Informational Inequality: How High Frequency Traders Use Premier Access to Information to Prey on Institutional Investors
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Equity Trading in the 21St Century
Equity Trading in the 21st Century February 23, 2010 James J. Angel Associate Professor McDonough School of Business Georgetown University Lawrence E. Harris Fred V. Keenan Chair in Finance Professor of Finance and Business Economics Marshall School of Business University of Southern California Chester S. Spatt Pamela R. and Kenneth B. Dunn Professor of Finance Director, Center for Financial Markets Tepper School of Business Carnegie Mellon University 1. Introduction1 Trading in financial markets changed substantially with the growth of new information processing and communications technologies over the last 25 years. Electronic technologies profoundly altered how exchanges, brokers, and dealers arrange most trades. In some cases, innovative trading systems are so different from traditional ones that many political leaders and regulators do not fully appreciate how they work and the many benefits that they offer to investors and to the economy as a whole. In the face of incomplete knowledge about this evolving environment, some policymakers now question whether these innovations are in the public interest. Technical jargon such as “dark liquidity pools,” “hidden orders,” “flickering quotes,” and “flash orders” appear ominous to those not familiar with the objects being described. While professional traders measure system performance in milliseconds, others wonder what possible difference seconds—much less milliseconds—could have on capital formation within our economy. The ubiquitous role of computers in trading systems makes many people nervous, and especially those who remember the 1987 Stock Market Crash and how the failure of exchange trading systems exacerbated problems caused by traders following computer-generated trading strategies. Strikingly, the mechanics of the equity markets functioned very well during the financial crisis, despite the widespread use of computerized trading. -
Brian Mccrea Brmccrea@Ufl
IDH 2930 Section 1D18 HNR Read Moneyball Tuesday 3 (9:35-10:25 a. m.) Little Hall 0117 Brian McCrea brmccrea@ufl. edu (352) 478-9687 Moneyball includes twelve chapters, an epilogue, and a (for me) important postscript. We will read and discuss one chapter a week, then finish with a week devoted to the epilogue and to the postscript. At our first meeting we will introduce ourselves to each other and figure out who amongst us are baseball fans, who not. (One need not have an interest in baseball to enjoy Lewis or to enjoy Moneyball; indeed, the course benefits greatly from disinterested business and math majors.) I will ask you to write informally every class session about the reading. I will not grade your responses, but I will keep a word count. At the end of the semester, we will have an Awards Ceremony for our most prolific writers. While this is not a prerequisite, I hope that everyone has looked at Moneyball the movie (starring Brad Pitt as Billy Beane) before we begin to work with the book. Moneyball first was published—to great acclaim—in 2003. So the book is fifteen-year’s old, and the “new” method of evaluating baseball players pioneered by Billy Beane has been widely adopted. Beane’s Oakland A’s no longer are as successful as they were in the early 2000s. What Lewis refers to as “sabremetrics”—the statistical analysis of baseball performance—has expanded greatly. Baseball now has statistics totally different from those in place as Lewis wrote: WAR (Wins against replacement), WHIP (Walks and hits per inning pitched) among them. -
Execution Venues List
Execution Venues List This list should be read in conjunction with the Best Execution policy for Credit Suisse AG (excluding branches and subsidiaries), Credit Suisse (Switzerland) Ltd, Credit Suisse (Luxembourg) S.A, Credit Suisse (Luxembourg) S.A. Zweigniederlassung Österreichand, Neue Aargauer Bank AG published at www.credit-suisse.com/MiFID and https://www.credit-suisse.com/lu/en/private-banking/best-execution.html The Execution Venues1) shown enable the in scope legal entities to obtain on a consistent basis the best possible result for the execution of client orders. Accordingly, where the in scope legal entities may place significant reliance on these Execution Venues. Equity Cash & Exchange Traded Funds Country/Liquidity Pool Execution Venue1) Name MIC Code2) Regulated Markets & 3rd party exchanges Europe Austria Wiener Börse – Official Market WBAH Austria Wiener Börse – Securities Exchange XVIE Austria Wiener Börse XWBO Austria Wiener Börse Dritter Markt WBDM Belgium Euronext Brussels XBRU Belgium Euronext Growth Brussels ALXB Czech Republic Prague Stock Exchange XPRA Cyprus Cyprus Stock Exchange XCYS Denmark NASDAQ Copenhagen XCSE Estonia NASDAQ Tallinn XTAL Finland NASDAQ Helsinki XHEL France EURONEXT Paris XPAR France EURONEXT Growth Paris ALXP Germany Börse Berlin XBER Germany Börse Berlin – Equiduct Trading XEQT Germany Deutsche Börse XFRA Germany Börse Frankfurt Warrants XSCO Germany Börse Hamburg XHAM Germany Börse Düsseldorf XDUS Germany Börse München XMUN Germany Börse Stuttgart XSTU Germany Hannover Stock Exchange XHAN -
