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IAMA High Frequency Trader (reddit)

“As a quick background, I’ve been working in HFT since graduating with an undergrad in mathematics and CS, I trade primarily equities (stocks, basically), market making (posting bids and offers and collecting the spread in between) in ~1700 different stocks…”

(click title for article)

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High-Speed Trading: Profit—and Danger—in Milliseconds

“Markets today are even more susceptible to sudden failure than they were two years ago during the flash crash, which brought the stock market down by about 1,000 points in mere minutes…”

 

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HFT, Correlations and Trend Following

“We think that HFT strategies, in particular the trend-following ones, are playing a key role…the very existence of cross-market correlations at high frequencies favours the presence of automated trading strategies operated by robots on multiple assets. Our analysis suggests that commodity markets are more and more prone to events in global financial markets and likely to deviate from their fundamentals.”

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Complex Event Processing

“CEP is a new paradigm of computing that allows organizations to quickly respond to data that is continuously changing.  CEP algorithms are structured as sets of event-based rules. These rules monitor items in incoming data streams—termed “events”. Each event represents an update within the system…”

 

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High-Frequency Follies

“HFT traders were very active from July 2011 to September 2011. From July 8 to Aug. 8 the Dow fell 17.3%—13.4% in the first six trading days of August alone. The CBOE Volatility Index (VIX), dubbed the “fear index,” traded at 16 in early July but moved up to 48 by Aug. 8. Panic was everywhere.  HFT was both hyperactive and ­hyperprofitable in this period, while individual and institutional investors lost more than $3 trillion…”

 

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James Rickards on the Huge Threats to the Financial Markets

“One of the most astonishing revelations of the past decade has been how little we really understand about risks in our financial markets.  The ‘once in a thousand year‘ events which previously inhabited the extreme end of the left-tail are (increasingly) manifesting in our markets leaving devastating consequences.”

 

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Nanosecond Trading Could Make Markets Go Haywire

“With many algorithms converging on just a few different strategies, the high-frequency trading market could become vulnerable to systemwide herd behaviors. Fortunately for us, the market seems to rebound from spikes almost as immediately as they occur…but as seen in May 2010, this might not always happen.”

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An Interview with Ernest P. Chan (Quantitative Trading)

“Equity strategies are becoming less profitable because of the lower volatility in the market (notwithstanding August 2011), higher correlation among stocks, and the rise of high frequency trading…”

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Man vs Machine: Inside the World of Computer-Driven Stock Trading

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Nanex: The Rise of the HFT Machines

This nifty little animated GIF chronicles the rise of algorithmic trading from January 2007 through January 2012.  It starts out slow, but gets pretty interesting during August 2011 debt crisis (click image for source).