How many trades per second are we talking about?
What kind of strategies are used in this time frame?
Can the small guy play the game?
Answer
You could for example look at this research paper released by Deutsche Bank's Research group (mirror) just yesterday which defines both high-frequency and ultra-high-frequency trading.
In the paper it says
Typically, a high frequency trader would not hold a position open for more than a few seconds. Empirical evidence reveals that the average U.S. stock is held for 22 seconds.
And in a footnote it says
There even is a subcategory of high-frequency trading, Ultra-HFT, which is sensitive to a latency down to the microsecond. Here, co-location [of servers] is exceedingly significant, and shaving off further microseconds is of utmost importance.
And no, the small guy can't play for reason well-put in the paper, co-location probably being the single most important one.
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