Slowing Down High-Speed Trading: Why the SEC Should Allow a New Exchange a Chance to Compete*
Slowing Down High-Speed Trading: Why the SEC Should Allow a New Exchange a Chance to Compete* Julie St. John† I. OVERVIEW ........................................................................................ 207 II. BACKGROUND .................................................................................. 210 A. Issues with High-Speed Trading ...................................... 210 B. How the IEX Delay Technology Combats High- Frequency Trading ............................................................ 211 III. THE CONTROVERSY .......................................................................... 214 A. Regulation National Market System ................................ 214 B. Fairness in the Market ...................................................... 217 IV. WHAT THE SEC SHOULD DO ........................................................... 218 V. CONCLUSION .................................................................................... 220 APPENDIX .................................................................................................. 221 I. OVERVIEW Investors’ Exchange (IEX) is to public stock exchanges what Uber and Lyft are to traditional taxi companies, and what Airbnb is to hotel chains.1 The exchange uses technology called a magic shoebox—thirty- eight miles of fiber-optic cable coiled inside of a box.2 This magic * The SEC made its decision and approved IEX as a public exchange on June 17, 2016. Press Release, U.S. Sec. & Exch. Comm’n, SEC Approves IEX Proposal to Launch Nat’l Exch., Issues Interpretation -
Impact on Financial Markets of Dark Pools, Large Investor, and HFT
Impact on Financial Markets of Dark Pools, Large Investor, and HFT Shin Nishioka1, Kiyoshi Izumi1, Wataru Matsumoto2, Takashi Shimada1, Hiroki Sakaji1, and Hiroyasu Matushima1 1 Graduate School of Engineering, The University of Tokyo, 7-3-1 Hongo, Bunkyo, Tokyo, Japan 2 Nomura Securities Co., Ltd.? [email protected] Abstract. In this research, we expanded an artificial market model in- cluding the lit market, the dark pools, the large investor, and the market maker (HFT). Using the model, we investigated their influences on the market efficiency and liquidity. We found that dark pools may improve the market efficiency if their usage rate were under some threshold. Es- pecially, It is desirable that the main users of the dark pool are large investors. A certain kind of HFT such as the market making strategy may provide the market liquidity if their usage rate were under some threshold. Keywords: Artificial Market · Dark pool · Large investor. 1 Introduction Dark pools, private financial forums for trading securities, are becoming widely used in finance especially by institutional investors [15]. Dark pools allow in- vestors to trade without showing their orders to anyone else. One of the main advantages of dark pools is their function to significantly reduce the market impact of large orders. Large investors have to constantly struggle with the problem that the market price moves adversely when they buy or sell large blocks of securities. Such market impacts are considered as trading costs for large investors. Hiding the information of large orders in dark pools may decrease market impacts. Moreover, from the viewpoint of a whole market, dark pools may stabilize financial markets by reducing market impacts[7]. -
Is the Stock Market Rigged? You May Have Heard About the 60 Minutes
Is the Stock Market Rigged? You may have heard about the 60 Minutes interview with author Michael Lewis, a former Wall Street broker, author of "Liar's Poker" and "The Big Short," who has just come out with a new book entitled "Flash Boys." Lewis is an eloquent and astute critic of Wall Street's creative and predatory practices, and in his new book (and in the 60 Minutes interview) he offers evidence that the stock market is "rigged" by a cabal of high-frequency traders, abetted by stock exchanges and Wall Street firms. While it is true that certain parties may gain quicker access than others, some believe, the price discovery process (by allowing high frequency trading) is improved and, therefore, makes the process better for all. Regardless, for anyone practicing long-term investing, high frequency trading activities are essentially irrelevant Lewis exposed an advantage that certain traders receive by building high-speed fiber optic cable feeds directly into exchange computers that match buyers and sellers. Some actually have their trading computers located in the same room as the New York Stock Exchange and Nasdaq servers. And some pay extra for access to more information on who wants to buy and sell. All of this is perfectly legal, but Lewis points out that it is also shady. Why should some buyers and sellers have millisecond advantages over others? The problem is that these firms are able to jump in ahead of you and me and buy stocks at lower intraday prices, and then, a few seconds later, sell to the highest bidder before you and I would even see that bid on our screen. -
The Future of Computer Trading in Financial Markets an International Perspective
