f*******y
发帖数: 267 | 1 很多trading公司做market making，怎么赚钱的？
通过client trading的成交价和bid-ask spread套利(short time window)？
通过分析不同的clients，针对性的采用不同的hedging strategy？
有没有预测time series的?
对于普通的stocks，FX，一般有什么hedging technique？
谢谢！ | w********s
发帖数: 1570 | 2 现在一般都做deriv的market making吧 | f*******y
发帖数: 267 | 3 哦。那做stock和fx market making怎么赚钱？commission？arbitrage？
【在 w********s 的大作中提到】
: 现在一般都做deriv的market making吧
| d********t
发帖数: 9628 | 4 commission主要是应该
【在 f*******y 的大作中提到】
: 哦。那做stock和fx market making怎么赚钱？commission？arbitrage？
| c********s
发帖数: 101 | 5 My understanding 7-8 years ago. Could be wildly wrong then, or wildly wrong
now since things changed. Feel free to laugh at me if you really know what's
going on. In that case, I guess you would prefer to make money quietly,
rather than come here and correct me:)
Big trading firms ripoff small trading firms, big and small trading firms
ripoff investors together with exchange. That pretty much sums up so called
"market making".
Trading firms can register with exchange as different level of "member",
based on their fee, they can access market quotes milli-seconds (or
millionth of a second?) earlier than regular investor. And they can see more
depth, and they can in certain occasions make a jump in the queue of orders
. They make money by this unfair advantage granted by exchange. Of course
exchange get a big cut. This has been exchange's dirty secrete for years,
SEC is looking into it, may end up with a huge fine that goes into history
book. Investors are no fool, they can tolerate this because the hair cut is
so thin that's barely noticeable. For trading firms, it adds up. Big
investors suffer more, PIMCO talked about building its own exchange years
ago, don't know where it ends up now.
Most of theses were on WSJ, you can dig it up yourself. There is also one
article talking about one Japanese guy trying to build an exchange that
gives trading firms none of these advantages. Would be interesting to follow
the story. | l**********e
发帖数: 336 | 6 it is very reasonable that big mutual funds like PIMCO and Blackrock want to
protect themselves, but how?
frankly speaking, electronic exchange /quant trading / market making/ are
more about innovation with high pressure, cutting edge technology, and
getting the talented people
this is the reason why even big investment banks are not in the top list (
michael lewis, flash boys), quant fund / trading firms dominate this area (
their culture is similar to silicon valley firms)
wrong
's
called
more
【在 c********s 的大作中提到】
: My understanding 7-8 years ago. Could be wildly wrong then, or wildly wrong
: now since things changed. Feel free to laugh at me if you really know what's
: going on. In that case, I guess you would prefer to make money quietly,
: rather than come here and correct me:)
: Big trading firms ripoff small trading firms, big and small trading firms
: ripoff investors together with exchange. That pretty much sums up so called
: "market making".
: Trading firms can register with exchange as different level of "member",
: based on their fee, they can access market quotes milli-seconds (or
: millionth of a second?) earlier than regular investor. And they can see more
| f*******y
发帖数: 267 | 7 Thanks for your explanation.
It makes sense to me that big trading firms took advantage of that. Still
wondering usually how they trade/hedge with their earlier knowledge of the
order book. I bet they don't allow the price fluctuation to jeopardize their
profits. In most cases, they prefer "free meal" (arbitrage) to betting on
the prices?
wrong
's
called
more
【在 c********s 的大作中提到】
: My understanding 7-8 years ago. Could be wildly wrong then, or wildly wrong
: now since things changed. Feel free to laugh at me if you really know what's
: going on. In that case, I guess you would prefer to make money quietly,
: rather than come here and correct me:)
: Big trading firms ripoff small trading firms, big and small trading firms
: ripoff investors together with exchange. That pretty much sums up so called
: "market making".
: Trading firms can register with exchange as different level of "member",
: based on their fee, they can access market quotes milli-seconds (or
: millionth of a second?) earlier than regular investor. And they can see more
| f*******y
发帖数: 267 | 8 Or saying how they manage the risk of their own book?
Minimize the position? Stay out of the gambling? | c********s
发帖数: 101 | 9 I don’t know. I’ve been sarcastic and half joking. And I purposely
exaggerated one aspect of this business to grab eyeballs. The question is
how to make money. You can imagine people really know the answer in details
would keep their mouth shut.
Prop trading firms do serve the function of facilitating trades and
providing market liquidity. They also have certain edge over investors,
designed by the exchanges. People can have different opinions on whether it
’s fair. Oh, I forgot to mention another advantage they have over investors
trade free, or even offer subsidy.
I did a quick search and found these articles, all on WSJ. Not the ones I
read long time ago, but described the same thing. Seems things haven’t
changed.
Not sure why you are asking. Good luck with whatever you want to do. And
keep in mind derivative trading (and short term stock trading) is a zero sum
game; before Raj Rajaratnam got busted, he claims he has superior models.
“For Superfast Stock Traders, a Way to Jump ahead in Line”
“SEC probes Ties to High-Speed Trades”
“IEX Pricing Aims to Drain ‘Dark Pools’” | w********s
发帖数: 1570 | 10 arb为主，这种shop很多
their
【在 f*******y 的大作中提到】
: Thanks for your explanation.
: It makes sense to me that big trading firms took advantage of that. Still
: wondering usually how they trade/hedge with their earlier knowledge of the
: order book. I bet they don't allow the price fluctuation to jeopardize their
: profits. In most cases, they prefer "free meal" (arbitrage) to betting on
: the prices?
:
: wrong
: 's
: called
|
|
