tag:blogger.com,1999:blog-582368152716771238.post5378316179929856912..comments2024-03-28T14:41:03.793-05:00Comments on The Grumpy Economist: More weird behavior in high frequency marketsJohn H. Cochranehttp://www.blogger.com/profile/04842601651429471525noreply@blogger.comBlogger11125tag:blogger.com,1999:blog-582368152716771238.post-37883616904881474222014-05-26T06:55:46.638-05:002014-05-26T06:55:46.638-05:00Coke and IBM are two big markets and any movement ...Coke and IBM are two big markets and any movement in them will affect the other markets...Epic Researchhttp://www.grotal.com/Website-of-Epic-Research-Pvt-Ltd-in-Indore-300461/noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-49746994086552681142012-07-26T13:34:12.983-05:002012-07-26T13:34:12.983-05:00I think you,re on the right track. I've been t...I think you,re on the right track. I've been trading this pattern for several years. Looks like it might be a combination of a sell side simple logical participation algorithm (to come close to VWAP or TWAP) and,quite possibly, some buy side algorithms to take advantage of the liquidity. Sometimes, the pattern emerges on the half hour. The pattern predates modern high frequency trading. This is merely a hypothesis. As further examples, look at the hourly bar charts of SPY or MDY. There are numerous other examples, many going back for years.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-11283291294042971262012-07-22T06:59:45.011-05:002012-07-22T06:59:45.011-05:00The entire market has been frustrating for a half ...The entire market has been frustrating for a half a year now. Up and down, up and down, but not really making any headway. I have stopped buying now and I am sitting pat on the stocks which I already bought.<br /><br />This uncertainty is killing the market.KyleNhttps://www.blogger.com/profile/15766641765942339253noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-7587867193374448982012-07-21T09:02:10.281-05:002012-07-21T09:02:10.281-05:00Perhaps it petered out due to arbitrage.Perhaps it petered out due to arbitrage.TOGhttps://www.blogger.com/profile/17026819141512109918noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-20445229096136651392012-07-21T05:04:37.933-05:002012-07-21T05:04:37.933-05:00Theory does not cover everything all the time. If ...Theory does not cover everything all the time. If you look at the currency markets and check the squared intraday exchange rate returns, we see the cyclical patterns during the day due to opening, closing lunch times. etc. Similar pattern can be observed in intraday stock volatility too, like U shape patterns. But these patterns of Coke and IBM are different. It is not intraday periodicity story or something. I am really wondering why this occurred and what it is. We still do not know the reason behind?Deniz Erdemliogluhttps://www.blogger.com/profile/08392455636547553523noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-25847485248550413122012-07-20T16:23:53.468-05:002012-07-20T16:23:53.468-05:00But modern finance theory tells us that sort of pa...But modern finance theory tells us that sort of pattern is impossible so it must not be happening ...Absalonhttps://www.blogger.com/profile/09131268683451462949noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-25835358475062365432012-07-20T00:38:23.711-05:002012-07-20T00:38:23.711-05:00Seems like a great opportunity for arbitrage. I w...Seems like a great opportunity for arbitrage. I would expect real humans to start some profit taking.B-Daddyhttps://www.blogger.com/profile/13880092017105841256noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-72301528452382806772012-07-19T23:04:28.019-05:002012-07-19T23:04:28.019-05:00Only the Soros knows.
Sans information on volume ...Only the Soros knows.<br /><br />Sans information on volume in all markets, I won't have an answer until I talk with Putin, tomorrow.<br /><br />Perhaps it is the regular heart beat predicted by Hayak in a market without government interference.Anonymoushttps://www.blogger.com/profile/07904132869021579763noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-85271543717476011112012-07-19T19:29:23.801-05:002012-07-19T19:29:23.801-05:00great observation....great observation....ASDFASDFASDFhttps://www.blogger.com/profile/07889335683944392926noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-69704784996975830242012-07-19T19:22:32.367-05:002012-07-19T19:22:32.367-05:00There are no humans left. All of us traders just ...There are no humans left. All of us traders just watch. Screw em. The regulation and structure is so messed up, the humans can't keep an orderly market. Our markets as they exist today are broken. Some act no better than casinos-where instead of investment and probability, they are games of chance. Money flow.<br /><br />Does anyone think a flash crash couldn't happen again? If they think the system is fixed, they are sadly mistaken,www.pointsandfigures.comhttps://www.blogger.com/profile/05266351192714997692noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-22615342219951691132012-07-19T19:11:20.425-05:002012-07-19T19:11:20.425-05:00why are they saw-toothed?why are they saw-toothed?LALhttps://www.blogger.com/profile/08196675112184615614noreply@blogger.com