The Future of Computer Trading in Financial Markets An International Perspective FINAL PROJECT REPORT This Report should be cited as: Foresight: The Future of Computer Trading in Financial Markets (2012) Final Project Report The Government Office for Science, London The Future of Computer Trading in Financial Markets An International Perspective This Report is intended for: Policy makers, legislators, regulators and a wide range of professionals and researchers whose interest relate to computer trading within financial markets. This Report focuses on computer trading from an international perspective, and is not limited to one particular market. Foreword Well functioning financial markets are vital for everyone. They support businesses and growth across the world. They provide important services for investors, from large pension funds to the smallest investors. And they can even affect the long-term security of entire countries. Financial markets are evolving ever faster through interacting forces such as globalisation, changes in geopolitics, competition, evolving regulation and demographic shifts. However, the development of new technology is arguably driving the fastest changes. Technological developments are undoubtedly fuelling many new products and services, and are contributing to the dynamism of financial markets. In particular, high frequency computer-based trading (HFT) has grown in recent years to represent about 30% of equity trading in the UK and possible over 60% in the USA. HFT has many proponents. Its roll-out is contributing to fundamental shifts in market structures being seen across the world and, in turn, these are significantly affecting the fortunes of many market participants. But the relentless rise of HFT and algorithmic trading (AT) has also attracted considerable controversy and opposition. -
Download Flash Boys: Not So Fast: an Insiders Perspective on High
FLASH BOYS: NOT SO FAST: AN INSIDERS PERSPECTIVE ON HIGH-FREQUENCY TRADING DOWNLOAD FREE BOOK Peter KovГЎДЌ | none | 10 Dec 2014 | Directissima Press | 9780692336908 | English | United States Flash Boys: Not So Fast: An Insider's Perspective on High-Frequency Trading Boomerang Travels in the New Flash Boys: Not So Fast: An Insiders Perspective on High-Frequency Trading World. They illuminate the forces that threaten our boys, teaching them to believe that "cool" equals macho strength and stoicism. Kindlon and Thompson set out to answer this basic, crucial question: What do boys need that they're not getting? Flash Boys. The Boys Book of Famous Rulers. Raising Cain. In The River They Flash Boys lacks a single insider's account, and it shows. They use their new podium to investigate exchanges and the firms that specialize in high-frequency trading, while bringing light to many other ways that people cheat the system. Statistics point to an alarming number of young boys at high risk for suicide, alcohol and drug abuse, violence and loneliness. The problem lay in the fact that this route was not straight, as was ideal for speed of communication, but made many twists and turns. It's the story of what it's like to declare war on some of the richest and most powerful people in the world. Peter Hoffmeister was a nervous child who ran away repeatedly and bit his fingernails until they bled. By the age of thirty, he had left behind London's "trading arcades," working instead out of his childhood home. They were unable to find any. -
Book Title Author / Publisher Year
Parker Career Management Collection BOOK TITLE AUTHOR / PUBLISHER YEAR 10 Insider Secrets to a Winning Job Search Todd Bermont 2004 100 Best Nonprofits To Work For Leslie Hamilton & Robert Tragert 2000 100 Greatest Ideas For Building the Business of Your Dreams Ken Langdon 2003 100 Top Internet Job Sites Kristina Ackley 2000 101 Great Answers to the Toughest Interview Questions Ron Fry 2000 175 High-Impact Cover Letters Richard H. Beatty 2002 175 High-Impact Cover Resumes Richard H. Beatty 2002 201 Best Questions to Ask on Your Interview John Kador 2002 25 Top Financial Firms Wetfeet 2004 9 Ways of Working Michael J. Goldberg 1999 A Blueprint For Success Joe Weller 2005 A Message from Garcia Charles Patrick Garcia 2003 A New Brand World Scot Bedbury with Stephen Fenichell 2002 A.T. Kearney Vault 2006 Accenture Vault 2006 Accenture Vault 2006 Accounting Vault 2006 Accounting Wetfeet 2006 Ace Your Case II: Fifteen More Consulting Cases WetFeet 2006 Ace Your Case IV: The Latest and Greatest WetFeet 2006 Ace Your Case VI: Mastering the Case WetFeet 2006 Ace your Case! Consulting Interviews WetFeet 2006 Ace Your Cases III: Practice Makes Perfect WetFeet 2006 Ace Your Interview! (2 copies) WetFeet 2004 Advertising Vault 2006 All About Hedge Funds Robert A. Jaeger 2003 All You Need to Know About the Movie and TV Business Gail Resnik and Scott Trost 1996 All You Need to Know About the Music Business Donald S. Passman 2003 American Management Systems Vault 2002 Ask the Headhunter Nick A. Corcodilos 1997 Asset Management & Retail Brokerage Wetfeet -
Gibson, Christopher M
