Wisdom in fragments

The 'black swan' doesn't appear very often in coin-toss land but in agent based complex systems land, it appears quite a lot.

Physics professor studying complex systems, crowd behavior, and social networks.

It's absolutely true that a lot of the time the market is indistinguishable from a coin toss- and we all know that… However, when the system is under some stress, when the market is undergoing changes, the coin toss model just doesn't work.

Physics professor studying complex systems, crowd behavior, and social networks.

The actual actions of the people in the market are the things that determine what happens next within the market.

Physics professor studying complex systems, crowd behavior, and social networks.

The way the police treat black people is like we're nothing.

The police never talk to us, they ignore us, they don't think we're human in this area.

Probably most importantly was the ability of Brazil to deal with a problem we inherited from colonial times- inequality.

Brazilian Diplomat & Foreign Minister under Lula's Presidency

All conflicts are different with their particular history and reasons. I think that inequality within societies and between regions has become a key cause for conflict, exacerbated by rapid information dissemination, as people are now more aware of inequalities.

Unknown.

We compute some level of default and losses because of those defaults- and perform IRR calculations to create yields and then we haircut it some more because, in truth, we have no idea!

Looking at the bond market to provide you protection from inflation is a fools game. If you are really worried about inflation- you have to buy stocks.

The only value that government paper provides you at this point is, basically, the fact that if everything goes to 'hell in a handbasket' that you have some assets of value.

The true risk with all of these securities is the fact that real-yields are actually negative. So I don't think this is an issue of ability or willingness to pay, it's really that you are getting negative real returns.

To take the example to an extreme, consider how many real estate or private equity transactions are currently executed by a computer versus a human being. Being an 'alpha-less market maker' in such a market is not possible.

Academics, research analysts, and even regulatory agencies have recognized that today's markets are more liquid and less expensive than before the advent of HFT. This is no doubt due in part to the improvement in liquidity provisioning that has arisen from the better risk management that computers provide over human traders.

Once one understands the disadvantage of being at the bottom of the stack, it becomes much easier to understand the importance of speed in HFT. As new price levels form, HFTs compete with other HFTs to join the new price as quickly as possible in order to secure advantageous stack position for passive orders.

To give a sense of perspective, consider that an HFT making $0.001 per share in SPY has an alpha that is worth roughly 0.0008%. A one penny spread is ten times this amount. In contrast, long term investors are able to effectively employ active strategies. Their alphas are orders of magnitude greater than the cost of crossing the spread.

The majority of US Equity HFT is employed in the strategy of liquidity provisioning, also known as electronic market making. Historically, such a service was provided by NYSE specialists and NASDAQ market makers but, with the advent of decimalization, human specialists and market makers were no longer able to keep up with the liquidity demands of investors and automated technology became necessary for this function.