Berkeley gives you a parking space if you work there and win a Nobel. They even have signs "Reserved for Nobel Laureate". As far as I know, Stanford does not.
Doesn't Google had the leaders in auction theory now?
Would someone please devise a way to run a stock market as a repeated clocked auction, so that prices change, say, once every 5 minutes and high frequency trading doesn't work.
Would someone please devise a way to run a stock market as a repeated clocked auction, so that prices change, say, once every 5 minutes and high frequency trading doesn't work.
Sure. The cost is that trades are slower, and people selling a large block of shares will have to settle with many others. Oh, and also trading will stop when there is excessive market volatility.
Still interested? Here is the mechanism. There is a priority queue for open buys and one for open sells. The sizes of the buys and sells is 1 share. Both are ordered by time the order was received, with oldest first. And the market has a price.
Whenever both queues have entries that can match at that price, they do. At the end of every X time, if one queue is empty and the other is not, the price moves 1 cent.
If a large order is received, trading effectively stops and it can only move the price slowly. Because the price only moves slowly, there are no sudden price shifts for HFT to take advantage of.
Interestingly even if this market has low volume, it can still take large orders successfully. Because even though HFT traders can't make money by playing this market, they can make money off of arbitrage between this market and others. Therefore until a large order finishes settling on this market it serves as a ceiling or floor of what gets traded on other markets. Which means that the HFT traders do the hard work of trading this on other markets.
But for anyone who wishes to trade with each other on this market, HFT can't make money from them.
> Berkeley gives you a parking space if you work there and win a Nobel.
The rich get richer. I remember filling out school and early job applications. I was struck by how my list of awards and recognitions was kind of a sham—most of them were each a consequence of some earlier achievement, and so on. It felt like getting a check and being able to cash it more than once.
> I was struck by how my list of awards and recognitions was kind of a sham—most of them were each a consequence of some earlier achievement, and so on.
Achievement and power are runaway positive feedback loops which means we need damping forces to have any reasonable level of fairness where "fair" means reward is proportional to the effort.
On the other hand, we can afford to give a nice parking space each to Watson & Crick, even if they take it easy down the road. Celebrate the heroes of your field.
I don't see why reward should be proportional to effort... Rewards should be based on results and outcomes, regardless of the amount of effort involved.
This comment doesn't track the argument in the comment it's responding to. It happens by using a different reading of "proportional" than the one that was intended.
The results and outcomes alluded to in each comment, mine and the one you're responding to, are consequences of essentially begging the question. It's that part where the flaw lies—because it leads, as in your comment, to justifying things as rational and fit even when they are not equitable.
Scientific achievement is the actual value of science, not getting a prize. We certainly don't need any kind of damping forces to make scientists rewarded for their effort if that in any way impedes the most successful from pushing the boundaries forward. I think you're putting the cart before the horse in prioritizing fairness and personal awards over humanity-improving results.
I think you're overlooking the quote I was replying to. The situation the author describes is like this:
Scientist A and Scientist B both produce results X and Y respectively that are exactly equally valuable to the world. However, Scientist A happens to already be well-known for other work. What we observe is that A will get more accolades for X than B gets for Y. Not because X is more valuable, but solely because people assume that since famous scientist A did X, it must be worth more.
I have generally resisted further advancement, well aware of my level of competence. Also, the next level up is often not a level where the required skills are the same. Right now, I do stuff. At the next level up, I'd be required to do some stuff, but mostly coordinate other people's stuff, which is a very different skill set.
> Would someone please devise a way to run a stock market as a repeated clocked auction, so that prices change, say, once every 5 minutes and high frequency trading doesn't work.
I thought the 'penalties' associated with trading aged shares were pretty clever. Among the rules for the LTSE [1] is that you get increased voting weight for your shares as they age (IIRC). I've no idea whether any of those will really help in practice. But it sounds like it's worth a try.
HFT can increase market volatility and exagerate trends. They are not beholden to and can run counter to the idea of an "affirmative obligation" to help keep the market operating orderly. Hence the occasional flash crash or more minor blips.
eh, there's not much evidence that HFT increases volatility. I work in HFT and in general, HFT decreases volatility. Of course the flash crash is a notable exception, but that would never happen today.
There's plenty of evidence that HFT increases volatility [0][1][2].
Flash crashes still happen [3] and there were multiple rapid crashes triggering limit down circuit breakers in 2020. The circuit breakers stopped things from getting worse, but didn't stop the crash itself.
Fairness maybe? People rent server racks right next to the exchange to get a leg up responding to market forces. Lots of others won't be able to compete with that foresight.
Whether you think that's a good or bad thing though I guess can be up for debate.
It is hundreds of millions of dollars that are being spent for an activity that is a tax on investors. The fact that it is better than what existed before doesn't change the fact that we can do better yet.
What part of The fact that it is better than what existed before doesn't change the fact that we can do better yet. did you fail to understand?
Yes, HFT manages to do better than the old market makers that had humans doing the same job that HFT does now in the same way with bigger margins. But that doesn't change the fact that for retail investors, I believe that my suggestion in https://news.ycombinator.com/item?id=24760841 would help them even more.
How do HFT help retail investors? While I understand that HFT are not technically front running, it seems to me (as someone who is not that involved with finance) that functionally it's more or less the same outcome?
Smaller spreads. Plus I imagine that most retail investors don't make orders large enough that they need to be fulfilled at multiple exchanges, so HFT won't have the chance to get in front of retail.
Actually, HFT is willing to pay retail brokerages like Robinhood to get access to orders from retail investors BEFORE they hit the exchanges. This is how trades are offered for free.
Why? Because they know that they can buy those shares at some reported price then trade them on their own books then sell them at a price sufficiently different from the reported price that they make a profit.
This means that HFT is explicitly getting "in front of retail" and is actually trading at a price different from what retail hears about. That difference goes where? Oh right. Right into the pockets of HFT and out of the pockets of retail investors.
But on a reasonable assumption what he is arguing is that the competition in the marketplace means that they are paying competitive prices for that order flow. They are making money but not much considering what they are doing. And it is massively better than what used to exist.
I know this and agree with it. But as I said above, "The fact that it is better than what existed before doesn't change the fact that we can do better yet."
The first point is that Robinhood is the one that they negotiate with. So the extra profits go there, and not directly to consumers. Secondly the HFT middlemen are still playing market makers, which means that they still are being paid for. There are cheaper ways to make a market work than HFT, and I outlined one above. Third, automated algorithms as market makers have the potential for some pretty dramatic events - such as the flash crash. Alternatives can avoid that.
> They even have signs "Reserved for Nobel Laureate".
Assuming they work in the same building, now is Stanford's chance. The bigger flex is to have two or more adjacent parking spaces with signage that says "Reserved for Nobel Laureates" (plural).
Wow did I grossly mis-guesstimate the total number of living Nobel laureates.
I assumed there were so few that even world-class, elite universities would have in the low single digits, so that adding two would rocket Stanford (or any university) to near the top.
But there are some universities that have 50 or even over 100 depending how you count.
Doesn't Google had the leaders in auction theory now?
Would someone please devise a way to run a stock market as a repeated clocked auction, so that prices change, say, once every 5 minutes and high frequency trading doesn't work.