~-1;'· / r :r-- - UNITED STATES OF AMERICA RECEIVED Before the JUN 1 9 2017 SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 OFFICE OF THE SECRE Administrative Proceeding File No. 3-17184 In the Matter of CHRISTOPHER M. GIBSON, Respondent. DIVISION OF ENFORCEMENT'S OPPOSITION BRIEF June 19, 2017 H. Michael Semler Gregory R. Boclcin Paul J. Bohr George J. Bagnall U.S. Securities and Exchange Commission Division of Enforcement 100 F Street, N .E. Washington, D.C. 20549 Counsel for Division of Enforcement r > Table of Contents INTRODUCTION ................................................................................................................. 1 THE EVIDENTIARY RECORD .......................................................................................... 1 THE INITIAL DECISION................................................................................................... 11 ARGUMENT ........................................................................................................................ 13 I. GIBSON VIOLATED SECTIONS 206(1) AND (2) OF THE ADVISORS ACT......... 13 A. Gibson Was An Investment Adviser Subject To Section 206 ............................ 13 1. Investors Were Told That Gibson Would Manage The Fund's Investments And Gibson Did So ................................................................... 14 2. Gibson Was An Investment Adviser Even If He Acted In The Name Of Geier Capital................................................................................. 15 3. Gibson Was an Investment -
Pre-Arranged Trading in the Securities Market 17 3.3
Page 1 of 1 23 May 2018 Circular No. DC/AM - 29 of 2018 SGX LAUNCHES SERIES 2 OF TRADE SURVEILLANCE HANDBOOK The inaugural Trade Surveillance Handbook was published in September 2016 as part of SGX’s collaborative efforts with Members to combat potential irregular trading activities, and enhance surveillance tools of Members. To build on these efforts, SGX has developed a second series of the Trade Surveillance Handbook (“Handbook 2”) with the aim to promulgate fair trading practices and uphold market integrity in our marketplace. Trade Surveillance Handbook – Series Two Handbook 2, featuring Wash trades, Order Management during Opening Routine and Momentum Ignition, seeks to provide Members with a better understanding of SGX’s expectations in relation to these trading practices in our derivatives markets. The Handbook also includes a set of surveillance guidelines and markers which Members may incorporate in detecting and examining these trading malpractices. This Handbook further provides as illustration, two cases heard before the independent Disciplinary Committee so that Members can appreciate the assessments and considerations of SGX and the Disciplinary Committee. The third case study sets out guidelines for Members and Trading Representative to consider in accepting and executing customers’ orders in the securities market. The Trade Surveillance Handbook 2 is attached in the Appendix. SGX to Continue Collaboration with Members and Stakeholders SGX will continue to work closely with Members and stakeholders to uphold robust compliance and surveillance standards, and encourage early disruption of potential irregular trading activities. All these are crucial to promoting greater investor confidence in our marketplace. Your feedback and questions on the Handbook are most welcome. -
A Pecking Order of Trading Venues
Journal of Financial Economics 124 (2017) 503–534 Contents lists available at ScienceDirect Journal of Financial Economics journal homepage: www.elsevier.com/locate/jfec R Shades of darkness: A pecking order of trading venues ∗ Albert J. Menkveld a, Bart Zhou Yueshen b, Haoxiang Zhu c, a Vrije Universiteit Amsterdam and Tinbergen Institute, De Boelelaan 1105, Amsterdam 1081 HV, Netherlands b INSEAD, Boulevard de Constance, 77300 Fontainebleau, France c MIT Sloan School of Management and NBER, 100 Main Street E62-623, Cambridge, MA 02142, USA a r t i c l e i n f o a b s t r a c t Article history: We characterize the dynamic fragmentation of U.S. equity markets using a unique data Received 16 September 2015 set that disaggregates dark transactions by venue types. The “pecking order” hypothesis Revised 13 June 2016 of trading venues states that investors “sort” various venue types, putting low-cost-low- Accepted 22 June 2016 immediacy venues on top and high-cost-high-immediacy venues at the bottom. Hence, Available online 8 March 2017 midpoint dark pools on top, non-midpoint dark pools in the middle, and lit markets at the JEL classification: bottom. As predicted, following VIX shocks, macroeconomic news, and firms’ earnings sur- G12 prises, changes in venue market shares become progressively more positive (or less nega- G14 tive) down the pecking order. We further document heterogeneity across dark venue types G18 and stock size groups. D47 Published by Elsevier B.V. Keywords: Dark pool Pecking order Fragmentation 1. Introduction R For helpful comments and suggestions, we thank Bill Schwert (ed- A salient trend in global equity markets over the last itor), an anonymous referee, Mark van Achter, Jim Angel, Matthijs decade is the rapid expansion of off-exchange, or “dark” Breugem, Adrian Buss, Sabrina Buti, Hui Chen, Jean-Edourd Colliard, Ca- role Comerton-Forde, John Core, Bernard Dumas, Thierry Foucault, Frank trading venues.