Ten Special Thoughts About Markets

作者:Vic Niederhoffer
日期:2011/10/14

1. The hft boys play exactly the same role that insider traders do. They get there first with better information. They take out many billions of dollars from the market. The argument exists that insider trading and hft is good because they move prices to where they should be faster. I don't buy it. The hft compete against those with short term horizons as do the insider traders. There is only a certain amount of chips to go around. The special hft and insider traders take those chips away and make it impossible for the average person to profit and for everyone else to get a fair deal. This stuff about liquidity provision is a canard. Yes, they get in and out ahead of you. They provide liquidity to other people, not the short term traders under consideration.

2. The bond stock ratio has moved about 10 percentage points back to where it should have been from the exacerbated levels it was at with bonds [futures] at 144 and stocks [S&P futures] at 1100.



3. The holidays are the worst time to trade as the markets move to create margin calls and wipeouts only to reverse as soon as the normal volume gets back.

4. The snakes have two main ways of killing. One is by constriction like the boa and the other by sharp fast thrusts from out of the blue like the viper. Which way do you generally die on your trades? A visit to the Bronx Zoo reptile house might be in order.

5. I loved when the reason given for the crony bank to receive 100% of the amount due on its trade with the insurance company was that the French banks insisted on 100% payment or else they would have violated a mandate. I am reminded of that by the Fed minutes which say that the reason that the Fed can't lower the 1/4% they pay on reserves is that it would upset the equilibrium of monetary affairs. The entire minutes seem like an exercise in euphemism and reaching out to the public to seem omniscient, judicious, equipoised, and at the same time benevolent. Much better to think of it as Nock did I think —- flagitious et al.

6. The market went from 1200 to 1000 without a break and then back again in true Lobogola fashion. When will a theory of lobogola moves be developed that is useful and predictive.

7. All the very predictive patterns of 2008 didn't work in 2009, and all the predictive patterns of 2008-2010 didn't work in 2011 until the "terrible" month of October.

8. My terminals like to go blank and disconnected so that I am rudderless whenever I have left in a big order that must be monitored on a second by second basis. How does it know ?

9. The intrade prob of a Obama win is steady at 48% and the moves above and below the magic number of 50 one predicts will correspond inversely to moves above and beyond the magic number of 1200 in sp.

10. In addition to Patrick O Brian and Frederick Forsyth, David Mamet seems to be the only writer that appreciates business as our engine for improvements in material well being and personal freedom. Along those lines, it was amazing to see that Moneyball didn't contain all the hateful, supercilious, and envious stuff about the rich that characterizes all else of his work. One must credit Billy Beane as a great manager and human being. Who else do you know that gave up a 10 million increase in salary because he wanted to be with his family. Or could it be that he objected to trend following?

and just one more:

11. The sensibilities of those buying the refunding are always hurt by even a momentary loss, and like nite precedes the day the flexions let all the bad news out before the auctions so these sensibilities will not be offended. I always think of Enoch Powell railing against a price fixing board who were similarly offended by a recipe for Bernaise sauce that they didn't feel justified an increase during the English march to agrarianism and the EC.