, much of the HFT–ahem–'talent' has moved on. It started in the banks, then HF's and now much leading edge technique resides within private family offices. I refer here not to execution of orders but to short term trading based on the ingenuity of the portfolio managers.


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