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《Low-Frequency Traders in a High-Frequency World--- A Survival Guide》.pdf
Low-Frequency Traders in a High-Frequency world:
A Survival Guide
Marcos L贸pez de Prado
Hess Energy Trading Company
Lawrence Berkeley National Laboratory
Electronic copy available at: /abstract=2150876
Key Points
鈥 Multiple empirical studies have shown that Order Flow
Imbalance has explanatory power over the trading range.
鈥 The PIN Theory (Easley et al. [1996]) reveals the
Microstructure mechanism by which
鈥 Market Makers adjust their trading range to avoid being
adversely selected by Informed Traders.
鈥 Informed Traders reveal their future trading intentions
when they alter the Order Flow.
鈥 Consequently, Market Makers鈥 trading range is a function
of the Order Flow imbalance.
鈥 VPIN is a High Frequency estimate of PIN, which can be
used to detect the presence of Informed Traders.
2
Electronic copy available at: /abstract=2150876
SECTION I
The great divide
Electronic copy available at: /abstract=2150876
Is speed the real issue?
鈥 Faster traders are nothing new:
鈥 Nathan Rothschild is said to have used racing pigeons to
trade in advance on the news of Napoleon鈥檚 defeat at
Waterloo.
鈥 Beginning in 1850s, only a limited number of investors had
access to telegraphy.
鈥 The telephone (1875), radio (1915), and more recently
screen trading (1986) offered speed advantages to some
participants over others.
鈥 Leinweber [2009] relates many instances in which
technological breakthroughs have been used to most
investors鈥 disadvantage. So 鈥 what is new this time?
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