High Frequency Trading algorithms are not exotically advanced machine learning techniques, they’re shockingly simple

Author: Eamonn Sheridan | Category: News

Here’s an interesting little weekend item on High Frequency Trading algorithms, in which the writer says that the best HFT firms now trade in around 2 microseconds (“context: sound takes about 150ish microseconds to travel from the back of your throat to your mouth”) in signal to trade time, and that doing advanced calculation work on a computer takes a lot longer than that… and thus

  • The strategies employed by the most advanced HFT firms are shockingly simple in terms of Maths or Stats: think exponential moving averages, with a handful of if statements and safety checks…
  • when faced with the decision to produce a reliable, stable strategy that provides good liquidity, or simply the fastest adequate one possible, speed wins every time.

More here