Wednesday, December 26, 2012

Faster traders take all

In a new study, Andrei Kirilenko, the chief economist at the Commodity Futures Trading Commission, along with researchers at Princeton University and the University of Washington, examined high-frequency trading in a futures contract called the e-mini S&P 500, between August 2010 and August 2012.

The researchers did something they’d never been able to do before: Used actual trading data from individual firms, though none were identified.  What that data does is help explain the frenzy in today’s markets: The most aggressive firms tend to earn the biggest profits, hence the incentive to trade as quickly and as often as possible.  Furthermore, these traders make their money at the expense of everyone else, including less-aggressive high- frequency traders…..

Read all about it at

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